8
H index
7
i10 index
240
Citations
Andre Alves Portela Santos : Citation Profile
Universidade Federal de Santa Catarina (90% share) | RESEARCH PRODUCTION: 29 Articles 10 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2005 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Andre Alves Portela Santos. | Is cited by:
| Cites to:
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Main data
Where Andre Alves Portela Santos has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Finance | 5 |
| Revista Brasileira de Economia - RBE | 3 |
| Economics Bulletin | 3 |
| Journal of Financial Econometrics | 2 |
| Computational Statistics & Data Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 3 |
Recent works citing Andre Alves Portela Santos (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Basic Hyperparameters Tuning Methods for Classification Algorithms. (2021). Antal-Vaida, Claudia. In: Informatica Economica. RePEc:aes:infoec:v:25:y:2021:i:2:p:64-74. Full description at Econpapers || Download paper |
| 2021 | Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044. Full description at Econpapers || Download paper |
| 2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper |
| 2022 | Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Niklasson, Vilhelm ; Bodnar, Taras ; Thors, Erik. In: Papers. RePEc:arx:papers:2205.01444. Full description at Econpapers || Download paper |
| 2022 | Adaptive Robust Online Portfolio Selection. (2022). Sit, Tony ; Tsang, Man Yiu ; Wong, Hoi Ying. In: Papers. RePEc:arx:papers:2206.01064. Full description at Econpapers || Download paper |
| 2021 | Looking for sustainable development: Socially responsible mutual funds and the low?carbon economy. (2021). Tortosa-Ausina, Emili ; TortosaAusina, Emili ; de Mingolopez, Diego Victor ; Matallinsaez, Juan Carlos ; Juan Carlos Matallin Saez, ; Solerdominguez, Amparo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:4:p:1751-1766. Full description at Econpapers || Download paper |
| 2022 | The Performance of Socially Responsible Investments: A Meta-Analysis. (2022). Hornuf, Lars ; Yuksel, Gul. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9724. Full description at Econpapers || Download paper |
| 2021 | Fragmentation in the European Monetary Union: Is it really over?. (2021). Luisi, Angelo ; Candelon, Bertrand ; Roccazzella, Francesco. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_016. Full description at Econpapers || Download paper |
| 2022 | Multivariate time-series modeling with generative neural networks. (2022). Zhu, MU ; Prasad, Avinash ; Hofert, Marius. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:147-164. Full description at Econpapers || Download paper |
| 2021 | Carbon-intensive industries in Socially Responsible mutual funds portfolios. (2021). Muoz, Fernando. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000831. Full description at Econpapers || Download paper |
| 2021 | Portfolio efficiency with high-dimensional data as conditioning information. (2021). Vigo Pereira, Caio. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001460. Full description at Econpapers || Download paper |
| 2021 | Investor attention and cryptocurrency performance. (2021). Lin, Zih-Ying. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320306590. Full description at Econpapers || Download paper |
| 2021 | Dynamic optimal portfolio choice under time-varying risk aversion. (2021). Esparcia, Carlos ; Diaz, Antonio. In: International Economics. RePEc:eee:inteco:v:166:y:2021:i:c:p:1-22. Full description at Econpapers || Download paper |
| 2021 | Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. (2021). Li, Youwei ; Waterworth, James ; Vigne, Samuel A ; Pantelous, Athanasios A ; Hamill, Philip A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000196. Full description at Econpapers || Download paper |
| 2021 | On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation. (2021). Kunst, Robert ; Costantini, Mauro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:445-460. Full description at Econpapers || Download paper |
| 2021 | A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042. Full description at Econpapers || Download paper |
| 2021 | Investors’ attention and information losses under market stress. (2021). Philippas, Dionisis ; Nguyen, Duc Khuong ; Goutte, Stéphane ; Dragomirescu-Gaina, Catalin. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:1112-1127. Full description at Econpapers || Download paper |
| 2021 | Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule. (2021). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001418. Full description at Econpapers || Download paper |
| 2022 | Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19. (2022). Vo, Xuan Vinh ; Ahmad, Nasir ; Ur, Mobeen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007627. Full description at Econpapers || Download paper |
