Benilde Oliveira

University of Minho - School of Economics and Management

Campus Gualtar

Braga, 4710-057

Portugal

SCHOLARLY PAPERS

5

DOWNLOADS

486

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 45 Posted: 22 Aug 2012 Last Revised: 22 Jan 2013
Christopher J. Adcock, Nelson Areal and Benilde Oliveira
University of Sheffield - School of Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 392 (98,639)
Citation 1

Abstract:

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Backtesting, Extreme value theory, GARCH, Filtered historical simulation, Value at Risk

2.

Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation

Number of pages: 44 Posted: 23 Dec 2015 Last Revised: 25 Oct 2017
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 94 (353,073)

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Downside risk measures, Location-scale distributions, Portfolio performance measures, Tests of correlation

3.

New Tests of Correlation and the Choice of Measures of Portfolio Performance

Posted: 31 May 2014 Last Revised: 05 Oct 2017
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Abstract:

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Downside risk measures, Location-scale distributions, Portfolio performance measures, Tests of correlation

4.

Does the Use of Downside Risk-Adjusted Measures Lead to Better Future Performance?

Posted: 03 Jul 2011
University of Minho - School of Economics and Management, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

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Downside risk-adjusted performance measures, Filtered historical simulation, fund performance predictability

5.

Does the Use of Downside Risk-Adjusted Measures Impact the Performance of UK Investment Trusts?

23rd Australasian Finance and Banking Conference 2010 Paper
Posted: 22 Aug 2010 Last Revised: 24 Dec 2015
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Abstract:

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Fund performance evaluation, Downside risk-measures, Filtred historical simulation