Predicting the Equity Risk Premium Using the Smooth Cross-Sectional Tail Risk: The Importance of Correlation
José Afonso Faias
Journal Of Financial Markets, vol. 63, 2023, p. .

The Diffusion of Complex Securities: The Case of CAT Bonds
José Afonso Faias, José Guedes
Insurance: Mathematics and Economics, vol. 90, 2020, p. 46-57.

Out-of-Sample Stock Return Prediction Using Higher-Order Moments
José Afonso Faias, Tiago Castel-Branco
International Journal Of Theoretical And Applied Finance, vol. 21, 2018, p. 1-27.

Does Institutional Ownership Matter for International Stock Return Comovement?
José Afonso Faias, Miguel Almeida Ferreira
Journal of International Money and Finance, vol. 78, 2017, p. 64-83.

Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing
José Afonso Faias, Pedro Santa Clara
Journal of Financial and Quantitative Analysis, vol. 52, 2017, p. 277-303.