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Semiparametric portfolios : Improving portfolio performance by exploiting non-linearities in firm characteristics
Caldeira, João F.
;
Santos, André A. P.
;
Torrent, Hudson S.
- In:
Economic modelling
122
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014388683
Saved in:
2
Previsões macroeconômicas baseadas em modelos TVP-VAR : evidências para o Brasil
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Revista brasileira de economia : RBE ; revista da …
69
(
2015
)
4
,
pp. 407-428
Persistent link: https://www.econbiz.de/10011447328
Saved in:
3
Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Computational economics
46
(
2015
)
1
,
pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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4
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
5
Bond portfolio optimization using dynamic factor models
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Journal of empirical finance
37
(
2016
),
pp. 128-158
Persistent link: https://www.econbiz.de/10011662973
Saved in:
6
Can we predict the financial markets based on Google's search queries?
Perlin, Marcelo Scherer
;
Caldeira, João F.
;
Santos, …
- In:
Journal of forecasting
36
(
2017
)
4
,
pp. 454-467
Persistent link: https://www.econbiz.de/10011860470
Saved in:
7
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle
;
Santos, André A. P.
;
Ruiz, Esther
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
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8
Hedging against embarrassment
Goulart, Marco
;
Costa Júnior, Newton C. A. da
; …
- In:
Journal of economic behavior & organization : JEBO
116
(
2015
),
pp. 310-318
Persistent link: https://www.econbiz.de/10011567882
Saved in:
9
Disentangling the role of variance and covariance information in portfolio selection problems
Santos, André A. P.
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 57-76
Persistent link: https://www.econbiz.de/10012194620
Saved in:
10
Markowitz meets technical analysis : building optimal portfolios by exploiting information in trend-following signals
Santos, André A. P.
;
Torrent, Hudson S.
- In:
Finance research letters
49
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013478652
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