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Details about Gonçalo Faria

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Workplace:Católica Porto Business School, Universidade Católica Portuguesa (Catholic Portuguese University), (more information at EDIRC)

Access statistics for papers by Gonçalo Faria.

Last updated 2017-05-22. Update your information in the RePEc Author Service.

Short-id: pfa457


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Working Papers

2017

  1. Forecasting the equity risk premium with frequency-decomposed predictors
    Research Discussion Papers, Bank of Finland Downloads View citations (1)
    Also in Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa (2016) Downloads View citations (3)

2016

  1. Forecasting stock market returns by summing the frequency-decomposed parts
    Research Discussion Papers, Bank of Finland Downloads View citations (5)
    Also in Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa (2016) Downloads View citations (4)

2012

  1. Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2016)

2011

  1. A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto Downloads View citations (1)
    See also Journal Article in Review of Derivatives Research (2014)
  2. 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 Downloads View citations (1)
    See also Journal Article in Annals of Finance (2012)

2009

  1. Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility
    FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto Downloads View citations (3)

2007

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

Journal Articles

2016

  1. Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?
    The European Journal of Finance, 2016, 22, (7), 601-626 Downloads View citations (1)
    See also Working Paper (2012)

2014

  1. A closed-form solution for options with ambiguity about stochastic volatility
    Review of Derivatives Research, 2014, 17, (2), 125-159 Downloads View citations (5)
    See also Working Paper (2011)

2012

  1. The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
    Annals of Finance, 2012, 8, (4), 507-531 Downloads View citations (8)
    See also Working Paper (2011)
 
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