André Portela Santos 

Post-doc fellow at UC3M-Santander Big Data Institute
Universidad Carlos III de Madrid

Associate Professor (on leave)
Department of Economics
Universidade Federal de Santa Catarina, Brazil

Research interests

Financial econometrics: Multivariate volatility models, portfolio selection and optimization, quantitative risk management, dynamic factor models, high-frequency data, realized volatility.
Fixed income: term structure models, fixed income portfolio allocation and risk management.
Forecasting: forecast combinations, volatility forecasting, electricity price forecasting, term structure forecasting.
Machine learning and heuristic methods: neural networks, differential evolution, genetic algorithms.

Academic activities

Referee for: Journal of Business & Economic Statistics, Journal of Banking & Finance, Journal of Applied Econometrics, Quantitative Finance, Journal of the Royal Statistical Society, Computational Statistics & Data Analysis, Computational Economics, International Journal of Forecasting, Empirical Economics, Journal of Forecasting, Econometrics and Statistics, Quarterly Journal of Economics, Journal of Business Ethics.
Editorial board: Brazilian Review of Finance (2014-present)
Research grants: CNPQ Produtividade em Pesquisa 2014-2017, 2017-2019.   

Selected publications (full list)

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

11] Yield curve forecast combinations based on bond portfolio performance. Journal of Forecasting31(1), 2018. With G. V. Moura, J. F. Caldeira. (link)

10] 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)

9] 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)

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

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

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

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

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

3] Comparing univariate and multivariate models to forecast portfolio value-at-riskJournal 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 companiesJournal of Business Ethics, 94(2), 2010. With J. Gil-Bazo and P. Ruiz-Verdú. (link)