Gonçalo Faria

Catholic University of Portugal (UCP) - School of Economics and Management and CEGE

Universidade Católica Portuguesa

Rua Diogo Botelho 1327

Porto, 4169-005

Portugal

SCHOLARLY PAPERS

7

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32

CROSSREF CITATIONS

4

Scholarly Papers (7)

The Correlation Risk Premium: International Evidence

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 26 Nov 2018 Last Revised: 06 Jan 2022
Gonçalo Faria, Robert Kosowski and Tianyu Wang
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 533 (97,602)
Citation 1

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correlation risk premium, implied correlation, realized correlation, variance risk premium, international equity options

The Correlation Risk Premium: International Evidence

CEPR Discussion Paper No. DP16389
Number of pages: 46 Posted: 22 Sep 2021
Gonçalo Faria, Robert Kosowski and Tianyu Wang
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and Tsinghua University, School of Economics and Management
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correlation risk premium, implied correlation, international equity options, realized correlation, variance risk premium

The Equity Risk Premium and the Low Frequency of the Term Spread

Number of pages: 48 Posted: 06 Sep 2017 Last Revised: 18 Apr 2018
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 241 (235,175)

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equity risk premium, term spread, predictability, frequency domain

The Equity Risk Premium and the Low Frequency of the Term Spread

Bank of Finland Research Discussion Paper No. 7/2018
Number of pages: 51 Posted: 05 Apr 2018 Last Revised: 18 Nov 2021
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 144 (373,884)

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3.

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Bank of Finland Research Discussion Paper No. 29/2016
Number of pages: 49 Posted: 02 Dec 2016 Last Revised: 18 Nov 2021
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 353 (159,350)
Citation 7

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predictability, stock returns, equity premium, asset allocation, frequency domain, wavelets

4.

Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors

Bank of Finland Research Discussion Paper No. 1/2017
Number of pages: 42 Posted: 14 Feb 2017
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 300 (189,483)

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predictability, equity risk premium, frequency domain, discrete wavelets

5.

The Yield Curve and the Stock Market: Mind the Long Run

Number of pages: 46 Posted: 05 Aug 2019
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 179 (310,774)
Citation 6

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equity premium, term spread, predictability, frequency domain

6.

Time-frequency Forecast of the Equity Premium

Bank of Finland Research Discussion Paper No. 6/2020
Number of pages: 42 Posted: 30 Apr 2020
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 132 (399,730)

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time-frequency forecast, equity premium, multiresolution analysis

7.

Frequency-Domain Information for Active Portfolio Management

Bank of Finland Research Discussion Paper No. 2/2020
Number of pages: 39 Posted: 31 Jan 2020
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 115 (443,513)

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equity risk premium, bond risk premium, predictability, multiresolution analysis, active portfolio management