André Portela Santos 

19] Intraday Volatility Transmission in Global Energy Markets: A Bayesian Nonparametric Approach. With M. Zaharieva and A. Virbickaité. Forthcoming, Journal of Commodity Markets, 39, 2025. With M. Zaharieva and A. Virbickaitė. (link)

18] Forecasting the Yield Curve: The Role of Additional and Time-Varying Decay Parameters, Conditional Heteroscedasticity, and Macro-Economic Factors. Journal of Time Series Analysis, 2024. with J. Caldeira, W. Cordeiro, and E. Ruiz. (link)

17] Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha. Journal of Financial Economics, 150(3), 2023. With V. DeMiguel, J. Gil-Bazo and J. Nogales. (link)

16] Semiparametric Portfolios: Improving Portfolio Performance by Exploiting Non-Linearities in Firm Characteristics. Economic Modelling, 122, 2023. With J. Caldeira and H. Torrent. (link)

15] Markowitz Meets Technical Analysis: Building Optimal Portfolios by Exploiting Information in Trend-Following Signals. Finance Research Letters, 49, 2022. With H. Torrent. (link)

14] Comparing high dimensional conditional covariance matrices: Implications for portfolio selection. Journal of Banking and Finance, 118, 2020. With G. V. Moura and E. Ruiz. (link)

13] Disentangling the role of variance and covariance information in portfolio selection problems. Quantitative Finance, 19(1), 2019. (link)  

12] Yield curve forecast combinations based on bond portfolio performance. Journal of Forecasting, 31(1), 2018. With G. V. Moura, J. F. Caldeira. (link)

11] Combining multivariate volatility forecasts: an economic-based approach. Journal of Financial Econometrics, 15(2), 2017. With G. V. Moura, J. F. Caldeira, and F. J. Nogales. (link)

10] Can we predict the financial markets based on Google's search queries? Journal of Forecasting, 36(4), 2017. With M. Perlin, J. F. Caldeira, and M. Pontuschka. (link)

9] Predicting the yield curve using forecast combinations. Computational Statistics & Data Analysis, 100, 2016. With G. V. Moura and J. F. Caldeira. (link)

8] Bond portfolio optimization using dynamic factor models. Journal of Empirical Finance, 37, 2016. With G. V. Moura and J. F. Caldeira. (link)

7] Hedging against embarrassment. Journal of Economic Behavior and Organization, 116, 2015. With M. Goulart, N. Costa Jr., and E. Andrade. (link)

6] Measuring risk in fixed income portfolios using yield curve models. Computational Economics. 46(1), 2015. With G. V. Moura and J. F. Caldeira. (link)

5] Dynamic factor multivariate GARCH model. Computational Statistics & Data Analysis, 76, 2014. With G. V. Moura. (link)

4] Psychophysiological correlates of the disposition effect. PLOS One, 8(1), 2013. With M. Goulart, N. Costa Jr., S. da Silva. (link)

3] Comparing univariate and multivariate models to forecast portfolio value-at-risk. Journal of Financial Econometrics, 11(2), 2013. With E. Ruiz and F.J. Nogales. (link)

2] Optimal portfolios with minimum capital requirements. Journal of Banking and Finance, 36(7), 2012. With E. Ruiz, F.J. Nogales and D. Van Dijk. (link)

1]  The performance of socially responsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 2010. With J. Gil-Bazo and P. Ruiz-Verdú. (link)