Details about Gonçalo Faria

Access statistics for papers by Gonçalo Faria.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pfa457

Working Papers

2024

1. Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators
   Bank of Finland Research Discussion Papers, Bank of Finland
2. Unlocking predictive potential: the frequency-domain approach to equity premium forecasting
   Bank of Finland Research Discussion Papers, Bank of Finland

2023

3. Forecast combination in the frequency domain
   Bank of Finland Research Discussion Papers, Bank of Finland

2021

4. The Correlation Risk Premium: International Evidence
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article The Correlation Risk Premium: International Evidence, Journal of Banking & Finance, Elsevier (2022) View citations (4) (2022)

2020

5. Frequency-domain information for active portfolio management
   Bank of Finland Research Discussion Papers, Bank of Finland
6. Time-frequency forecast of the equity premium
   Bank of Finland Research Discussion Papers, Bank of Finland View citations (1)
   See also Journal Article Time-frequency forecast of the equity premium, Quantitative Finance, Taylor & Francis Journals (2021) View citations (2) (2021)

2018

7. The equity risk premium and the low frequency of the term spread
   Bank of Finland Research Discussion Papers, Bank of Finland View citations (3)

2017

8. Forecasting stock market returns by summing the frequency-decomposed parts
   CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto
   Also in Bank of Finland Research Discussion Papers, Bank of Finland (2016) View citations (2)
   Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa (2016) View citations (6)
   See also Journal Article Forecasting stock market returns by summing the frequency-decomposed parts, Journal of Empirical Finance, Elsevier (2018) View citations (48) (2018)
9. Forecasting the equity risk premium with frequency-decomposed predictors
   Bank of Finland Research Discussion Papers, Bank of Finland View citations (2)
   Also in Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa (2016) View citations (7)

2012

10. Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto View citations (1)
    See also Journal Article Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?, The European Journal of Finance, Taylor & Francis Journals (2016) View citations (5) (2016)

2011

11. A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto View citations (1)
    See also Journal Article A closed-form solution for options with ambiguity about stochastic volatility, Review of Derivatives Research, Springer (2014) View citations (16) (2014)
12. The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto View citations (1)
    See also Journal Article The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices, Annals of Finance, Springer (2012) View citations (8) (2012)

2009

13. Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto View citations (2)

2007

14. Numerical solution of linear models in economics: The SP-DG model revisited
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto

Journal Articles

2022

1. The Correlation Risk Premium: International Evidence
   Journal of Banking & Finance, 2022, 136, (C) View citations (4)
   See also Working Paper The Correlation Risk Premium: International Evidence, CEPR Discussion Papers (2021) (2021)

2021

2. Time-frequency forecast of the equity premium
   Quantitative Finance, 2021, 21, (12), 2119-2135 View citations (2)
   See also Working Paper Time-frequency forecast of the equity premium, Bank of Finland Research Discussion Papers (2020) View citations (1) (2020)

2020

3. The yield curve and the stock market: Mind the long run
   Journal of Financial Markets, 2020, 50, (C) View citations (14)

2018

4. Forecasting stock market returns by summing the frequency-decomposed parts
   Journal of Empirical Finance, 2018, 45, (C), 228-242 View citations (48)
   See also Working Paper Forecasting stock market returns by summing the frequency-decomposed parts, CEF.UP Working Papers (2017) (2017)

2016

5. Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?
   The European Journal of Finance, 2016, 22, (7), 601-626 View citations (5)
   See also Working Paper Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?, FEP Working Papers (2012) View citations (1) (2012)

2014

6. A closed-form solution for options with ambiguity about stochastic volatility
   Review of Derivatives Research, 2014, 17, (2), 125-159 View citations (16)
   See also Working Paper A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility, FEP Working Papers (2011) View citations (1) (2011)

2012

7. The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
   Annals of Finance, 2012, 8, (4), 507-531 View citations (8)
   See also Working Paper The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices, FEP Working Papers (2011) View citations (1) (2011)