Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
Moura, Guilherme V., Santos, André A.P., Ruiz, Esther
Published in Journal of banking & finance (01.09.2020)
Published in Journal of banking & finance (01.09.2020)
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Journal Article
Bond portfolio optimization using dynamic factor models
Caldeira, João F., Moura, Guilherme V., Santos, André A.P.
Published in Journal of empirical finance (01.06.2016)
Published in Journal of empirical finance (01.06.2016)
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Journal Article
Monetary policy surprises and jumps in interest rates: evidence from Brazil
Meurer, Roberto, Santos, André A.P, Turatti, Douglas E
Published in Journal of economic studies (Bradford) (12.10.2015)
Published in Journal of economic studies (Bradford) (12.10.2015)
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Journal Article
Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence
Caldeira, João F, Moura, Guilherme V, Santos, André A. P, Tourrucôo, Fabricio
Published in Economia (Associação Nacional dos Centros de Pós-Graduação em Economia : 2000) (01.05.2016)
Published in Economia (Associação Nacional dos Centros de Pós-Graduação em Economia : 2000) (01.05.2016)
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Journal Article
Lotka’s law for the Brazilian scientific output published in journals
Da Silva, Sergio, Perlin, Marcelo, Matsushita, Raul, Santos, André AP, Imasato, Takeyoshi, Borenstein, Denis
Published in Journal of information science (01.10.2019)
Published in Journal of information science (01.10.2019)
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Journal Article
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors
Caldeira, João F., Cordeiro, Werley C., Ruiz, Esther, Santos, André A.P.
Published in Journal of time series analysis (09.09.2024)
Published in Journal of time series analysis (09.09.2024)
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Journal Article
Optimal portfolios with minimum capital requirements
Santos, André A.P., Nogales, Francisco J., Ruiz, Esther, Dijk, Dick Van
Published in Journal of banking & finance (01.07.2012)
Published in Journal of banking & finance (01.07.2012)
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Journal Article
The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies
Gil-Bazo, Javier, Ruiz-Verdú, Pablo, Santos, André A. P.
Published in Journal of business ethics (01.06.2010)
Published in Journal of business ethics (01.06.2010)
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Journal Article
Can We Predict the Financial Markets Based on Google's Search Queries?
Perlin, Marcelo S., Caldeira, João F., Santos, André A. P., Pontuschka, Martin
Published in Journal of forecasting (01.07.2017)
Published in Journal of forecasting (01.07.2017)
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Journal Article
Predicting the yield curve using forecast combinations
Caldeira, João F., Moura, Guilherme V., Santos, André A.P.
Published in Computational statistics & data analysis (01.08.2016)
Published in Computational statistics & data analysis (01.08.2016)
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Journal Article
Dynamic factor multivariate GARCH model
Santos, André A.P., Moura, Guilherme V.
Published in Computational statistics & data analysis (01.08.2014)
Published in Computational statistics & data analysis (01.08.2014)
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Journal Article
Hedging against embarrassment
Goulart, Marco, da Costa, Newton C.A., Andrade, Eduardo B., Santos, André A.P.
Published in Journal of economic behavior & organization (01.08.2015)
Published in Journal of economic behavior & organization (01.08.2015)
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Journal Article