Gonçalo Faria : Citation Profile


Are you Gonçalo Faria?

Universidade Católica Portuguesa

4

H index

0

i10 index

25

Citations

RESEARCH PRODUCTION:

3

Articles

9

Papers

RESEARCH ACTIVITY:

   10 years (2007 - 2017). See details.
   Cites by year: 2
   Journals where Gonçalo Faria has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 5 (16.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa457
   Updated: 2019-08-17    RAS profile: 2017-05-22    
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Relations with other researchers


Works with:

Verona, Fabio (4)

Correia-da-Silva, Joao (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gonçalo Faria.

Is cited by:

Verona, Fabio (4)

Jeleva, Meglena (2)

Tallon, Jean-Marc (2)

Kilponen, Juha (2)

Escobar Anel, Marcos (2)

Cristina, SACALA (1)

Lubik, Thomas (1)

Crowley, Patrick (1)

Guidolin, Massimo (1)

Corso, Eduardo (1)

Hamori, Shigeyuki (1)

Cites to:

Epstein, Larry (10)

Aguiar-Conraria, Luís (10)

Zhou, Guofu (8)

Campbell, John (8)

Trojani, Fabio (8)

Marinacci, Massimo (7)

Schneider, Martin (6)

Bollerslev, Tim (6)

Hansen, Lars (5)

wang, tan (5)

Sargent, Thomas (5)

Main data


Where Gonçalo Faria has published?


Working Papers Series with more than one paper published# docs
FEP Working Papers / Universidade do Porto, Faculdade de Economia do Porto5
Working Papers de Economia (Economics Working Papers) / Catlica Porto Business School, Universidade Catlica Portuguesa2

Recent works citing Gonçalo Faria (2018 and 2017)


YearTitle of citing document
2017House prices, lending standards, and the macroeconomy. (2017). Silvo, Aino. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_004.

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2017Wavelet decomposition of the financial cycle : An early warning system for financial tsunamis. (2017). Voutilainen, Ville . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_011.

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2017Modelling a small open economy using a wavelet-based control model. (2017). Crowley, Patrick ; Hudgins, David. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_032.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2019Combining wavelet decomposition with machine learning to forecast gold returns. (2019). Risse, Marian. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:601-615.

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2018Asset pricing and ambiguity: Empirical evidence⁎. (2018). Brenner, Menachem ; Izhakian, Yehuda. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:3:p:503-531.

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2019Assessing U.S. Aggregate Fluctuations Across Time and Frequencies. (2019). Verona, Fabio ; Matthes, Christian ; Lubik, Thomas. In: Working Paper. RePEc:fip:fedrwp:19-06.

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2018Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform. (2018). Hamori, Shigeyuki ; Kinkyo, Takuji ; Xu, Lei. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:86-:d:187697.

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2017Testing the Q theory of investment in the frequency domain. (2017). Verona, Fabio ; Kilponen, Juha. In: CEF.UP Working Papers. RePEc:por:cetedp:1701.

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2018Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). Driouchi, Tarik ; Trigeorgis, Lenos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y.

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2019Crude oil futures trading and uncertainty. (2019). Czudaj, Robert. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep027.

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2019Financial Markets with Multidimensional Uncertainty. (2019). Aliyev, Nihad . In: PhD Thesis. RePEc:uts:finphd:2-2019.

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Works by Gonçalo Faria:


YearTitleTypeCited
2016Forecasting stock market returns by summing the frequency-decomposed parts In: Research Discussion Papers.
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paper7
2016Forecasting stock market returns by summing the frequency-decomposed parts.(2016) In: Working Papers de Economia (Economics Working Papers).
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This paper has another version. Agregated cites: 7
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2017Forecasting the equity risk premium with frequency-decomposed predictors In: Research Discussion Papers.
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paper4
2016Forecasting the equity risk premium with frequency-decomposed predictors.(2016) In: Working Papers de Economia (Economics Working Papers).
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This paper has another version. Agregated cites: 4
paper
2012The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices In: Annals of Finance.
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article5
2011The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices.(2011) In: FEP Working Papers.
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This paper has another version. Agregated cites: 5
paper
2014A closed-form solution for options with ambiguity about stochastic volatility In: Review of Derivatives Research.
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article4
2011A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility.(2011) In: FEP Working Papers.
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This paper has another version. Agregated cites: 4
paper
2007Numerical solution of linear models in economics: The SP-DG model revisited In: FEP Working Papers.
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paper0
2009Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility In: FEP Working Papers.
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paper2
2012Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity? In: FEP Working Papers.
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paper3
2016Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?.(2016) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 3
article

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