Paulo Jose Araujo dos Santos


AuthID: R-000-EG4

Confirmed Publications: 5



1
TITLE: Forecasting Value-at-Risk with a duration-based POT method  Full Text
AUTHORS: Araujo Santos, PA ; Fraga Alves, MIF ;
PUBLISHED: 2013, SOURCE: MATHEMATICS AND COMPUTERS IN SIMULATION, VOLUME: 94
INDEXED IN: Scopus WOS CrossRef
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2
TITLE: GFC-robust risk management under the Basel Accord using extreme value methodologies  Full Text
AUTHORS: Juan Angel Jimenez Martin; Michael McAleer; Teodosio Perez Amaral; Paulo Araujo Santos ;
PUBLISHED: 2013, SOURCE: MATHEMATICS AND COMPUTERS IN SIMULATION, VOLUME: 94
INDEXED IN: Scopus WOS
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3
TITLE: High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables
AUTHORS: Paulo Araujo Santos ; Isabel Fraga Alves ; Shawkat Hammoudeh;
PUBLISHED: 2013, SOURCE: NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, VOLUME: 26
INDEXED IN: Scopus WOS CrossRef
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4
TITLE: A new class of independence tests for interval forecasts evaluation  Full Text
AUTHORS: Araujo Santos, PA ; Fraga Alves, MIF ;
PUBLISHED: 2012, SOURCE: COMPUTATIONAL STATISTICS & DATA ANALYSIS, VOLUME: 56, ISSUE: 11
INDEXED IN: Scopus WOS CrossRef
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5
TITLE: PORT hill and moment estimators for heavy-tailed models  Full Text
AUTHORS: Ivette I Gomes ; Isabel Fraga F Alves ; Paulo Araujo Santos ;
PUBLISHED: 2008, SOURCE: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, VOLUME: 37, ISSUE: 7
INDEXED IN: Scopus WOS CrossRef
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