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 11,203

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Top 11,203

in Total Papers Downloads

3,444

CITATIONS

2

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 678 (24,580)
Citation 1

Abstract:

volatility, volatility indices, forecasting volatility, long memory

2.

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 647 (31,421)
Citation 1

Abstract:

3.

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 Ceu 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 585 (32,893)

Abstract:

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

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 261 (79,735)

Abstract:

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

5.

Fast Trees for Options with Discrete Dividends

Posted: 24 Feb 2011
Nelson Areal and Artur Rodrigues
University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 178 (110,507)

Abstract:

Option valuation, Discrete dividends, Binomial trees

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 Ceu 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 176 (108,181)

Abstract:

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

7.

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 162 (135,055)

Abstract:

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

8.

On the Dangers of a Simplistic American Option Simulation Valuation Method

Number of pages: 13 Posted: 01 Jan 2008
Nelson Areal and Artur Rodrigues
University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 155 (157,037)

Abstract:

American option valuation, Monte Carlo simulation, Numerical methods

9.

Discrete Dividends and the FTSE-100 Index Options Valuation

Number of pages: 47 Posted: 04 Sep 2010 Last Revised: 29 Nov 2010
Nelson Areal and Artur Rodrigues
University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 115 (174,993)

Abstract:

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

10.

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:

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

11.

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 67 (232,635)

Abstract:

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

12.

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

Posted: 31 May 2014 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:

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

13.

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

Number of pages: 58 Posted: 23 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
Downloads 0 (395,333)

Abstract:

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:

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

15.

On Improving the Least Squares Monte Carlo Option Valuation Method

Review of Derivatives Research, Forthcoming
Posted: 05 Feb 2008 Last Revised: 26 Oct 2008
University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho

Abstract:

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