Andre Alves Portela Santos : Citation Profile

CUNEF Universidad

11

H index

11

i10 index

341

Citations

RESEARCH PRODUCTION:

38

Articles

12

Papers

RESEARCH ACTIVITY:

   20 years (2005 - 2025). See details.
   Cites by year: 17
   Journals where Andre Alves Portela Santos has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 10 (2.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa341
   Updated: 2026-01-17    RAS profile: 2025-02-07    
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Relations with other researchers

Works with:

Gil-Bazo, Javier (3)

Ruiz, Esther (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)

Guidolin, Massimo (6)

Valls Pereira, Pedro (5)

Francq, Christian (5)

Pedio, Manuela (4)

Lean, Hooi Hooi (4)

Zakoian, Jean-Michel (4)

Rubesam, Alexandre (4)

Takeuchi, Kenji (3)

Tortosa-Ausina, Emili (3)

cotter, john (3)

Cites to:

Engle, Robert (67)

Ledoit, Olivier (42)

Wolf, Michael (37)

Laurent, Sébastien (32)

Shephard, Neil (24)

Sheppard, Kevin (22)

French, Kenneth (21)

Bauwens, Luc (20)

Bollerslev, Tim (19)

Jagannathan, Ravi (19)

Asai, Manabu (17)

Main data

Where Andre Alves Portela Santos has published?

Journals with more than one article published# docs
Brazilian Review of Finance6
Economics Bulletin3
Revista Brasileira de Economia - RBE3
Journal of Banking & Finance2
Journal of Financial Econometrics2
Economia2
Computational Statistics & Data Analysis2
Brazilian Review of Econometrics2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany3
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Andre Alves Portela Santos (2025 and 2024)

YearTitle of citing document
2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Technical Analysis Meets Machine Learning: Bitcoin Evidence. (2025). Garc, Andr'Es. In: Papers. RePEc:arx:papers:2511.00665.

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2024Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings. (2024). Magnani, Monia ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24220.

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2024Sustainable finance disclosure regulation insights: Unveiling socially responsible funds performance during COVID‐19 pandemic and Russia–Ukraine war. (2024). Rimo, Giuseppe ; Gentile, Vincenzo ; Cosma, Simona ; Cucurachi, Paolo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:4:p:3242-3257.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2025Granular information and sectoral movements. (2025). Jiang, Hao ; Li, Sophia Zhengzi ; Yuan, Peixuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002100.

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2025Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

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2025Adaptive robust online portfolio selection. (2025). Tsang, Man Yiu ; Sit, Tony ; Wong, Hoi Ying. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:214-230.

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2025Industry return prediction via interpretable deep learning. (2025). Sermpinis, Georgios ; Iannino, Maria Chiara ; Psaradellis, Ioannis ; Zografopoulos, Lazaros. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2025ESG ratings and ESG mutual fund management compensation. (2025). Huang, Binghua ; Li, Rui. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325003354.

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2025Explainable-machine-learning-based online transaction analysis of China property rights exchange capital market. (2025). Zhou, YU ; Guo, Zitong ; Zhang, Zihe. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001851.

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2025A flight-to-safety from Bitcoin to stock markets: Evidence from cyber attacks. (2025). Jiang, Chunxia ; Chen, Cathy Yi-Hsuan ; Fang, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925001802.

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2024Google search trends and stock markets: Sentiment, attention or uncertainty?. (2024). Bwanya, Princess Rutendo ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923000650.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Can multi-period auto-portfolio systems improve returns? Evidence from Chinese and U.S. stock markets. (2024). Zhao, Yang ; Wang, Shuai ; Lv, Mengzheng ; Gao, Jialu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003508.

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2024Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953.

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2024Sustainability ratings and fund performance: New evidence from European ESG equity mutual funds. (2024). Papathanasiou, Spyros ; Koutsokostas, Drosos. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001259.

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2024Market timing with moving average distance: International evidence. (2024). Kaplanski, Guy ; Abudy, Menachem ; Mugerman, Yevgeny. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001318.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2025Machine learning the performance of hedge fund. (2025). Jiang, Fuwei ; Wang, Wanwan ; Ma, Tian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:155:y:2025:i:c:s0261560625000671.

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2024Analyzing the nature of fund selection measures: Stock picking or trading skill?. (2024). Liao, Wen-Ju ; Lin, Wanling ; Sun, Ping-Wen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000899.

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2024The asymmetry and uncertainty effects on the response of the yield curve to Brazilian monetary policy. (2024). Meurer, Roberto ; Cavaca, Igor Bastos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:831-844.

