André B.M. Souza

ESADE Business School

Av. de Pedralbes, 60-62

Barcelona, 08034

Spain

http://www.andrebmsouza.com

  • ESADE Business School

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Directional Information in Equity Returns

Number of pages: 91 Posted: 13 Oct 2023
Luca Del Viva, Carlo Sala and André B.M. Souza
ESADE Business School, ESADE Business School and ESADE Business School
Downloads 839 (50,928)

Abstract:

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Sign predictability, biased expectations, mispricing, momentum, crashes

2.

Backtesting Global Growth-at-Risk

Number of pages: 69 Posted: 10 Oct 2019 Last Revised: 02 Nov 2020
Christian T. Brownlees and André B.M. Souza
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and ESADE Business School
Downloads 751 (59,040)
Citation 23

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Growth-at-Risk, Backtesting, Quantile Regression, GARCH

3.

Composite Absolute Value and Sign Forecasts

Number of pages: 47 Posted: 27 Jan 2021
André B.M. Souza
ESADE Business School
Downloads 225 (233,599)

Abstract:

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Forecasting, Directional Predictability, Machine Learning