Andre Alves Portela Santos : Citation Profile


Are you Andre Alves Portela Santos?

Universidade Federal de Santa Catarina

6

H index

3

i10 index

121

Citations

RESEARCH PRODUCTION:

26

Articles

8

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 10
   Journals where Andre Alves Portela Santos has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 7 (5.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa341
   Updated: 2019-04-20    RAS profile: 2019-03-25    
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Relations with other researchers


Works with:

Moura, Guilherme (9)

Da Silva, Sergio (3)

Perlin, Marcelo (2)

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:

Hotta, Luiz (6)

van Dijk, Dick (3)

Lean, Hooi Hooi (3)

Ruiz, Esther (3)

Valls Pereira, Pedro (3)

Takeuchi, Kenji (3)

Guidolin, Massimo (2)

Hu, Jin-Li (2)

BABALOS, VASSILIOS (2)

Quaedvlieg, Rogier (2)

Scheule, Harald (2)

Cites to:

Engle, Robert (46)

Ledoit, Olivier (21)

Wolf, Michael (21)

Sheppard, Kevin (18)

Shephard, Neil (18)

Jagannathan, Ravi (15)

McAleer, Michael (14)

Diebold, Francis (14)

Bollerslev, Tim (12)

Ruiz, Esther (11)

Laurent, Sébastien (11)

Main data


Where Andre Alves Portela Santos has published?


Journals with more than one article published# docs
Brazilian Review of Finance5
Economics Bulletin3
Revista Brasileira de Economia - RBE2
Computational Statistics & Data Analysis2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany3

Recent works citing Andre Alves Portela Santos (2018 and 2017)


YearTitle of citing document
2018Predictive modeling of stock indices closing from web search trends. (2018). R, Arjun ; Kr, Suprabha. In: Papers. RePEc:arx:papers:1804.01676.

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2018Fund Characteristics and Performances of Socially Responsible Mutual Funds: Do ESG Ratings Play a Role?. (2018). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1806.09906.

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2018SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Papers. RePEc:arx:papers:1807.09583.

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2018Estimation of the common component in Dynamic Factor Models. (2018). Sanchez, Daniel Pea ; Navarro, Angela Caro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

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2018Riemann and Weierstrass walks revisited. (2018). Soto-Villalobos, Roberto ; Almaguer, F-Javier ; F-Javier Almaguer, ; Amezcua, Omar Gonzalez ; Morales-Castillo, Javier . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:319:y:2018:i:c:p:518-526.

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2017Comparative risk adjusted performance of Islamic, socially responsible and conventional funds: Evidence from United Kingdom. (2017). Mirza, Nawazish ; Fu, Mingli ; Naqvi, Bushra ; Reddy, Krishna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:233-243.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration. (2017). Shang, Han Lin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:184-200.

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2017Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica. (2017). Ivanovi, Milo ; Jelic, Ranko ; Rankovi, Vladimir ; Uroevi, Branko . In: European Journal of Operational Research. RePEc:eee:ejores:v:257:y:2017:i:3:p:1030-1044.

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2017Markowitz revisited: Social portfolio engineering. (2017). Gasser, Stephan M ; Weinmayer, Karl ; Rammerstorfer, Margarethe. In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:3:p:1181-1190.

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2019Improving prediction market forecasts by detecting and correcting possible over-reaction to price movements. (2019). Sung, Ming-Chien ; Cheah, Eng-Tuck ; Tai, Chung-Ching ; David, . In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:1:p:389-405.

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2019Modelling social responsibility in mutual fund performance appraisal: A two-stage data envelopment analysis model with non-discretionary first stage output. (2019). , Don. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:376-389.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Has China’s coal consumption already peaked? A demand-side analysis based on hybrid prediction models. (2018). Wang, CE ; Liang, Qiao-Mei. In: Energy. RePEc:eee:energy:v:162:y:2018:i:c:p:272-281.

