9
H index
9
i10 index
291
Citations
Andre Alves Portela Santos : Citation Profile
CUNEF Universidad | RESEARCH PRODUCTION: 30 Articles 10 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (2005 - 2022). 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 |
| Computational Statistics & Data Analysis | 2 |
| Journal of Financial Econometrics | 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Fund Characteristics and Performances of Socially Responsible Mutual Funds: Do ESG Ratings Play a Role?. (2018). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1806.09906. Full description at Econpapers || Download paper |
| 2024 | Do 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. Full description at Econpapers || Download paper |
| 2023 | High-dimensional sparse portfolio selection with nonnegative constraint. (2023). Yang, HU ; Xia, Siwei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008347. Full description at Econpapers || Download paper |
| 2023 | Are sustainable investments interdependent? The international evidence. (2023). Arfaoui, Nadia ; Ha, Thi Thu ; Naeem, Muhammad Abubakr ; Mirza, Nawazish ; Oliyide, Johnson A. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003571. Full description at Econpapers || Download paper |
| 2023 | Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512. Full description at Econpapers || Download paper |
| 2023 | A unified algorithm framework for mean-variance optimization in discounted Markov decision processes. (2023). Xia, LI ; Ma, Xiaoteng. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:3:p:1057-1067. Full description at Econpapers || Download paper |
| 2023 | How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722. Full description at Econpapers || Download paper |
| 2023 | Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033. Full description at Econpapers || Download paper |
| 2023 | Hidden Gem or Fool’s Gold: Can passive ESG ETFs outperform the benchmarks?. (2023). Zakriya, Mohammed ; Jarvinen, Jesse ; Dumitrescu, Ariadna. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300056x. Full description at Econpapers || Download paper |
| 2023 | Fund flows and performance: New evidence from retail and institutional SRI mutual funds. (2023). Zhao, Yuan ; Klinkowska, Olga. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001126. Full description at Econpapers || Download paper |
| 2023 | The insidious hyperreality in financial markets: An integrative review with evidence from the Indian financial market. (2023). Goel, Sandeep ; Dhasmana, Samriddhi. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004386. Full description at Econpapers || Download paper |
| 2024 | Google search trends and stock markets: Sentiment, attention or uncertainty?. (2024). Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923000650. Full description at Econpapers || Download paper |
| 2024 | Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187. Full description at Econpapers || Download paper |
| 2023 | Stop-loss adjusted labels for machine learning-based trading of risky assets. (2023). Lee, Yongjae ; Park, Junpyo ; Hwang, Yoontae ; Lim, Dong-Young. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006578. Full description at Econpapers || Download paper |
| 2024 | Sustainability ratings and fund performance: New evidence from European ESG equity mutual funds. (2024). Koutsokostas, Drosos ; Papathanasiou, Spyros. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001259. Full description at Econpapers || Download paper |
| 2023 | Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331. Full description at Econpapers || Download paper |
| 2023 | Model combinations through revised base rates. (2023). Panagiotelis, Anastasios ; Spiliotis, Evangelos ; Petropoulos, Fotios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1477-1492. Full description at Econpapers || Download paper |
| 2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2023 | Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets. (2023). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300003x. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | The Relationship between Search Engines and Entrepreneurship Development: A Granger-VECM Approach. (2023). Al-Ramahi, Nidal Mahmoud ; Haddad, Hossam ; Olumekor, Michael. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:6:p:5053-:d:1095542. Full description at Econpapers || Download paper |
| 2023 | Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462. Full description at Econpapers || Download paper |
| 2023 | Measuring the efficiency of mutual funds: Does ESG controversies score affect the mutual fund performance during the COVID-19 pandemic?. (2023). ben Abdelaziz, Fouad ; Tampakoudis, Ioannis ; Kiosses, Nikolaos ; Petridis, Konstantinos. In: Operational Research. RePEc:spr:operea:v:23:y:2023:i:3:d:10.1007_s12351-023-00795-5. Full description at Econpapers || Download paper |
| 2023 | Economic analysis through alternative data and big data techniques: what do they tell about Brazil?. (2023). Paiva, Carlos Augusto ; Ekel, Petr Iakovlevitch ; Liborio, Matheus Pereira. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00387-z. Full description at Econpapers || Download paper |
| 2024 | A meta-analysis of disposition effect experiments. (2024). Cheung, Stephen. In: Working Papers. RePEc:syd:wpaper:2024-02. Full description at Econpapers || Download paper |
| 2023 | The importance of staying positive: The impact of emotions on attitude to risk. (2023). Money, Kevin ; Hillenbrand, Carola ; Saraeva, Anastasiya ; Sangiorgi, Ivan ; Brooks, Chris. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3232-3261. Full description at Econpapers || Download paper |
| 2024 | A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Santos, Samuel Solgon ; Gossling, Thalles Weber ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543. 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 | 3 |
| 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 nother 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 | 3 |
| 2021 | Can Machine Learning Help to Select Portfolios of Mutual Funds? In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2021 | Can machine learning help to select portfolios of mutual funds?.(2021) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | 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 | 82 |
| 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 nother version. Agregated cites: 82 | 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 | 43 |
| 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 nother version. Agregated cites: 43 | 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 | 15 |
| 2014 | Dynamic factor multivariate GARCH model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 15 |
| 2016 | Bond portfolio optimization using dynamic factor models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 20 |
| 2022 | Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 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 nother 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 | 11 |
| 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 | 8 |
| 2017 | Combining Multivariate Volatility Forecasts: An Economic-Based Approach In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 11 |
| 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 | 5 |
| 2013 | Psychophysiological correlates of the disposition effect In: MPRA Paper. [Full Text][Citation analysis] | paper | 9 |
| 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 nother 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 | 1 |
| 2019 | Disentangling the role of variance and covariance information in portfolio selection problems In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2017 | Can We Predict the Financial Markets Based on Googles Search Queries? In: Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
| 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. Last updated November, 3 2024. Contact: CitEc Team