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/
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
RePEc:edi:cebucpt (more details at EDIRC)

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. Antonio Santos, 2016. "Static and dynamic portfolio allocation with nonstandard utility functions," EcoMod2016 9375, EcoMod.

   Cited by:

   1. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.

2. 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.
   • 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.
   • J. Q. Smith & António Santos, 2003. "Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outlier," GEMF Working Papers 2003-03, GEMF, Faculty of Economics, University of Coimbra.

   Cited by:

   1. Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.
   2. Roman Liesenfeld & Guilherme V. Moura & Jean-François Richard & Hariharan Dharmarajan, 2013. "Efficient Likelihood Evaluation of State-Space Representations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 538-567.
      • 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.
      • DeJong, David Neil & Dharmarajan, Hariharan & Liesenfeld, Roman & Moura, Guilherme V. & Richard, Jean-François, 2009. "Efficient likelihood evaluation of state-space representations," Economics Working Papers 2009-02, Christian-Albrechts-University of Kiel, Department of Economics.
   3. Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019. "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers 22/19, Monash University, Department of Econometrics and Business Statistics.
   4. Shalini Sharma & Víctor Elvira & Emilie Chouzenoux & Angshul Majumdar, 2021. "Recurrent Dictionary Learning for State-Space Models with an Application in Stock Forecasting," Post-Print hal-03184841, HAL.
   5. 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.
   6. 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.
   • J. Q. Smith & António Santos, 2003. "Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outlier," GEMF Working Papers 2003-03, GEMF, Faculty of Economics, University of Coimbra.
   • 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.
   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, Wikipedia, or ReplicationWiki 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 7 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 (5) 2014-05-17 2015-01-14 2015-05-09 2015-09-11 2019-12-23. Author is listed
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-FOR: Forecasting (2) 2014-05-17 2015-09-11
5. NEP-MST: Market Microstructure (2) 2015-05-09 2015-09-11
6. NEP-RMG: Risk Management (2) 2015-01-14 2015-05-09
7. NEP-UPT: Utility Models and Prospect Theory (2) 2015-01-14 2017-04-23
8. NEP-CMP: Computational Economics (1) 2014-05-17

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