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2017Hedonic evaluation of the SRI label of mutual funds using matching methodology. (2017). Bilbao-Terol, Amelia ; Caal-Fernandez, Veronica ; Alvarez-Otero, Susana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:213-227.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2017The Copula ADCC-GARCH model can help PIIGS to fly. (2017). del Mar, Maria ; Miralles-Quiros, Jose Luis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:1-12.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019Demand forecasting with user-generated online information. (2019). Schaer, Oliver ; Fildes, Robert ; Kourentzes, Nikolaos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:197-212.

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2017Does corporate social responsibility affect mutual fund performance and flows?. (2017). el Ghoul, Sadok ; Karoui, Aymen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:53-63.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2018Is the disposition effect related to investors’ reliance on System 1 and System 2 processes or their strategy of emotion regulation?. (2018). Richards, Daniel W ; Kodwani, Devendra G ; Rutterford, Janette ; Fenton, Mark. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:66:y:2018:i:c:p:79-92.

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2018SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:754-765.

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2018Faster learning in troubled times: How market conditions affect the disposition effect. (2018). Muhl, Stefan ; Talpsepp, Tnn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:226-236.

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2018The investment behavior of socially responsible individual investors. (2018). Lapanan, Nicha. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:214-226.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2018Nowcasting and forecasting aquaponics by Google Trends in European countries. (2018). Palma, Maria Jose. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:134:y:2018:i:c:p:178-185.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2018Can Efficiency of Returns Be Considered as a Pricing Factor?. (2018). Rubio, Francisco J ; Hassan, Kabir M ; Maroney, Neal. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:1:d:10.1007_s10614-017-9647-y.

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2017The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM. (2017). Gharghori, Philip ; faff, robert ; Min, Byoung-Kyu ; Xiao, Yuchao . In: Journal of Business Ethics. RePEc:kap:jbuset:v:146:y:2017:i:2:d:10.1007_s10551-015-2894-8.

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2018Evaluation of the Cultural Environment’s Impact on the Performance of the Socially Responsible Investment Funds. (2018). MONEVA, JOSE ; Bellostas-Perezgrueso, Ana Jose ; Lopez-Arceiz, Francisco Jose. In: Journal of Business Ethics. RePEc:kap:jbuset:v:150:y:2018:i:1:d:10.1007_s10551-016-3189-4.

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2018Household Preferences for Socially Responsible Investments. (2018). Torricelli, Costanza ; Sansone, Dario ; rossi, mariacristina ; van Soest, Arthur. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0066.

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2018Household Preferences for Socially Responsible Investments. (2018). Rossi, Maria Cristina ; van Soest, Arthur ; Torricelli, Costanza ; Sansone, Dario. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:18021.

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2017Predicting tanker freight rates using parsimonious variables and a hybrid artificial neural network with an adaptive genetic algorithm. (2017). Eslami, Payman ; Tjolleng, Amir ; Lee, Daewon ; Jung, Kihyo . In: Maritime Economics & Logistics. RePEc:pal:marecl:v:19:y:2017:i:3:d:10.1057_mel.2016.1.

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2017On the neural substrates of the disposition effect and return performance. (2017). Da Silva, Sergio ; Prates, Wlademir ; Takase, Emilio ; da Costa, Newton ; Dorow, Anderson. In: MPRA Paper. RePEc:pra:mprapa:83354.

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2019Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis. (2019). GUPTA, RANGAN ; Torrent, Hudson S ; Suleman, Tahir ; Caldeira, Joao F. In: Working Papers. RePEc:pre:wpaper:201911.

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2018Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004.

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2018The Term Structure of Government Bond Yields in an Emerging Market. (2018). Waliullah, ; Bari, Khadija Malik. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:3:p:5-28.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2017The disposition effect: a survey. (2017). Plessner, Marco . In: Management Review Quarterly. RePEc:spr:manrev:v:67:y:2017:i:1:d:10.1007_s11301-017-0122-6.

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2018Risk management with multiple VaR constraints. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0637-1.

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2018Is predatory publishing a real threat? Evidence from a large database study. (2018). Perlin, Marcelo S ; Borenstein, Denis ; Imasato, Takeyoshi . In: Scientometrics. RePEc:spr:scient:v:116:y:2018:i:1:d:10.1007_s11192-018-2750-6.

