9
H index
9
i10 index
309
Citations
Andre Alves Portela Santos : Citation Profile
CUNEF Universidad | RESEARCH PRODUCTION: 38 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2005 - 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 Andre Alves Portela Santos. | Is cited by:
| Cites to:
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Main data
Where Andre Alves Portela Santos has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 3 |
| DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística | 2 |
Recent works citing Andre Alves Portela Santos (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 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 |
| 2024 | . Full description at Econpapers || Download paper |
| 2025 | Adaptive 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. Full description at Econpapers || Download paper |
| 2025 | Industry 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. 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 |
| 2024 | Can 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. Full description at Econpapers || Download paper |
| 2024 | Constructing 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. 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 |
| 2024 | Market timing with moving average distance: International evidence. (2024). Mugerman, Yevgeny ; Kaplanski, Guy ; Abudy, Menachem Meni. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001318. 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 | Analyzing 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. 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 |
| 2024 | ESG 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. 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 |
| 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 |
| 2024 | Does 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. 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 |
| 2016 | Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence In: Economia. [Full Text][Citation analysis] | article | 3 |
| 2016 | FORECASTING 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: 3 | paper | |
| 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 | |
| 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 | |
| 2025 | Forecasting 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] | article | 0 |
| 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 |
| 2015 | The 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] | 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 | 7 |
| 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 | 83 |
| 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: 83 | article | |
| 2019 | Comparing Forecasts of Extremely Large Conditional Covariance Matrices In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 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 | 44 |
| 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: 44 | 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 |
| 2023 | Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 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 | 3 |
| 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 | |
| 2020 | Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 9 |
| 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 |
| 2023 | Machine learning and fund characteristics help to select mutual funds with positive alpha In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 3 |
| 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 | 12 |
| 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 | |
| 2020 | A note on the estimation of minimum tracking error portfolios In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 0 |
| 2017 | Can We Predict the Financial Markets Based on Googles Search Queries? In: Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
| 2018 | Yield curve forecast combinations based on bond portfolio performance In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 2005 | Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers In: Finance. [Full Text][Citation analysis] | paper | 4 |
| 2005 | Are Pound and Euro the Same Currency? In: International Finance. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team