???global.info.a_carregar???
Gonçalo Faria holds a Ph.D. from the University of Porto (2010). He is an Assistant Professor of Finance at the Universidade Católica Portuguesa, a Researcher at CEGE (Research Center in Management and Economics) and Associate Lecturer at the School of Economics and Finance, Queen Mary University of London. Was Associate Dean at the Universidade Católica Portuguesa, Católica Porto Business School between 2020 and 2023. His main areas of research are asset pricing and asset management, covering theoretical and empirical topics related with ambiguity, derivatives pricing, derivative trading strategies, forecasting of stock returns, volatility and correlation risks. His past research has been published in peer review journals (Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Markets, European Journal of Finance, Quantitative Finance, Annals of Finance e Review of Derivatives Research) and has been awarded with research grants from the IFSID and the Global Risk Institute, from BNP Paribas Hedge Fund Centre at SMU, from INQUIRE Europe and from Netspar at Tilburg University. Gonçalo consults for Asset Management companies, Multi-Family Offices and Private Equity Funds. In the past, was Managing Partner of a Hedge Fund, equity analyst and proprietary trader at Bank BPI and auditor at Arthur Andersen. For more information: https://sites.google.com/site/goncaloalbfaria/home
Identification

Personal identification

Full name
Gonçalo Faria

Citation names

  • Faria, Gonçalo

Author identifiers

Ciência ID
791C-7F57-A73C
ORCID iD
0000-0002-4888-8833
Outputs

Publications

Journal article
  1. Gonçalo Faria; Robert Kosowski; Tianyu Wang. "The Correlation Risk Premium: International Evidence". Journal of Banking and Finance (2022): http://dx.doi.org/10.1016/j.jbankfin.2021.106399.
    10.1016/j.jbankfin.2021.106399
  2. Gonçalo Faria; Fabio Verona. "Time-frequency forecast of the equity premium". Quantitative Finance (2021): 1-17. https://doi.org/10.1080/14697688.2020.1820071.
    10.1080/14697688.2020.1820071
  3. Faria, G.; Verona, F.. "The yield curve and the stock market: Mind the long run". Journal of Financial Markets (2019): http://www.scopus.com/inward/record.url?eid=2-s2.0-85072191717&partnerID=MN8TOARS.
    10.1016/j.finmar.2019.100508
  4. Faria, G.; Verona, F.. "Forecasting stock market returns by summing the frequency-decomposed parts". Journal of Empirical Finance 45 (2018): 228-242. http://www.scopus.com/inward/record.url?eid=2-s2.0-85037997835&partnerID=MN8TOARS.
    10.1016/j.jempfin.2017.11.009
  5. Faria, G.; Correia-da-Silva, J.. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?". European Journal of Finance 22 7 (2016): 601-626. http://www.scopus.com/inward/record.url?eid=2-s2.0-84909952891&partnerID=MN8TOARS.
    10.1080/1351847X.2014.958511
  6. Faria, G.; Correia-da-Silva, J.. "A closed-form solution for options with ambiguity about stochastic volatility". Review of Derivatives Research 17 2 (2014): 125-159. http://www.scopus.com/inward/record.url?eid=2-s2.0-84939890970&partnerID=MN8TOARS.
    10.1007/s11147-014-9097-9
  7. Faria, G.; Correia-da-Silva, J.. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices". Annals of Finance 8 4 (2012): 507-531. http://www.scopus.com/inward/record.url?eid=2-s2.0-84869877890&partnerID=MN8TOARS.
    10.1007/s10436-012-0197-y