| 2022 | A generalized equipment vulnerability model for the quantitative risk assessment of horizontal vessels involved in Natech scenarios triggered by floods. (2022). Cozzani, Valerio ; Misuri, Alessio ; Caratozzolo, Vincenzo. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:223:y:2022:i:c:s0951832022001648. Full description at Econpapers || Download paper |
| 2021 | Improving the level of financial literacy and the influence of the cognitive ability in this process. (2021). da Costa, Newton ; Paraboni, Ana Luiza. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:90:y:2021:i:c:s2214804320306996. Full description at Econpapers || Download paper |
| 2021 | Factors Affecting Mobile Banking Adoption in Poland: An Empirical Study. (2021). Adamek, Jacek ; Solarz, Malgorzata. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:4:p:1018-1046. Full description at Econpapers || Download paper |
| 2021 | Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach. (2021). Nugroho, Bayu Adi ; Robiyanto, Robiyanto ; Suyanto, Suyanto ; Frensidy, Budi ; Huruta, Andrian Dolfriandra. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:3:p:119-:d:620561. Full description at Econpapers || Download paper |
| 2022 | Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns. (2022). Guidolin, Massimo ; Pedio, Manuela. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:1:p:16-306:d:752601. Full description at Econpapers || Download paper |
| 2021 | Research Productivity in Emerging Economies: Empirical Evidence from Kazakhstan. (2021). Narbaev, Timur ; Amirbekova, Diana. In: Publications. RePEc:gam:jpubli:v:9:y:2021:i:4:p:51-:d:672931. Full description at Econpapers || Download paper |
| 2021 | Do Socially Responsible Investment Funds Sell Losses and Ride Gains? The Disposition Effect in SRI Funds. (2021). Vicente, Luis ; Ortiz, Cristina ; Duxbury, Darren ; Boumda, Beatrice. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:15:p:8142-:d:598544. Full description at Econpapers || Download paper |
| 2021 | Support Vector Machine Algorithms: An Application to Ship Price Forecasting. (2021). Syriopoulos, Theodore ; Karamanos, Ioannis ; Tsatsaronis, Michael . In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10032-2. Full description at Econpapers || Download paper |
| 2022 | A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w. Full description at Econpapers || Download paper |
| 2021 | Does It Pay to Invest in Japanese Women? Evidence from the MSCI Japan Empowering Women Index. (2021). Boubaker, Sabri ; Comyns, Breeda ; Peillex, Jonathan. In: Journal of Business Ethics. RePEc:kap:jbuset:v:170:y:2021:i:3:d:10.1007_s10551-019-04373-8. Full description at Econpapers || Download paper |
| 2022 | Nowcasting the Maltese economy with a dynamic factor model. (2022). Ruisi, Germano ; Ellul, Rueben . In: CBM Working Papers. RePEc:mlt:wpaper:0222. Full description at Econpapers || Download paper |
| 2022 | The ESG ETFs in the UK. (2022). Rompotis, Gerasimos G. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00251-z. Full description at Econpapers || Download paper |
| 2021 | Multivariate time-varying parameter modelling for stock markets. (2021). Bekiros, Stelios ; Neslihanoglu, Serdar ; Lee, Duncan ; McColl, John. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01896-2. Full description at Econpapers || Download paper |
| 2021 | Characteristics of high research performance authors in the field of library and information science and those of their articles. (2021). Chang, Yu-Wei. In: Scientometrics. RePEc:spr:scient:v:126:y:2021:i:4:d:10.1007_s11192-021-03898-y. Full description at Econpapers || Download paper |
| 2022 | Can Volatility Solve the Naive Portfolio Puzzle?. (2022). Curran, Michael ; Zalla, Ryan ; O'Sullivan, Patrick. In: Villanova School of Business Department of Economics and Statistics Working Paper Series. RePEc:vil:papers:52. Full description at Econpapers || Download paper |
| 2021 | The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings. (2021). Ferrari, Pierpaolo ; Basile, Ignazio ; Abate, Guido. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:28:y:2021:i:5:p:1446-1455. Full description at Econpapers || Download paper |
| 2021 | Time series forecasting methods for the Baltic dry index. (2021). Kavussanos, Manolis ; Katris, Christos. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1540-1565. Full description at Econpapers || Download paper |
| 2022 | Forecasting risk measures based on structural breaks in the correlation matrix. (2022). Duan, Fang. In: Ruhr Economic Papers. RePEc:zbw:rwirep:945. Full description at Econpapers || Download paper |
Works by Andre Alves Portela Santos:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Beating the market with small portfolios: Evidence from Brazil In: Economia. [Full Text][Citation analysis] | article | 1 |