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2018The impact of conference ranking systems in computer science: a comparative regression analysis. (2018). Li, Xiancheng ; Xiong, Zhang ; Tang, Jie ; Shi, Haoran ; Rong, Wenge. In: Scientometrics. RePEc:spr:scient:v:116:y:2018:i:2:d:10.1007_s11192-018-2763-1.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2017Shareholder Engagement on Environmental, Social, and Governance Performance. (2017). Renneboog, Luc ; Cremers, M ; Barko, Tamas. In: Discussion Paper. RePEc:tiu:tiucen:bb1f0349-1f6f-49a4-9d62-1c5a1240a1a8.

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2018Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. (2018). Li, Mengheng ; Scharth, Marcel. In: Working Paper Series. RePEc:uts:ecowps:49.

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2018Using Non-Invasive Brain Stimulation to Test the Role of Self-Control in Investor Behavior. (2018). Li, Jianbiao ; Cao, Qian ; Niu, Xiaofei. In: EconStor Preprints. RePEc:zbw:esprep:177890.

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2017Scenario-based capital requirements for the interest rate risk of insurance companies. (2017). Schlutter, Sebastian . In: ICIR Working Paper Series. RePEc:zbw:icirwp:2817.

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Works by Andre Alves Portela Santos:


YearTitleTypeCited
2015Beating the market with small portfolios: Evidence from Brazil In: Economia.
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2014SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
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2013Seleção de carteiras utilizando o modelo Fama-French-Carhart.(2013) In: Revista Brasileira de Economia - RBE.
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2016FORECASTING 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].
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2012Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market In: Brazilian Review of Finance.
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2013What drives forex interventions? Evidence from the Brazilian Central Bank interventions on the BRL/USD market In: Brazilian Review of Finance.
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2014Overconfidence, turnover, and return: evidence from the Brazilian market In: Brazilian Review of Finance.
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2016Validation of loss given default in the advanced IRB approach In: Brazilian Review of Finance.
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2010The Out-of-Sample Performance of Robust Portfolio Optimization In: Brazilian Review of Finance.
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article2
2008The performance of socially responsible mutual funds: the role of fees and management companies In: DEE - Working Papers. Business Economics. WB.
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2010The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies.(2010) In: Journal of Business Ethics.
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2009Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
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2013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.(2013) In: Journal of Financial Econometrics.
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2005Evaluating Brazilian mutual funds with stochastic frontiers In: Economics Bulletin.
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2012Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market In: Economics Bulletin.
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2013Paraconsistent and fuzzy logic applied to company profitability analysis In: Economics Bulletin.
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2016Predicting the yield curve using forecast combinations In: Computational Statistics & Data Analysis.
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2014Dynamic factor multivariate GARCH model In: Computational Statistics & Data Analysis.
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2016Bond portfolio optimization using dynamic factor models In: Journal of Empirical Finance.
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article3
2017The Brazilian scientific output published in journals: A study based on a large CV database In: Journal of Informetrics.
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2017The Brazilian scientific output published in journals: A study based on a large CV database.(2017) In: MPRA Paper.
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2012Optimal portfolios with minimum capital requirements In: Journal of Banking & Finance.
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2015Hedging against embarrassment In: Journal of Economic Behavior & Organization.
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2015Monetary policy surprises and jumps in interest rates: evidence from Brazil In: Journal of Economic Studies.
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2015Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil In: Revista Brasileira de Economia - RBE.
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2015Measuring Risk in Fixed Income Portfolios using Yield Curve Models In: Computational Economics.
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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach In: Journal of Financial Econometrics.
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2014Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches In: Maritime Economics & Logistics.
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2013Psychophysiological correlates of the disposition effect In: MPRA Paper.
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2016On the choice of covariance specifications for portfolio selection problems In: MPRA Paper.
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2017On the choice of covariance specifications for portfolio selection problems.(2017) In: Brazilian Review of Econometrics.
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2012The market reaction to changes in the Brazilian official interest rate In: Applied Economics Letters.
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2017Can We Predict the Financial Markets Based on Googles Search Queries? In: Journal of Forecasting.
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2005Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers In: Finance.
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