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ISEG  >  Matemática  >  JOÃO CARLOS HENRIQUES DA COSTA NICOLAU

Publicações Link

Publicações Científicas Internacionais com referee Link

  • Nicolau, J., Rodrigues, P. M.M., M. Stoykov  (2023). Tail Index Estimation in the Presence of Covariates: Stock returns' tail risk dynamics. Journal of Econometrics, to appear.

 

  • Zsurkis, G., J. Nicolau and P. M.M. Rodrigues (2023). First passage times in portfolio optimization: a novel nonparametric approach. European Journal of Operational Research, to appear.

 

  • Nicolau, J., Rodrigues, P. M.M., Raposo P. (2023). Measuring wage inequality under right censoring. Economic Inquiry, 61 (2).

 

  • Cabral, I., J. Nicolau, P. P. Ribeiro (2022). Changes in inflation compensation and oil prices: short-term and long-term dynamics. Empirical Economics, 62, 581-603.

 

  • Zsurkis, G., J. Nicolau and P. M.M. Rodrigues (2021). The expected time to cross a threshold and its determinants: A simple and flexible framework. Journal of Economic Dynamics and Control, 122,

 

  • Zsurkis, G., J. Nicolau and P. M.M. Rodrigues (2021). A reexamination of inflation persistence dynamics in OECD countries: A new approach.  Oxford Bulletin of Economics and Statistics, 123(4), 935-959.

 

  • Cruz, J. , J.  Nicolau, P. M. M. Rodrigues (2020). Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics, Asia-Pacific Financial Markets, to appear.

 

  • Cabral, I. D. C.  & Nicolau, J. (2020). Inflation in the G7 and the expected time to reach the reference rate: a nonparametric approach, International Journal of Finance and Economics, 27(2), 1608-1620

 

  • Riedlinger, F. I., & Nicolau, J. (2020). The Profitability in the FTSE 100 Index: A New Markov Chain Approach. Asia-Pacific Financial Markets, 27, 61-81.

 

  • Nicolau, J., & Rodrigues, P. M. M. (2019). A new regression-based tail index estimator. Review of Economics and Statistics, 101(4), 667-680.

 

  • Cabral, I. D. C., Ribeiro, P. P., & Nicolau, J. (2019). "Tracking the relationship between euro area equities and sovereign bonds". International Journal of Monetary Economics and Finance, 12(6), 511-537.

 

  • Damásio, B., F. Louçã and J. Nicolau (2018). "The changing economic regimes and expected time to recover of the peripheral countries under the euro: a nonparametric approach, Physica A: Statistical Mechanics and its Applications, 507, 524-533.

 

  • Nicolau, J. (2017). "A Simple Nonparametric Method to Estimate the Expected Time to Cross a Threshold". Statistics and Probability Letters, 123, 146-152.

 

  • Nhapulo G., e Nicolau J. (2017). "Assessing Nonlinear Dynamics of Central Bank Reaction Function:The case of Mozambique". South African Journal of Economics, 85(1), 28--51.

 

  • Nicolau, J. (2016). "Structural Change Test in Duration of Bull and Bear Markets", Economics Letters, 146, pp 64--67.

 

  • Nicolau J. e F. Riedlinger (2015)."Estimation and Inference in Multivariate Markov Chains", Statistical Papers, 56, 1163-1173.

 

  • Nicolau, J. (2014). "A new model for multivariate Markov chains", Scandinavian Journal of Statistics, 41, 1124-1135.

 

  • Damásio, B. e J. Nicolau, (2014). "Combining a Regression Model with a Multivariate Markov Chain in a Forecasting Problem", Statistics and Probability Letters, 90, 108-111. 

 

  • Nicolau, J. (2012). "Comment on Time Series Modeling of Histogram-valued Data The Daily Histogram Time Series of SP500 Intradaily Returns" by Gloria González-Rivera and Javier Arroyo, International Journal of Forecasting, 28, 34-35.

 

  • Nicolau, J. (2011). "Nonparametric Density Forecast Based on Time- and State-Domain", Journal of Forecasting, 30(8), 706-720.

 

  • Nicolau, J. (2011). "Purchasing Power Parity Analyzed from a Continuous-Time Model", Studies in Nonlinear Dynamics & Econometrics, 15(3), article 3.

 

  • Nicolau, J. (2011). "Purchasing Power Parity Analyzed Through a Continuous-Time Version of the ESTAR Model" , Economics Letters 110 (3), 182-185.

 

  • Nicolau, J. (2010). "Transition density and simulated likelihood estimation for time-inhomogeneous diffusions", Communications in Statistics - Simulation and Computation 39(7).

 

  • Nicolau, J. (2008)."Modeling Financial Time Series Through Second Order Stochastic Differential Equations", Statistics and Probability Letters 78 (16), pp. 2700-2704.

 

  • Nicolau, J. (2007). "Financial Econometrics Models", in M. Seabra Pereira (ed.) A Portrait of State-of-the-Art Research at the Technical University of Lisbon, Springer.

 

  • Nicolau, J. (2007). "NonParametric Estimation of Second Order Stochastic Differential Equations", Econometric Theory, 23 (5), pp. 880-898.

 

  • Nicolau, J. (2007)."A Discrete and a Continuous-Time Model Based on a Technical Trading Rule", Journal of Financial Econometrics, 5(2), pp. 266-284.

 

  • Nicolau, J. (2005). "Processes with Volatility-Induced Stationarity. An Application for Interest Rates", Statistica Neerlandica, 59(4), pp. 376-396.

 

  • Nicolau, J. (2005). "A Method for Simulating Non-Linear Stochastic Differential Equations in R1", Journal of Statistical Computation and Simulation, 75(8), pp. 595-609.

 

  • Nicolau, J. (2003). "Bias Reduction in Nonparametric Diffusion Coefficient Estimation", Econometric Theory, 19(5), pp. 754-777.

 

  • Nicolau, J. (2002). "A New Technique for Simulating the Likelihood of Stochastic Differential Equations", The Econometrics Journal, 5(1), pp. 91-103.

 

  • Nicolau, J. (2002). "Stationary Processes that Look Like Random Walks -- the Bounded Random Walk Process in Discrete and Continuous Time", Econometric Theory, 18 (1), pp. 99-118.