Nelson Areal

University of Minho - School of Economics and Management

Associate Professor

University of Minho

School of Economics and Management

Braga, 4710-057

Portugal

http://nelsonareal.net

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 13,860

SSRN RANKINGS

Top 13,860

in Total Papers Downloads

3,765

SSRN CITATIONS
Rank 33,776

SSRN RANKINGS

Top 33,776

in Total Papers Citations

13

CROSSREF CITATIONS

8

Scholarly Papers (15)

1.

FTSE-100 Implied Volatility Index

Number of pages: 64 Posted: 17 Mar 2008
Nelson Areal
University of Minho - School of Economics and Management
Downloads 869 (29,131)
Citation 3

Abstract:

Loading...

volatility, volatility indices, forecasting volatility, long memory

2.

Socially Responsible Investing in the Global Market: The Performance of US and European Funds

Number of pages: 38 Posted: 16 Feb 2009 Last Revised: 15 Sep 2009
Maria C. Cortez, Florinda Silva and Nelson Areal
University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 719 (37,853)
Citation 3

Abstract:

Loading...

Fund performance evaluation, Socially responsible mutual funds, Global funds, Socially responsible investing, Socially responsible indices, General market indices

3.

The Realized Volatility of Ftse-100 Futures Prices

EFA 0237; Department of Accounting and Finance, Lancaster University
Number of pages: 31 Posted: 11 Dec 2000
Nelson Areal and Stephen J. Taylor
University of Minho - School of Economics and Management and Lancaster University - Department of Accounting and Finance
Downloads 664 (42,163)
Citation 7

Abstract:

Loading...

4.

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 45 Posted: 22 Aug 2012 Last Revised: 22 Jan 2013
University of Sheffield - School of Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 365 (88,488)
Citation 1

Abstract:

Loading...

Backtesting, Extreme value theory, GARCH, Filtered historical simulation, Value at Risk

5.

Investing in Mutual Funds: Does it Pay to Be a Sinner or a Saint in Times of Crisis?

Number of pages: 22 Posted: 14 Sep 2010
Nelson Areal, Maria C. Cortez and Florinda Silva
University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 304 (108,473)
Citation 2

Abstract:

Loading...

financial crisis, market regimes, performance evaluation, socially responsible investing, vice fund

6.

The Financial Performance of the World's Most Ethical Companies: Advantage in Times of Crisis

Number of pages: 48 Posted: 07 Dec 2012
Nelson Areal and Ana Carvalho
University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 302 (109,285)

Abstract:

Loading...

ethical companies, financial performance, bull and bear markets, conditional models, bootstrapping

7.

On the Dangers of a Simplistic American Option Simulation Valuation Method

This is an Accepted Manuscript of an article published by Taylor & Francis in European Journal of Finance, (2009)
Number of pages: 12 Posted: 01 Jan 2008 Last Revised: 10 May 2018
Nelson Areal and Artur Rodrigues
University of Minho - School of Economics and Management and University of Minho - NIPE and School of Economics and Management
Downloads 166 (194,808)

Abstract:

Loading...

American option valuation, Monte Carlo simulation, Numerical methods

8.

Discrete Dividends and the FTSE-100 Index Options Valuation

This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance (2011)
Number of pages: 47 Posted: 04 Sep 2010 Last Revised: 10 May 2018
Nelson Areal and Artur Rodrigues
University of Minho - School of Economics and Management and University of Minho - NIPE and School of Economics and Management
Downloads 161 (199,939)
Citation 1

Abstract:

Loading...

American Options, Computational Finance, Derivative Pricing Models, Monte Carlo Methods, Numerical Methods for Option Pricing, Options Pricing

9.

Great Places to Work®: Resilience in Times of Crisis

Number of pages: 54 Posted: 07 Dec 2012
Nelson Areal and Ana Carvalho
University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 116 (259,010)
Citation 1

Abstract:

Loading...

best-practice HRM, best employer awards, financial performance, bull and bear markets, conditional models

10.

Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation

Number of pages: 44 Posted: 23 Dec 2015 Last Revised: 25 Oct 2017
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 80 (330,138)

Abstract:

Loading...

Downside risk measures, Location-scale distributions, Portfolio performance measures, Tests of correlation

11.

On Improving the Least Squares Monte Carlo Option Valuation Method

This is a pre-print of an article published in Review of Derivatives Research, 11(1-2), 119-151 (2008)
Number of pages: 36 Posted: 05 Feb 2008 Last Revised: 10 May 2018
University of Minho - School of Economics and Management, University of Minho - NIPE and School of Economics and Management and University of Minho
Downloads 19 (569,993)
Citation 3

Abstract:

Loading...

American options, real options, simulation, quasi Monte-Carlo methods

12.

Fast Trees for Options with Discrete Dividends

Posted: 20 May 2019
Nelson Areal and Artur Rodrigues
University of Minho - School of Economics and Management and University of Minho - NIPE and School of Economics and Management
Downloads 0 (721,207)

Abstract:

Loading...

Option valuation, Discrete dividends, Binomial trees

13.

New Tests of Correlation and the Choice of Measures of Portfolio Performance

Posted: 31 May 2014 Last Revised: 05 Oct 2017
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Abstract:

Loading...

Downside risk measures, Location-scale distributions, Portfolio performance measures, Tests of correlation

14.

Does the Use of Downside Risk-Adjusted Measures Lead to Better Future Performance?

Posted: 03 Jul 2011
University of Minho - School of Economics and Management, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Abstract:

Loading...

Downside risk-adjusted performance measures, Filtered historical simulation, fund performance predictability

15.

Does the Use of Downside Risk-Adjusted Measures Impact the Performance of UK Investment Trusts?

23rd Australasian Finance and Banking Conference 2010 Paper
Posted: 22 Aug 2010 Last Revised: 24 Dec 2015
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Abstract:

Loading...

Fund performance evaluation, Downside risk-measures, Filtred historical simulation