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Gonçalo Faria
(Goncalo Faria)

Personal Details

First Name:Gonçalo
Middle Name:
Last Name:Faria
Suffix:
RePEc Short-ID:pfa457
Terminal Degree:2010 Faculdade de Economia; Universidade do Porto (from RePEc Genealogy)

Affiliation

Católica Porto Business School
Universidade Católica Portuguesa

Porto, Portugal
http://www.catolicabs.porto.ucp.pt/

: +351 226 196 200
+351 226 196 291
Rua Diogo Botelho, 1327; 4169 - 005 Porto
RePEc:edi:feucppt (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
  2. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  3. Gonçalo Faria & João Correia-da-Silva, 2012. "Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?," FEP Working Papers 472, Universidade do Porto, Faculdade de Economia do Porto.
  4. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
  5. Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.
  6. Gonçalo Faria & João Correia-da-Silva & Cláudia Ribeiro, 2009. "Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility," FEP Working Papers 348, Universidade do Porto, Faculdade de Economia do Porto.
  7. T. Andrade, G. Faria, V. Leite, F. Verona, M. Viegas & O. Afonso & P.B. Vasconcelos, 2007. "Numerical solution of linear models in economics: The SP-DG model revisited," FEP Working Papers 249, Universidade do Porto, Faculdade de Economia do Porto.

Articles

  1. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
  2. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
  3. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.

    Cited by:

    1. Juha Kilponen & Fabio Verona, 2017. "Testing the Q theory of investment in the frequency domain," CEF.UP Working Papers 1701, Universidade do Porto, Faculdade de Economia do Porto.
    2. Matthes, Christian & Lubik, Thomas A. & Verona, Fabio, 2019. "Assessing U.S. Aggregate Fluctuations Across Time and Frequencies," Working Paper 19-6, Federal Reserve Bank of Richmond.
    3. Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
    4. Risse, Marian, 2019. "Combining wavelet decomposition with machine learning to forecast gold returns," International Journal of Forecasting, Elsevier, vol. 35(2), pages 601-615.
    5. Robert Czudaj, 2019. "Crude oil futures trading and uncertainty," Chemnitz Economic Papers 027, Department of Economics, Chemnitz University of Technology, revised Jan 2019.
    6. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
    7. Lei Xu & Takuji Kinkyo & Shigeyuki Hamori, 2018. "Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-11, December.

  2. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.

    Cited by:

    1. Hudgins, David & Crowley, Patrick M., 2017. "Modelling a small open economy using a wavelet-based control model," Research Discussion Papers 32/2017, Bank of Finland.
    2. Risse, Marian, 2019. "Combining wavelet decomposition with machine learning to forecast gold returns," International Journal of Forecasting, Elsevier, vol. 35(2), pages 601-615.
    3. Silvo, Aino, 2017. "House prices, lending standards, and the macroeconomy," Research Discussion Papers 4/2017, Bank of Finland.
    4. Voutilainen, Ville, 2017. "Wavelet decomposition of the financial cycle : An early warning system for financial tsunamis," Research Discussion Papers 11/2017, Bank of Finland.

  3. Gonçalo Faria & João Correia-da-Silva, 2012. "Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?," FEP Working Papers 472, Universidade do Porto, Faculdade de Economia do Porto.

    Cited by:

    1. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2018. "Dynamic derivative strategies with stochastic interest rates and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 49-71.
    2. Cristina Sacala, 2016. "Portfolio Dynamics. A Macroeconomic Model," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 170-176, July.

  4. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.

    Cited by:

    1. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    2. Nihad Aliyev, 2019. "Financial Markets with Multidimensional Uncertainty," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2019.
    3. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
    4. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    5. Chunpeng Yang & Bin Gao & Jianlei Yang, 2016. "Option pricing model with sentiment," Review of Derivatives Research, Springer, vol. 19(2), pages 147-164, July.

  5. Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.

    Cited by:

    1. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
    2. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    4. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015. "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 142-157.
    5. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.

  6. Gonçalo Faria & João Correia-da-Silva & Cláudia Ribeiro, 2009. "Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility," FEP Working Papers 348, Universidade do Porto, Faculdade de Economia do Porto.

    Cited by:

    1. Eduardo Corso, 2015. "Ambiguity and portfolio decisions," BCRA Working Paper Series 201567, Central Bank of Argentina, Economic Research Department.
    2. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    3. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.

Articles

  1. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
    See citations under working paper version above.
  2. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
    See citations under working paper version above.
  3. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (4) 2016-11-13 2016-12-04 2016-12-18 2017-01-22
  2. NEP-ETS: Econometric Time Series (3) 2016-11-13 2016-12-04 2016-12-18
  3. NEP-ORE: Operations Research (3) 2013-04-13 2016-11-13 2016-12-04
  4. NEP-UPT: Utility Models & Prospect Theory (3) 2013-04-13 2016-12-18 2017-01-22
  5. NEP-CMP: Computational Economics (1) 2007-10-13
  6. NEP-FMK: Financial Markets (1) 2016-12-04
  7. NEP-HPE: History & Philosophy of Economics (1) 2007-10-13
  8. NEP-MAC: Macroeconomics (1) 2007-10-13

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