Caio Almeida

Princeton University

Researcher/Lecturer

26 Prospect Avenue

Princeton, NJ 08540

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 20,628

SSRN RANKINGS

Top 20,628

in Total Papers Downloads

2,991

SSRN CITATIONS
Rank 13,015

SSRN RANKINGS

Top 13,015

in Total Papers Citations

77

CROSSREF CITATIONS

15

Scholarly Papers (21)

1.

Economic Implications of Nonlinear Pricing Kernels

AFA 2009 San Francisco Meetings Paper, Management Science, vol 63, number 10, 2017
Number of pages: 41 Posted: 25 Mar 2008 Last Revised: 01 Jun 2021
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 627 (52,454)
Citation 23

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Stochastic Discount Factor, Information-Theoretic Bounds, Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

EFA 2009 Bergen Meetings Paper, Journal of Econometrics, Vol. 170, No. 2, 2012
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 01 Jun 2021
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 274 (136,909)
Citation 2

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Stochastic Discount Factor, Euler Equations, Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Number of pages: 61 Posted: 17 Mar 2009
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 84 (362,708)
Citation 20

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Stochastic Discount Factor, Euler Equations,Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies

3.

Nonparametric Assessment of Hedge Fund Performance

Journal of Econometrics, Vol. 214, No. 2, 2020
Number of pages: 62 Posted: 08 Aug 2013 Last Revised: 01 Jun 2021
Caio Almeida, Kym Ardison and René Garcia
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 291 (129,158)
Citation 5

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Stochastic Discount Factors, Performance Measurement, Minimum Discrepancy measures, Nonparametric discounting

4.

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Journal of Financial Econometrics, Vol. 15, Issue 3, 2017
Number of pages: 58 Posted: 25 Apr 2016 Last Revised: 01 Jun 2021
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 266 (141,840)
Citation 10

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

5.

Forecasting Bond Yields with Segmented Term Structure Models

Journal of Financial Econometrics, Vol. 16, Issue 1, 2017
Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 01 Jun 2021
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 207 (181,491)
Citation 2

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Preferred-Habitat Theory, Error Correction Models, Model Selection, Exponential Splines, Local Shocks

6.

Extracting Tail Risk from High-Frequency S&P 500 Returns

Number of pages: 58 Posted: 31 Jul 2018 Last Revised: 13 Jan 2020
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and HEC Montréal
Downloads 178 (206,905)

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7.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 39 Posted: 10 Dec 2014 Last Revised: 26 Jul 2021
Princeton University, EPGE Brazilian School of Economics and Finance, Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 156 (231,490)

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Risk-Neutral Measure, Option Pricing, Risk Premium, Nonparametric Estimation, Stochastic Volatility, Jumps, Cressie-Read Discrepancies

8.

Pricing of Index Options in Incomplete Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 22 Mar 2021 Last Revised: 10 Jun 2021
Caio Almeida and Gustavo Freire
Princeton University and EPGE Brazilian School of Economics and Finance
Downloads 154 (235,204)

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9.

A Hybrid Spline-Based Parametric Model for the Yield Curve

Number of pages: 48 Posted: 14 Jan 2017 Last Revised: 19 Jul 2017
Adriano Faria and Caio Almeida
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Princeton University
Downloads 151 (237,776)

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Price index, Spline Models, Exponential Term Structure Models, Curve Fitting, Risk management

10.

Can a Machine Correct Option Pricing Models?

Number of pages: 35 Posted: 04 May 2021 Last Revised: 25 May 2021
Caio Almeida, Jianqing Fan and Francesca Tang
Princeton University, Princeton University - Bendheim Center for Finance and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 135 (261,648)

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Deep Learning, Boosting, Implied Volatility, Stochastic Volatility, Model Correction

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Number of pages: 39 Posted: 03 Mar 2010
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 63 (426,899)
Citation 2

Abstract:

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Asset Pricing Proxies, Euler Equations, Minimum Discrepancy Estimators, Model Selection

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Number of pages: 49 Posted: 15 Mar 2011
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 51 (472,862)

Abstract:

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Asset Pricing Proxies, Euler Equations, Minimum Discrepancy Estimators, Model Selection

12.

