Guerrero Burbano, David Esteban
Quantitative methods
Alves Portela Santos, Andre
Quantitative methods
BIO
PhD in Quantitative Methods from Universidad Carlos III de Madrid. Before joining CUNEF, he worked as a professor at the University of Edinburgh Business School (UK) and also as a Turing Fellow at the Alan Turing Institute in the UK. His research interests are focused on financial econometrics and quantitative finance. His research articles have been published in prestigious international journals such as Quantitative Finance, Journal of Financial Econometrics, Journal of Economic Behavior & Organization, Journal of Banking and Finance, Journal of Empirical Finance, Finance Research Letters, Computational Statistics & Data Analysis and Journal of Forecasting. He has taught undergraduate and graduate courses such as Time Series Econometrics, Data Analysis, Predictive Analytics, and Statistics.
Research IDs:
Google Scholar: https://scholar.google.com.br/citations?hl=pt-BR&user=S80aHqcAAAAJ
Orcid: https://orcid.org/0000-0001-6134-8930
Scopus: https://www.scopus.com/authid/detail.uri?authorId=14822610700
Education
PhD in Quantitative Methods, Universidad Carlos III de Madrid (2011).
MSc in Quantitative Methods, Universidad Carlos III de Madrid (2008).
BA in Economics, Universidade Federal de Santa Catarina (2002).
Research Interests
Financial econometrics, quantitative finance, financial risk management
Career
Turing Fellow, The Alan Turing Institute UK, 2021-present.
Lecturer in Predictive Analytics, University of Edinburgh Business School, 2021-2022.
Affiliated researcher, UC3M-Santander Big Data Institute, 2019-2021.
Tenured Professor, Universidade Federal de Santa Catarina, 2011-2020.
Publications in Scientific Journals
Santos, Andre A.P; Torrent, Hudson S: “Markowitz Meets Technical Analysis: Building Optimal Portfolios by Exploiting Information in Trend-Following Signals”, Finance Research Letters, 49, Art. 103063, 2022.
Moura, Guilherme V; Santos, Andre A. P; Ruiz, Esther: “Comparing high dimensional conditional covariance matrices: Implications for portfolio selection”, Journal of Banking and Finance, 118, Art. 105882, 2020.
Santos, Andre A. P: “Disentangling the role of variance and covariance information in portfolio selection problems”, Quantitative Finance, 19(1), 57-76, 2019.
Caldeira, Joao F; Moura, Guilherme V; Nogales, Francisco J; Santos, Andre A. P: “Combining multivariate volatility forecasts: an economic-based approach”, Journal of Financial Econometrics, 15(2), 247-285, 2017.
Caldeira, Joao F; Moura, Guilherme V; Santos, Andre A. P: “Bond portfolio optimization using dynamic factor models”, Journal of Empirical Finance, 37, 128-158 , 2016.
Other Faculty
Martín López, Lorenzo Javier
Quantitative Methods
Naveiro Flores, Roi
Quantitative methods