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2025Resilience or returns: Assessing green equity index performance across market regimes. (2025). Thuy, An Thi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008232.

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2025Macroeconomic Determinants of the Interest Rate Term Structure: A Svensson Model Analysis. (2025). Benetti, Cristiane ; Varanda, Jos Monteiro ; Mori, Rogrio. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:4:p:108-:d:1634862.

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2025Inverse DEA for Portfolio Volatility Targeting: Industry Evidence from Taiwan Stock Exchange. (2025). Olanrewaju, Oludolapo Akanni ; Chung, Sai-Ho ; Kehinde, Temitope Olubanjo. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:4:p:192-:d:1771493.

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2024Sovereign Credit Risk in Saudi Arabia, Morocco and Egypt. (2024). Abid, Fathi. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:283-:d:1429286.

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2024Asymmetric Effects of Renewable Energy Markets on China’s Green Financial Markets: A Perspective of Time and Frequency Dynamic Connectedness. (2024). Jiang, Yonghong ; Meng, Juan ; Zhao, Haiwen ; Tanliang, Ansheng. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:13:p:2038-:d:1426109.

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2024Choice between Sustainable versus Conventional Investments—Relative Efficiency Analysis from Global and Regional Stock Markets. (2024). Rehman, Mohd Ziaur ; Alhashim, Mohammed ; Nain, Md Zulquar ; Bhat, Javed Ahmad. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:13:p:5340-:d:1420596.

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2024ESG Scores and Performance in Brazilian Public Companies. (2024). Ferreira, Jose Roberto ; de Mariz, Frederic ; Cippiciani, Felippe Aparecido ; Greggio, Edna Aparecida. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:13:p:5650-:d:1427362.

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2024Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion. (2024). Yao, Yinhong ; Xie, Wenzhao ; Su, Kuangxi ; Zheng, Chengli. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10345-4.

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2025Catalyzing Sustainable Investment: Revealing ESG Power in Predicting Fund Performance with Machine Learning. (2025). Carmona, Pedro ; Momparler, Alexandre ; Climent, Francisco. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10618-0.

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2025Optimal Time Varying Parameters in Yield Curve Modeling and Forecasting: A Simulation Study on BRICS Countries. (2025). Resta, Marina ; Castello, Oleksandr. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10619-z.

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2024ESG index performance: European evidence. (2024). Zenaidi, Amel ; Belhassine, Olfa ; Kossentini, Hager. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:7:d:10.1057_s41260-024-00361-4.

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2025Environmental, social and governance risk exposures of mutual funds. (2025). Tantisantiwong, Nongnuch ; Helliar, Christine ; Petracci, Barbara. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:3:d:10.1057_s41260-025-00401-7.

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2024Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance. (2024). Lamb, John D ; Tee, Kai-Hong. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05428-w.

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2024Google search volume index and investor attention in stock market: a systematic review. (2024). Arteaga-Sanchez, Rocio ; Gonzalvez-Gallego, Nicolas ; Ayala, Maria Jose. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00606-y.

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2025Comparison of sectorial and financial data for ESG scoring of mutual funds with machine learning. (2025). Hernandez-Perlines, Felipe ; Martin-Melero, Inigo ; Gomez-Martinez, Raul ; Medrano-Garcia, Maria Luisa. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00719-y.

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2025The diversity and (dis-)similarity of Brazilian universities’ research portfolios. (2025). Tuesta, Esteban Fernandez ; Digiampietri, Luciano Antnio ; Hartmann, Dominik. In: Scientometrics. RePEc:spr:scient:v:130:y:2025:i:1:d:10.1007_s11192-024-05191-0.

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2024A meta-analysis of disposition effect experiments. (2024). Cheung, Stephen. In: Working Papers. RePEc:syd:wpaper:2024-02.

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2024Do socially responsible indices outperform conventional indices? Evidence from before and after the onset of Covid‐19. (2024). Pahuja, Shuchi ; Gupta, Seema ; Jonwall, Renu. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:31:y:2024:i:5:p:4995-5011.

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2025How Do Socially Responsible Investment Funds Go Green? The Influence of Investment Styles and managers Experience. (2025). CHEN, Jinzhao ; Boutabba, Mohamed Amine ; Rannou, Yves ; Mercadier, Mathieu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3138-3168.

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2025Corporate cash policy and double machine learning. (2025). Vagenasnanos, Evangelos ; Tsoukas, Serafeim ; Movaghari, Hadi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3261-3279.