| 2014 | SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting]. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Seleção de carteiras utilizando o modelo Fama-French-Carhart.(2013) In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2016 | FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting]. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Can Machine Learning Help to Select Portfolios of Mutual Funds? In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Can machine learning help to select portfolios of mutual funds?.(2021) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2012 | Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | What drives forex interventions? Evidence from the Brazilian Central Bank interventions on the BRL/USD market In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Overconfidence, turnover, and return: evidence from the Brazilian market In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Validation of loss given default in the advanced IRB approach In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | The Out-of-Sample Performance of Robust Portfolio Optimization In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 6 |
| 2008 | The performance of socially responsible mutual funds: the role of fees and management companies In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 66 |
| 2010 | The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies.(2010) In: Journal of Business Ethics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | article | |
| 2009 | Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 40 |
| 2013 | Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.(2013) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
| 2005 | Evaluating Brazilian mutual funds with stochastic frontiers In: Economics Bulletin. [Full Text][Citation analysis] | article | 4 |
| 2012 | Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2013 | Paraconsistent and fuzzy logic applied to company profitability analysis In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2016 | Predicting the yield curve using forecast combinations In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 14 |
| 2014 | Dynamic factor multivariate GARCH model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 14 |
| 2016 | Bond portfolio optimization using dynamic factor models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
| 2017 | The Brazilian scientific output published in journals: A study based on a large CV database In: Journal of Informetrics. [Full Text][Citation analysis] | article | 7 |
| 2017 | The Brazilian scientific output published in journals: A study based on a large CV database.(2017) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2012 | Optimal portfolios with minimum capital requirements In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
| 2015 | Hedging against embarrassment In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 10 |
| 2015 | Monetary policy surprises and jumps in interest rates: evidence from Brazil In: Journal of Economic Studies. [Full Text][Citation analysis] | article | 0 |
| 2015 | Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2019 | Efeito disposição: propensão à venda de investidores individuais e institucionais In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2019 | Covariance Prediction in Large Portfolio Allocation In: Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2015 | Measuring Risk in Fixed Income Portfolios using Yield Curve Models In: Computational Economics. [Full Text][Citation analysis] | article | 6 |
| 2017 | Combining Multivariate Volatility Forecasts: An Economic-Based Approach In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2014 | Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches In: Maritime Economics & Logistics. [Full Text][Citation analysis] | article | 4 |
| 2013 | Psychophysiological correlates of the disposition effect In: MPRA Paper. [Full Text][Citation analysis] | paper | 8 |
| 2016 | On the choice of covariance specifications for portfolio selection problems In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2017 | On the choice of covariance specifications for portfolio selection problems.(2017) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2012 | The market reaction to changes in the Brazilian official interest rate In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2019 | Disentangling the role of variance and covariance information in portfolio selection problems In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2017 | Can We Predict the Financial Markets Based on Googles Search Queries? In: Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
| 2005 | Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers In: Finance. [Full Text][Citation analysis] | paper | 4 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team