Andre A. P. Santos

Universidade Federal de Santa Catarina (UFSC) - Department of Economics

PO Box 476

Florianopolis, SC 88010-970

Brazil

http://sites.google.com/site/andreportela

SCHOLARLY PAPERS

11

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CITATIONS
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10

Scholarly Papers (11)

1.

The Performance of Socially Responsible Mutual Funds: The Role of Fees And Management Companies

Number of pages: 33 Posted: 26 Nov 2008
Javier Gil-Bazo, Pablo Ruiz-Verdú and Andre A. P. Santos
Universitat Pompeu Fabra, Universidad Carlos III de Madrid and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 681 (26,043)
Citation 4

Abstract:

Socially responsible investment, Mutual fund fees, Mutual fund performance, Mutual Fund Management Companies

2.

Bond Portfolio Optimization Using Dynamic Factor Models

Number of pages: 49 Posted: 07 Jun 2012 Last Revised: 23 Nov 2015
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 484 (34,794)

Abstract:

yield curve; dynamic factor model; dynamic conditional correlation (DCC); portfolio optimization; value-at-risk

3.

Optimal Portfolios with Minimum Capital Requirements

Journal of Banking and Finance, Vol. 36, No. 7, 2012
Number of pages: 55 Posted: 04 May 2010 Last Revised: 17 Jul 2012
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 276 (89,879)
Citation 2

Abstract:

Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation

4.

Measuring Risk in Fixed Income Portfolios Using Yield Curve Models

Number of pages: 28 Posted: 18 Aug 2013
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 222 (80,507)

Abstract:

backtesting, dynamic conditional correlation (DCC), forecast, maximum likelihood, value-at-risk

5.

Dynamic Factor Multivariate GARCH Model

Forthcoming, Computational Statistics and Data Analysis
Number of pages: 27 Posted: 17 Jul 2012 Last Revised: 09 Oct 2012
Andre A. P. Santos and Guilherme V. Moura
Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 201 (114,063)
Citation 1

Abstract:

dynamic conditional correlation (DCC), forecasting, Kalman filter, learning, CAPM, performance evaluation, Sharpe ratio

6.

Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

Journal of Financial Econometrics, Forthcoming
Number of pages: 44 Posted: 17 Jul 2012 Last Revised: 18 Aug 2013
Andre A. P. Santos, Francisco J. Nogales and Esther Ruiz
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 182 (125,994)
Citation 3

Abstract:

Backtesting, Basel Accords, market risk, composite likelihood, risk management, volatility

7.

Predicting the Yield Curve Using Forecast Combinations

Number of pages: 34 Posted: 18 Aug 2013
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 89 (214,272)

Abstract:

yield curve, dynamic factor models, forecast combinations, economic value of forecasts, Kalman

8.

Combining Multivariate Volatility Forecasts: An Economic-Based Approach

Journal of Financial Econometrics, Forthcoming
Number of pages: 45 Posted: 23 Sep 2015 Last Revised: 25 Oct 2016
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 21 (163,177)

Abstract:

Composite likelihood, conditional correlation models, model confidence set, realized covariance, stochastic volatility

9.

Disentangling the Role of Variance and Covariance Information in Portfolio Selection Problems

Number of pages: 35 Posted: 28 May 2017 Last Revised: 29 May 2017
Andre A. P. Santos
Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 0 (295,792)

Abstract:

Inverse covariance matrix, minimum variance portfolio, reward-to-risk timing, tangency portfolio, volatility timing

10.

Yield Curve Forecast Combinations Based on Bond Portfolio Performance

Journal of Forecasting, Forthcoming
Number of pages: 33 Posted: 29 Mar 2017
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 0 (348,632)

Abstract:

Forecast Combinations, Portfolio Optimization, Yield Curve, Bond Returns

11.

On the Choice of Covariance Specifications for Portfolio Selection Problems

Number of pages: 25 Posted: 06 Aug 2016 Last Revised: 28 Jan 2017
Alexandre Rezende Ferreira and Andre A. P. Santos
Rice University, Jesse H. Jones Graduate School of Business, Students and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 0 (358,369)

Abstract:

Composite likelihood, conditional correlation models, factor models, multivariate GARCH