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

  • University of Minho - School of Economics and Management

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SCHOLARLY PAPERS

15

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4,791

SSRN CITATIONS
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SSRN RANKINGS

Top 33,635

in Total Papers Citations

19

CROSSREF CITATIONS

9

Scholarly Papers (15)

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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 1,007 (39,238)
Citation 3

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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 838 (50,673)
Citation 9

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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

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 711 (63,129)
Citation 7

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4.

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 513 (95,072)
Citation 1

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

5.

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
Christopher J. Adcock, Nelson Areal and Benilde Oliveira
University of Sheffield - School of Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 467 (106,460)
Citation 1

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

6.

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 380 (135,199)
Citation 3

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

7.

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 200 (258,879)
Citation 1

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

8.

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 188 (273,721)
Citation 1

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

9.

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 187 (274,969)

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American option valuation, Monte Carlo simulation, Numerical methods

10.

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
Nelson Areal, Artur Rodrigues and Manuel J. Rocha Armada
University of Minho - School of Economics and Management, University of Minho - NIPE and School of Economics and Management and University of Minho
Downloads 152 (328,382)
Citation 5

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

11.

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
Christopher J. Adcock, Nelson Areal, Manuel J. Rocha Armada, Maria C. Cortez, Benilde Oliveira and Florinda Silva
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 148 (335,591)

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

12.

Fast Trees for Options with Discrete Dividends

https://doi.org/10.3905/jod.2013.21.1.049
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 (1,054,483)

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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
Christopher J. Adcock, Nelson Areal, Manuel J. Rocha Armada, Maria C. Cortez, Benilde Oliveira and Florinda Silva
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

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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
Florinda Silva, Benilde Oliveira, Nelson Areal and Maria C. Cortez
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:

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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
Christopher J. Adcock, Nelson Areal, Manuel J. Rocha Armada, Maria C. Cortez, Benilde Oliveira and Florinda Silva
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:

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