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Publicações

(2015) Intraday data vs daily data to forecast volatility in financial markets.
Autores
(2015) From stochastic volatility to realized volatility: measures comparison.
Autores
(2015) Portfolio choice: robust approaches.
Autores
(2017) Extracting risk neutral densities from options prices: A comparison between hypergeometric density functionals and kernel density estimation.
Autores
(2017) Non-Linear State-Space Models for Estimating and Forecasting Financial Volatility Evolution: Disentangling Some Knots..
Autores
(2017) Intraday Financial Volatility Evolution Using Volume-Domain Returns and Stochastic Volatility Models.
Autores
(2017) Intraday financial volatility evolution through stochastic volatility models including volume, durations and jumps.
Autores
(2019) Large scale nonparametric estimation of risk-neutral densities through jointly use of constraints based on call and put option prices.
Autores
Editores
(2016) Intraday Data vs Daily Data to Forecast Volatility in Financial Markets. Time Series Analysis and Forecasting, (pp 147-159).
Autores

Contactos

Morada

Faculdade de Economia
Universidade de Coimbra
Av. Dias da Silva, 165
3004-512
Portugal

Telefone

Telefone
+351 239 790 526
Extension
500226

Web e Email

Email
aasantos@fe.uc.pt