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2024A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Righi, Marcelo ; Gossling, Thalles Weber ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543.

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2025Forecasting the Volatility of US Oil and Gas Firms With Machine Learning. (2025). Hansen, Erwin ; Cabrera, Gabriel ; Daz, Juan D. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1383-1402.

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2024Does a meta-combining method lead to more accurate forecasts in the decision-making process?. (2024). Aras, Serkan ; Gulay, Emrah. In: Operations Research and Decisions. RePEc:wut:journl:v:34:y:2024:i:3:p:101-124:id:6.

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Works by Andre Alves Portela Santos:

YearTitleTypeCited
2015Beating the market with small portfolios: Evidence from Brazil In: Economia.
[Full Text][Citation analysis]		article3
2016Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence In: Economia.
[Full Text][Citation analysis]		article4
2016FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE.(2016) In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting].
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2014SELEÇÃO 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]		paper2
2013Seleção de carteiras utilizando o modelo Fama-French-Carhart.(2013) In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2021Can Machine Learning Help to Select Portfolios of Mutual Funds? In: Working Papers.
[Full Text][Citation analysis]		paper6
2025Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2012Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2013What drives forex interventions? Evidence from the Brazilian Central Bank interventions on the BRL/USD market In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2014Overconfidence, turnover, and return: evidence from the Brazilian market In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2015The researchers, the publications and the journals of Finance in Brazil: An analysis based on resumes from the Lattes platform In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2016Validation of loss given default in the advanced IRB approach In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2010The Out-of-Sample Performance of Robust Portfolio Optimization In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article7
2008The performance of socially responsible mutual funds: the role of fees and management companies In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper87
2010The 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 nother version. Agregated cites: 87		article
2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2009Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper45
2013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.(2013) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		article
2005Evaluating Brazilian mutual funds with stochastic frontiers In: Economics Bulletin.
[Full Text][Citation analysis]		article5
2012Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2013Paraconsistent and fuzzy logic applied to company profitability analysis In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2016Predicting the yield curve using forecast combinations In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article15
2014Dynamic factor multivariate GARCH model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article15
2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics In: Economic Modelling.
[Full Text][Citation analysis]		article2
2016Bond portfolio optimization using dynamic factor models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article20
2022Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals In: Finance Research Letters.
[Full Text][Citation analysis]		article5
2017The Brazilian scientific output published in journals: A study based on a large CV database In: Journal of Informetrics.
[Full Text][Citation analysis]		article8
2017The 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 nother version. Agregated cites: 8		paper
2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
2012Optimal portfolios with minimum capital requirements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2015Hedging against embarrassment In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article12
2023Machine learning and fund characteristics help to select mutual funds with positive alpha In: Journal of Financial Economics.
[Full Text][Citation analysis]		article11
2015Monetary policy surprises and jumps in interest rates: evidence from Brazil In: Journal of Economic Studies.
[Full Text][Citation analysis]		article0
2015Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article0
2019Efeito disposição: propensão à venda de investidores individuais e institucionais In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article0
2019Covariance Prediction in Large Portfolio Allocation In: Econometrics.
[Full Text][Citation analysis]		article3
2015Measuring Risk in Fixed Income Portfolios using Yield Curve Models In: Computational Economics.
[Full Text][Citation analysis]		article9
2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article13
2014Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches In: Maritime Economics & Logistics.
[Full Text][Citation analysis]		article5
2013Psychophysiological correlates of the disposition effect In: MPRA Paper.
[Full Text][Citation analysis]		paper9
2016On the choice of covariance specifications for portfolio selection problems In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2017On the choice of covariance specifications for portfolio selection problems.(2017) In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020A note on the estimation of minimum tracking error portfolios In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2012The market reaction to changes in the Brazilian official interest rate In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2019Disentangling the role of variance and covariance information in portfolio selection problems In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2021Can machine learning help to select portfolios of mutual funds? In: Economics Working Papers.
[Full Text][Citation analysis]		paper5
2017Can We Predict the Financial Markets Based on Googles Search Queries? In: Journal of Forecasting.
[Full Text][Citation analysis]		article15
2018Yield curve forecast combinations based on bond portfolio performance In: Journal of Forecasting.
[Full Text][Citation analysis]		article2
2005Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers In: Finance.
[Full Text][Citation analysis]		paper5
2005Are Pound and Euro the Same Currency? In: International Finance.
[Full Text][Citation analysis]		paper0

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