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Paulo Araújo Santos
Paulo Araújo Santos
Santarém School of Management and Technology
E-mail confirmado em esg.ipsantarem.pt
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Peaks over random threshold methodology for tail index and high quantile estimation
PA Santos, MIF Alves, MI Gomes
Revstat-Statistical Journal 4 (3), 227–247-227–247, 2006
1692006
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks
S Hammoudeh, PA Santos, A Al-Hassan
The North American Journal of Economics and Finance 25, 318-334, 2013
1522013
PORT Hill and moment estimators for heavy-tailed models
MI Gomes, MIF Alves, PA Santos
Communications in Statistics—Simulation and Computation® 37 (7), 1281-1306, 2008
1002008
Forecasting value-at-risk with a duration-based POT method
PA Santos, MIF Alves
Mathematics and Computers in Simulation 94, 295-309, 2013
352013
A new class of independence tests for interval forecasts evaluation
PA Santos, MIF Alves
Computational Statistics & Data Analysis 56 (11), 3366-3380, 2012
312012
Downside risk, portfolio diversification and the financial crisis in the euro-zone
S Sarafrazi, S Hammoudeh, P AraújoSantos
Journal of International Financial Markets, Institutions and Money 32, 368-396, 2014
242014
High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables
PA Santos, IF Alves, S Hammoudeh
The North American Journal of Economics and Finance 26, 487-496, 2013
232013
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period
T Liu, S Hammoudeh, PA Santos
Journal of International Money and Finance 44, 47-68, 2014
122014
Interval forecasts evaluation: R programs for a new independence test
PA Santos
Notas e Comunicações CEAUL 17 (10), 2010
112010
Improved shape parameter estimation in a discrete Weibull model
PA Santos, MIF Alves
Recent Developments in Modeling and Applications in Statistics, 71-80, 2012
72012
Conditional EVT for VAR estimation: comparison with a new independence test
MIF Alves, PA Santos
Advances in regression, survival analysis, extreme values, Markov processes …, 2013
52013
Extremal quantiles, value-at-risk, quasi-PORT and DPOT
PA Santos, MIF Alves
New Advances in Statistical Modeling and Applications, 155-161, 2014
32014
GFC-robust risk management under the Basel Accord using extreme value methodologies
JA Jimenez-Martin, M McAleer, T Pérez-Amaral, PA Santos
Mathematics and Computers in Simulation 94, 223-237, 2013
32013
A New Independence Test for VaR Violations
PA Santos, MIF Alves
Advances in Regression, Survival Analysis, Extreme Values, Markov Processes …, 2013
22013
DPOT Methodology: An Application to Value-at-Risk
MIF Alves, PA Santos
Recent Developments in Modeling and Applications in Statistics, 81-88, 2013
22013
R program to implement the DPOT model
PA Santos, MF Alves
Unpublished article, 2012
22012
Estatística no Instituto Politécnico de Santarém
PA Santos, M Lopes, R São João
Boletim SPE, 57-58, 2012
12012
GFC-robust risk management under the Basel Accord using extreme value methodologies
PA Santos, JÁ Jiménez-Martín, TP Amaral, M McAleer
KIER Discussion Paper 782, 2011
12011
Managing Expected Returns and Downside Risk with Information from Technical Analysis
PA Santos, PC de Matos
Atas da Conferência da Associação Portuguesa de Sistemas de Informação 14 …, 2014
2014
Journal of International Financial Markets, Institutions & Money
S Sarafrazi, S Hammoudeh, P AraújoSantos
2014
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