6
H index
3
i10 index
118
Citations
Gonçalo Faria : Citation Profile
Universidade Católica Portuguesa | RESEARCH PRODUCTION: 8 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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18 years (2007 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Gonçalo Faria. | Is cited by:
| Cites to:
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Main data
Where Gonçalo Faria has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Empirical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Bank of Finland Research Discussion Papers / Bank of Finland | 8 |
| FEP Working Papers / Universidade do Porto, Faculdade de Economia do Porto | 5 |
| Working Papers de Economia (Economics Working Papers) / Catlica Porto Business School, Universidade Catlica Portuguesa | 2 |
Recent works citing Gonçalo Faria (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2026 | Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343. Full description at Econpapers || Download paper |
| 2024 | Forecasting Inflation with the New Keynesian Phillips Curve: Frequencies Matter. (2024). Verona, Fabio ; Martins, Manuel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:811-832. Full description at Econpapers || Download paper |
| 2025 | When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance. (2025). At-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio ; Sircar, Ronnie. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623003706. Full description at Econpapers || Download paper |
| 2024 | Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584. Full description at Econpapers || Download paper |
| 2025 | Higher moments interaction between the US treasury yields, energy assets, and green cryptos: Dynamic analysis with portfolio implications. (2025). Umar, Zaghum ; Sokolova, Tatiana ; Iqbal, Najaf ; Shaoyong, Zhang. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007862. Full description at Econpapers || Download paper |
| 2024 | Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331. Full description at Econpapers || Download paper |
| 2024 | Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28. Full description at Econpapers || Download paper |
| 2025 | Stock return predictability in the frequency domain. (2025). Xue, Bowen ; Kang, Jie ; Jiang, Fuwei ; Dai, Zhifeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1126-1147. Full description at Econpapers || Download paper |
| 2024 | Heterogeneous beliefs with preference interdependence and asset pricing. (2024). Wang, Hailong ; Hu, Duni. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1-37. Full description at Econpapers || Download paper |
| 2024 | Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization. (2024). Escobar Anel, Marcos ; Zagst, Rudi ; Speck, Max ; Escobar-Anel, Marcos. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:11:p:1611-:d:1398670. Full description at Econpapers || Download paper |
| 2025 | Forecasting stock returns with sum-of-the-parts methodology: international evidence. (2025). Noman, Abdullah ; Naka, Atsuyuki ; Athari, Mahtab. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:1:d:10.1057_s41260-024-00380-1. Full description at Econpapers || Download paper |
| 2024 | Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds. (2024). Qadan, Mahmoud ; Bayaa, Yasmeen. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:4:d:10.1007_s40822-024-00278-8. Full description at Econpapers || Download paper |
| 2025 | The term structure of interest rates as predictor of stock market volatility. (2025). Megaritis, Anastasios ; Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Kontonikas, Alexandros. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3212-3229. Full description at Econpapers || Download paper |
| 2025 | Predicting Equity Premium: A New Momentum Indicator Selection Strategy With Machine Learning. (2025). Yuan, Ying ; Qu, Yong. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:424-435. Full description at Econpapers || Download paper |
| 2025 | Money Growth and Inflation—How to Account for the Differences in Empirical Results. (2025). Mandler, Martin ; Scharnagl, Michael. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:3:p:1009-1025. Full description at Econpapers || Download paper |
| 2024 | Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database. (2024). Wallmeier, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:854-875. Full description at Econpapers || Download paper |
| 2024 | Option‐Implied Ambiguity and Equity Return Predictability. (2024). Chen, Yiyao ; Liu, Yanchu ; Sun, Xianming. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:9:p:1556-1577. Full description at Econpapers || Download paper |
| 2025 | Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility. (2025). Qiao, Gaoxiu ; Cui, Wanmei ; Zhou, Yijie ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:23-46. Full description at Econpapers || Download paper |
| 2025 | Forecasting the Market Returns And Portfolio Enhancement With Frequency‐Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market. (2025). Lien, Donald ; Lee, Hsiuchuan ; Chang, Shulien ; Wang, Yihsien. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:521-546. Full description at Econpapers || Download paper |
Works by Gonçalo Faria:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | Forecasting stock market returns by summing the frequency-decomposed parts In: Working Papers de Economia (Economics Working Papers). [Full Text][Citation analysis] | paper | 51 |
| 2018 | Forecasting stock market returns by summing the frequency-decomposed parts.(2018) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
| 2017 | Forecasting stock market returns by summing the frequency-decomposed parts.(2017) In: CEF.UP Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2016 | Forecasting stock market returns by summing the frequency-decomposed parts.(2016) In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2016 | Forecasting the equity risk premium with frequency-decomposed predictors In: Working Papers de Economia (Economics Working Papers). [Full Text][Citation analysis] | paper | 8 |
| 2017 | Forecasting the equity risk premium with frequency-decomposed predictors.(2017) In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2025 | Unlocking predictive potential: The frequency-domain approach to equity premium forecasting In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2024 | Unlocking predictive potential: the frequency-domain approach to equity premium forecasting.(2024) In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | The yield curve and the stock market: Mind the long run In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 17 |
| 2022 | The Correlation Risk Premium: International Evidence In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
| 2012 | The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices In: Annals of Finance. [Full Text][Citation analysis] | article | 6 |
| 2011 | The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices.(2011) In: FEP Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2014 | A closed-form solution for options with ambiguity about stochastic volatility In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 16 |
| 2011 | A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility.(2011) In: FEP Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2007 | Numerical solution of linear models in economics: The SP-DG model revisited In: FEP Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility In: FEP Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity? In: FEP Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?.(2016) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2021 | Time-frequency forecast of the equity premium In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2020 | Time-frequency forecast of the equity premium.(2020) In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2023 | Forecast combination in the frequency domain In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | The equity risk premium and the low frequency of the term spread In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Frequency-domain information for active portfolio management In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team