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Antonio Alberto Santos

Personal Details

First Name:Antonio
Middle Name:Alberto
Last Name:Santos
Suffix:
RePEc Short-ID:psa626
http://www4.fe.uc.pt/aasantos

Affiliation

(50%) Grupo de Estudos Monetários e Financeiros (GEMF)
Faculdade de Economia
Universidade do Coimbra

Coimbra, Portugal
http://gemf.fe.uc.pt/

: + 351 239 790 500
+351 239 403511
Av. Dias da Silva, 165, 3004-512 COIMBRA
RePEc:edi:genucpt (more details at EDIRC)

(50%) Centre for Business and Economics Research (CeBER)
Faculdade de Economia
Universidade do Coimbra

Coimbra, Portugal
http://www.uc.pt/go/ceber

: +351239790599
+ 351 239 40 35 11
Av. Dias da Silva 165; 3004-512 Coimbra
RePEc:edi:cebucpt (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF, Faculty of Economics, University of Coimbra.
  2. António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers 2014-25, GEMF, Faculty of Economics, University of Coimbra.
  3. António Alberto Santos & João Andrade, 2014. "Stochastic Volatility Estimation with GPU Computing," GEMF Working Papers 2014-10, GEMF, Faculty of Economics, University of Coimbra.
  4. António Alberto Santos, 2010. "MCMC, likelihood estimation and identifiability problems in DLM models," GEMF Working Papers 2010-12, GEMF, Faculty of Economics, University of Coimbra.
  5. J. Q. Smith & António Santos, 2005. "Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers," GEMF Working Papers 2005-11, GEMF, Faculty of Economics, University of Coimbra.

Articles

  1. Smith, J.Q. & Santos, Antonio A.F., 2006. "Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 329-337, July.

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. J. Q. Smith & António Santos, 2005. "Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers," GEMF Working Papers 2005-11, GEMF, Faculty of Economics, University of Coimbra.

    Cited by:

    1. António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF, Faculty of Economics, University of Coimbra.
    2. Patrick Leung & Catherine S. Forbes & Gael M. Martin & Brendan McCabe, 2016. "Data-driven particle Filters for particle Markov Chain Monte Carlo," Monash Econometrics and Business Statistics Working Papers 17/16, Monash University, Department of Econometrics and Business Statistics.
    3. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Guilherme Moura & Jean-Francois Richard, 2009. "Efficient Likelihood Evaluation of State-Space Representations," Working Papers 2009/15, Czech National Bank, Research Department.
    4. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.

Articles

  1. Smith, J.Q. & Santos, Antonio A.F., 2006. "Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 329-337, July.
    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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Featured entries

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Portuguese Economists

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 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-ORE: Operations Research (3) 2014-05-17 2015-01-14 2015-05-09
  2. NEP-ECM: Econometrics (2) 2010-07-31 2014-05-17
  3. NEP-ETS: Econometric Time Series (2) 2014-05-17 2015-05-09
  4. NEP-RMG: Risk Management (2) 2015-01-14 2015-05-09
  5. NEP-CMP: Computational Economics (1) 2014-05-17
  6. NEP-FOR: Forecasting (1) 2014-05-17
  7. NEP-MST: Market Microstructure (1) 2015-05-09
  8. NEP-UPT: Utility Models & Prospect Theory (1) 2015-01-14

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