Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection von Moura, Guilherme V., Santos, André A.P., Ruiz, Esther

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Beating the market with small portfolios: Evidence from Brazil von Santos, André A.P

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Portfolio management using realized covariances: Evidence from Brazil von Caldeira, João F, Moura, Guilherme V, Perlin, Marcelo S, Santos, André A.P

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Bond portfolio optimization using dynamic factor models von Caldeira, João F., Moura, Guilherme V., Santos, André A.P.

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Monetary policy surprises and jumps in interest rates: evidence from Brazil von Meurer, Roberto, Santos, André A.P, Turatti, Douglas E

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Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence von Caldeira, João F, Moura, Guilherme V, Santos, André A. P, Tourrucôo, Fabricio

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Lotka’s law for the Brazilian scientific output published in journals von Da Silva, Sergio, Perlin, Marcelo, Matsushita, Raul, Santos, André AP, Imasato, Takeyoshi, Borenstein, Denis

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Machine learning and fund characteristics help to select mutual funds with positive alpha von DeMiguel, Victor, Gil-Bazo, Javier, Nogales, Francisco J., Santos, André A.P.

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The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies von Gil-Bazo, Javier, Ruiz-Verdú, Pablo, Santos, André A. P.

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Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals von Santos, André A.P., Torrent, Hudson S.

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Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors von Caldeira, João F., Cordeiro, Werley C., Ruiz, Esther, Santos, André A.P.

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Optimal portfolios with minimum capital requirements von Santos, André A.P., Nogales, Francisco J., Ruiz, Esther, Dijk, Dick Van

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Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics von Caldeira, João F., Santos, André A.P., Torrent, Hudson S.

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Can We Predict the Financial Markets Based on Google's Search Queries? von Perlin, Marcelo S., Caldeira, João F., Santos, André A. P., Pontuschka, Martin

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Disentangling the role of variance and covariance information in portfolio selection problems von Santos, André A. P.

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The Brazilian scientific output published in journals: A study based on a large CV database von Perlin, Marcelo S., Santos, André A.P., Imasato, Takeyoshi, Borenstein, Denis, Da Silva, Sergio

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Predicting the yield curve using forecast combinations von Caldeira, João F., Moura, Guilherme V., Santos, André A.P.

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A RBF neural network model with GARCH errors: Application to electricity price forecasting von Coelho, Leandro dos Santos, Santos, André A.P.

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Dynamic factor multivariate GARCH model von Santos, André A.P., Moura, Guilherme V.

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Covariance prediction in large portfolio allocation von Trucíos, Carlos, Zevallos, Mauricio, Hotta, Luiz K, Santos, André A. P

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