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 | 169 | 2006 |
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 | 152 | 2013 |
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 | 100 | 2008 |
Forecasting value-at-risk with a duration-based POT method PA Santos, MIF Alves Mathematics and Computers in Simulation 94, 295-309, 2013 | 35 | 2013 |
A new class of independence tests for interval forecasts evaluation PA Santos, MIF Alves Computational Statistics & Data Analysis 56 (11), 3366-3380, 2012 | 31 | 2012 |
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 | 24 | 2014 |
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 | 23 | 2013 |
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 | 12 | 2014 |
Interval forecasts evaluation: R programs for a new independence test PA Santos Notas e Comunicações CEAUL 17 (10), 2010 | 11 | 2010 |
Improved shape parameter estimation in a discrete Weibull model PA Santos, MIF Alves Recent Developments in Modeling and Applications in Statistics, 71-80, 2012 | 7 | 2012 |
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 | 5 | 2013 |
Extremal quantiles, value-at-risk, quasi-PORT and DPOT PA Santos, MIF Alves New Advances in Statistical Modeling and Applications, 155-161, 2014 | 3 | 2014 |
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 | 3 | 2013 |
A New Independence Test for VaR Violations PA Santos, MIF Alves Advances in Regression, Survival Analysis, Extreme Values, Markov Processes …, 2013 | 2 | 2013 |
DPOT Methodology: An Application to Value-at-Risk MIF Alves, PA Santos Recent Developments in Modeling and Applications in Statistics, 81-88, 2013 | 2 | 2013 |
R program to implement the DPOT model PA Santos, MF Alves Unpublished article, 2012 | 2 | 2012 |
Estatística no Instituto Politécnico de Santarém PA Santos, M Lopes, R São João Boletim SPE, 57-58, 2012 | 1 | 2012 |
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 | 1 | 2011 |
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 |