Tail Risk Exposures of Hedge Funds: Evidence From Unique Brazilian Data

Number of pages: 31 Posted: 03 Jun 2019
Princeton University, Queen Mary University of London - Economics Department and Yale University, Department of Economics, Students
Downloads 79 (372,604)

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alternative investment, convergence trading, entropy, expected shortfall, power law

13.

Are Higher-Order Factors Useful in Pricing the Cross-Section of Hedge Fund Returns?

Number of pages: 57 Posted: 31 Jul 2018 Last Revised: 12 May 2019
Elaine Fang and Caio Almeida
Princeton University and Princeton University
Downloads 77 (378,060)
Citation 1

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Hedge Fund Performance, LASSO, Risk Factors, Cross-Section of Returns

14.

Approximating Risk Premium on a Parametric Arbitrage-Free Term Structure Model

Number of pages: 45 Posted: 10 Dec 2014 Last Revised: 15 Apr 2015
Caio Almeida, Kym Ardison and Daniela Kubudi
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 44 (494,100)

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Term structure of interest rates, parametric models, affine models, cross sectional estimation, time series analysis, forecasting

15.

Do Interest Rate Options Contain Information About Excess Returns?

Journal of Econometrics, Vol. 164, No. 1, 2011
Number of pages: 35 Posted: 17 Feb 2018 Last Revised: 01 Jun 2021
Caio Almeida, Jeremy J. Graveline and Scott Joslin
Princeton University, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 40 (512,304)
Citation 13

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interest rates, options, risk premia, excess returns, forecasting

16.

The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model

Number of pages: 34 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 24 (600,992)
Citation 9

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Dynamic models, No-arbitrage, Forecasting, Bond risk premia

17.

Are Interest Rate Options Important for the Assessment of Interest Rate Risk?

Number of pages: 32 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 24 (600,992)

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Dynamic term structure models, Value at risk, Back-testing procedures, Laplace Transform, Feller processes

18.

Identifying Volatility Risk Premia from Fixed Income Asian Options

Number of pages: 43 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 23 (607,631)
Citation 1

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Asian Options, Risk Premium, Dynamic Term Structure Models, Incomplete Markets

19.

Term Structure Movements Implicit in Asian Option Prices

Number of pages: 48 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 19 (635,232)
Citation 1

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Dynamic term structure models, latent factors, bond risk premium, Asian option pricing

20.
Downloads 19 (635,232)

Does Curvature Enhance Forecasting?

Number of pages: 36 Posted: 14 Mar 2018
Princeton University, Government of the Federative Republic of Brazil - Central Bank of Brazil, Government of the Federative Republic of Brazil - Central Bank of Brazil, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 19 (656,788)
Citation 1

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Parametric Term Structure Models, Principal Components, Vector Autoregressive Models, Interest Rate Mean Forecasting

Does Curvature Enhance Forecasting?

International Journal of Theoretical and Applied Finance (IJTAF), 2009
Posted: 16 Jan 2011
Caio Almeida
Princeton University

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Parametric term structure models, principal components, vector auto-regressive models, interest rate mean forecasting

21.

Constrained Polynomial Likelihood

Number of pages: 37 Posted: 24 May 2021 Last Revised: 28 Jul 2021
Caio Almeida and Paul Schneider
Princeton University and University of Lugano - Institute of Finance
Downloads 5 (740,945)

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Likelihood ratio, positive polynomial, Reproducing Kernel Hilbert Space (RKHS)

Other Papers (2)

Total Downloads: 162
1.

Do Options Contain Information About Excess Bond Returns?

AFA 2007 Chicago Meetings Paper
Number of pages: 35 Posted: 20 Mar 2006
Caio Almeida, Jeremy J. Graveline and Scott Joslin
Princeton University, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 95

Abstract:

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2.

Empirical Likelihood Estimators for Stochastic Discount Factors

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 67

Abstract:

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Stochastic Discount Factor, Information-Theoretic Bounds,Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights