Andre Alves Portela Santos : Citation Profile


Are you Andre Alves Portela Santos?

Universidade Federal de Santa Catarina (90% share)
University of Edinburgh (10% share)

8

H index

7

i10 index

240

Citations

RESEARCH PRODUCTION:

29

Articles

10

Papers

RESEARCH ACTIVITY:

   16 years (2005 - 2021). See details.
   Cites by year: 15
   Journals where Andre Alves Portela Santos has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 8 (3.23 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa341
   Updated: 2022-08-13    RAS profile: 2021-08-03    
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Relations with other researchers


Works with:

Perlin, Marcelo (2)

Da Silva, Sergio (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 (8)

Francq, Christian (5)

Valls Pereira, Pedro (5)

Guidolin, Massimo (5)

Lean, Hooi Hooi (4)

Pedio, Manuela (4)

Zakoian, Jean-Michel (4)

Ruiz, Esther (4)

Quaedvlieg, Rogier (3)

Laurent, Sébastien (3)

Tortosa-Ausina, Emili (3)

Cites to:

Engle, Robert (60)

Ledoit, Olivier (25)

Wolf, Michael (24)

Sheppard, Kevin (22)

Shephard, Neil (22)

Laurent, Sébastien (19)

Bollerslev, Tim (18)

Jagannathan, Ravi (17)

McAleer, Michael (17)

Diebold, Francis (14)

Uppal, Raman (12)

Main data


Where Andre Alves Portela Santos has published?


Journals with more than one article published# docs
Brazilian Review of Finance5
Revista Brasileira de Economia - RBE3
Economics Bulletin3
Journal of Financial Econometrics2
Computational Statistics & Data Analysis2

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

Recent works citing Andre Alves Portela Santos (2022 and 2021)


YearTitle of citing document
2021Basic 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.

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2021Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044.

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2021Marginals 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.

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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Niklasson, Vilhelm ; Bodnar, Taras ; Thors, Erik. In: Papers. RePEc:arx:papers:2205.01444.

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2022Adaptive Robust Online Portfolio Selection. (2022). Sit, Tony ; Tsang, Man Yiu ; Wong, Hoi Ying. In: Papers. RePEc:arx:papers:2206.01064.

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2021Looking 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.

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2022The Performance of Socially Responsible Investments: A Meta-Analysis. (2022). Hornuf, Lars ; Yuksel, Gul. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9724.

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2021Fragmentation 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.

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2022Multivariate 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.

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2021Carbon-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.

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2021Portfolio 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.

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2021Investor attention and cryptocurrency performance. (2021). Lin, Zih-Ying. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320306590.

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2021Dynamic 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.

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2021Was 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.

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2021On 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.

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2021A 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.

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2021Investors’ 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.

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2021Regulation 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.

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2022Asymmetric 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.

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2022A 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.

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2021Improving 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.

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2021Factors 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.

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2021Identifying 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.

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2022Switching 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.

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2021Research 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.

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2021Do 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.

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2021Support 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.

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2022A 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.

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2021Does 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.

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2022Nowcasting the Maltese economy with a dynamic factor model. (2022). Ruisi, Germano ; Ellul, Rueben . In: CBM Working Papers. RePEc:mlt:wpaper:0222.

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2022The 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.

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2021Multivariate 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.

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2021Characteristics 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.

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2022Can 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.

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2021The 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.

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2021Time 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.

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2022Forecasting risk measures based on structural breaks in the correlation matrix. (2022). Duan, Fang. In: Ruhr Economic Papers. RePEc:zbw:rwirep:945.

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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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article1
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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paper2
2013Seleção de carteiras utilizando o modelo Fama-French-Carhart.(2013) In: Revista Brasileira de Economia - RBE.
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This paper has another version. Agregated cites: 2
article
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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paper1
2021Can Machine Learning Help to Select Portfolios of Mutual Funds? In: Working Papers.
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paper3
2021Can machine learning help to select portfolios of mutual funds?.(2021) In: Economics Working Papers.
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This paper has another version. Agregated cites: 3
paper
2012Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market In: Brazilian Review of Finance.
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article0
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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article0
2014Overconfidence, turnover, and return: evidence from the Brazilian market In: Brazilian Review of Finance.
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article0
2016Validation of loss given default in the advanced IRB approach In: Brazilian Review of Finance.
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article0
2010The Out-of-Sample Performance of Robust Portfolio Optimization In: Brazilian Review of Finance.
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article6
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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paper66
2010The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies.(2010) In: Journal of Business Ethics.
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This paper has another version. Agregated cites: 66
article
2009Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
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paper40
2013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.(2013) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 40
article
2005Evaluating Brazilian mutual funds with stochastic frontiers In: Economics Bulletin.
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article4
2012Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market In: Economics Bulletin.
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article0
2013Paraconsistent and fuzzy logic applied to company profitability analysis In: Economics Bulletin.
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article0
2016Predicting the yield curve using forecast combinations In: Computational Statistics & Data Analysis.
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article14
2014Dynamic factor multivariate GARCH model In: Computational Statistics & Data Analysis.
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article14
2016Bond portfolio optimization using dynamic factor models In: Journal of Empirical Finance.
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article14
2017The Brazilian scientific output published in journals: A study based on a large CV database In: Journal of Informetrics.
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article7
2017The Brazilian scientific output published in journals: A study based on a large CV database.(2017) In: MPRA Paper.
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This paper has another version. Agregated cites: 7
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2012Optimal portfolios with minimum capital requirements In: Journal of Banking & Finance.
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article14
2015Hedging against embarrassment In: Journal of Economic Behavior & Organization.
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article10
2015Monetary policy surprises and jumps in interest rates: evidence from Brazil In: Journal of Economic Studies.
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article0
2015Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil In: Revista Brasileira de Economia - RBE.
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article0
2019Efeito disposição: propensão à venda de investidores individuais e institucionais In: Revista Brasileira de Economia - RBE.
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2019Covariance Prediction in Large Portfolio Allocation In: Econometrics.
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article3
2015Measuring Risk in Fixed Income Portfolios using Yield Curve Models In: Computational Economics.
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article6
2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach In: Journal of Financial Econometrics.
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article9
2014Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches In: Maritime Economics & Logistics.
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article4
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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This paper has another version. Agregated cites: 1
article
2012The market reaction to changes in the Brazilian official interest rate In: Applied Economics Letters.
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2019Disentangling the role of variance and covariance information in portfolio selection problems In: Quantitative Finance.
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article1
2017Can We Predict the Financial Markets Based on Googles Search Queries? In: Journal of Forecasting.
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article8
2005Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers In: Finance.
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paper4

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