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

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

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

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1.

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

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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 193 (171,330)

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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: 12 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 98 (294,424)

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equity risk premium, term spread, predictability, frequency domain

2.

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 231 (144,837)

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predictability, equity risk premium, frequency domain, discrete wavelets

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: 23 Nov 2017
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 202 (164,332)
Citation 4

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

4.

The Correlation Risk Premium: International Evidence

Number of pages: 38 Posted: 26 Nov 2018
Gonçalo Faria, Robert Kosowski and Tianyu Wang
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and School of Economics and Management, Tsinghua University
Downloads 161 (200,957)
Citation 4

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Correlation Risk Premium, International Equity Option Markets, Global Correlation Risk

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 56 (400,765)
Citation 1

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equity premium, term spread, predictability, frequency domain

6.

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 38 (469,462)

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

7.

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 35 (482,952)

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time-frequency forecast, equity premium, multiresolution analysis