Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates
B. Damásio and J. Nicolau
Chaos, Solitons & Fractals 180, (2024).
First passage times in portfolio optimization: a novel nonparametric approach
G. Zsurkis, J. Nicolau and P. M. Rodrigues
European Journal of Operational Research, to appear (2023).
Measuring wage inequality under right censoring
J. Nicolau, P. M. Rodrigues and P. Raposo
Economic Inquiry 61, 377-401 (2023).
Tail Index Estimation in the Presence of Covariates: Stock returns' tail risk dynamics
J. Nicolau, P. M. Rodrigues and M. Stoykov
Journal of Econometrics, to appear (2023).
Changes in inflation compensation and oil prices: short-term and long-term dynamics
I. Cabral, P. Pires Ribeiro and J. Nicolau
Empirical Economics 62, 581-603 (2022).
Inflation in the G7 and the expected time to reach the reference rate: a nonparametric approach
I. Cabral and J. Nicolau
International Journal of Finance and Economics, to appear (2022).
A reexamination of inflation persistence dynamics in OECD countries: A new approach.
G. Zsurkis, J. Nicolau and P. Rodrigues
Oxford Bulletin of Economics and Statistics, to appear (2021).
The expected time to cross a threshold and its determinants: A simple and flexible framework
G. Zsurkis, J. Nicolau and P. M. Rodrigues
Journal of Economic Dynamics and Control, to appear (2021).
Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
J. Cruz, J. Nicolau and P. Rodrigues
Asia Pacific Financial Markets, to appear (2020).
The Profitability in the FTSE 100 Index: a New Markov Chain Approach
F. I. Riedlinger and J. Nicolau
Asia Pacific Financial Markets 27, 61-81 (2020).
A New Regression-Based Tail Index Estimator
J. Nicolau and P. Rodrigues
Review of Economics and Statistics 101(4), 667-680 (2019).
Tracking the relationship between euro area equities and sovereign bonds
I. Cabral, P. Pires Ribeiro and J. Nicolau
International Journal of Monetary Economics and Finance 12 (6), 511-537 (2019).
The changing economic regimes and expected time to recover of the peripheral countries under the euro: a nonparametric approach
B. Damásio, F. Louça and J. Nicolau
Physica A: Statistical Mechanics and its Applications 507, 524-533 (2018).
A Simple Nonparametric Method to Estimate the Expected Time to Cross a Threshold
J. Nicolau
Statistics and Probability Letters 123, 146-152 (2017).
Assessing Nonlinear Dynamics of Central Bank Reaction Function: The case of Mozambique
G. N. Nhapulo and J. Nicolau
South African Journal of Economics 85, 28-51 (2017).
Structural Change Test in Duration of Bull and Bear Markets
J. Nicolau
Economics Letters 146, 64-67 (2016).
Estimation and inference in multivariate Markov chains
J. Nicolau and F. I. Riedlinger
Statistical Papers 56, 1163-1173 (2015).
A new model for multivariate Markov chains
J. Nicolau
Scandinavian Journal of Statistics 41, 1124-1135 (2014).
Combining a regression model with a multivariate Markov chain in a forecasting problem
B. Damásio and J. Nicolau
Statistics and Probability Letters 90, 108-113 (2014).
Comment on: Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns by Gloria González-Rivera and Javier Arroyo
J. Nicolau
International Journal of Forecasting 28, 34-35 (2012).
Nonparametric density forecast based on time- and state-domain
J. Nicolau
Journal of Forecasting 30, 706-720 (2011).
Purchasing power parity analyzed from a continuous-time model
J. Nicolau
Studies in Nonlinear Dynamics and Econometrics 15, 1558-3708 (2011).
Purchasing power parity analyzed through a continuous-time version of the ESTAR model
J. Nicolau
Economics Letters 110, 182-185 (2011).
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
J. Nicolau
Communications in Statistics: Simulation and Computation 39, 1435-1454 (2010).
Modelling financial time series through second order stochastic differential equations
J. Nicolau
Statistics and Probability Letters 78, 2700-2704 (2008).
A discrete and a continuous-time model based on a technical trading rule
J. Nicolau
Journal of Financial Econometrics 5, 266-284 (2007).
Nonparametric estimation of second order stochastic differential equations
J. Nicolau
Econometric Theory 23, 880-898 (2007).
Method for simulating non-linear stochastic differential equations in $\mathbb R^1$
J. Nicolau
Journal of Statistical Computation and Simulation 75, 595-609 (2005).
Processes with volatility-induced stationarity: an application for interest rates
J. Nicolau
Statistica Neerlandica 59, 376-396 (2005).
Bias reduction in nonparametric diffusion coefficient estimation
J. Nicolau
Econometric Theory 19, 754-777 (2003).
New technique for simulating the likelihood of stochastic differential equations
J. Nicolau
Econometrics Journal 5, 91-203 (2002).
Stationary processes that look like random walks -- the bounded random walk process in discrete and continuous time
J. Nicolau
Econometric Theory 18, (2002).
Definição, identificação e estimação do modelo ARCH e comparação com outros modelos de volatilidade
J. Nicolau
Estudos de Economia XVI-XVII, 293-409 (1997).
Equações Diferenciais Estocásticas: alguns exemplos e aplicações em Finanças
J. M. E. Guerra and J. Nicolau
Boletim da Sociedade Portuguesa de Estatística Outono 2018, 31-39 (2018).
Breve Introdução à Análise Quantitativa do Risco
J. Nicolau
Cultivar 7, 21-31 (2017).
Econometria Financeira
J. Nicolau
Boletim da Sociedade Portuguesa de Estatística Outono, 23-32 (2009).
Processos estocásticos aplicados às finanças
J. Nicolau
Boletim da Sociedade Portuguesa de Estatística Outono, 35-42 (2008).
Modelação de séries temporais financeiras
J. Nicolau
Coleção Económicas - 2ª Série, Almedina, (2012).
Modelos ARCH
J. Nicolau
Série Moderna Finança, 17, BDP & BVL, Lisboa, (1999).
Modelação e Estimação de Séries Financeiras através de Equações Diferenciais Estocásticas.
J. Nicolau
preprint (2001).
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Modelos ARCH
J. Nicolau
preprint (1994).
Financial econometric models
J. Nicolau
in A Portrait of State-of-the-Art Research at the Technical University of Lisbon, Springer, 23-41 (2007).
Da utilização de cadeias de Markov multivariadas enquanto regressores num problema de previsão
B. Damásio and J. Nicolau
in Atas do XXI Congresso da Sociedade Portuguesa de Estatística, (2014).
Meat Demand in Portugal. The AIDS Model and Cointegration
J. Nicolau
Atas da 6a Conferência do CEMAPRE, CEMAPRE, (2000).
Hysteresis in the Portuguese Trade Balance: a new test and its policy implications
J. Nicolau
Atas do Workshop CIEF-DGEP, CIEF, (1998).
Econometric Modelling of the Short-Term Interest Rate: an Application to Portugal
N. Cassola, J. Nicolau and J. Sousa
Atas da 5a Conferência do CEMAPRE, CEMAPRE, 323-355 (1997).
Estimação Consistente de Equações Diferenciais Estocásticas a partir de Observações Discretas - Método dos Mínimos Quadrados Condiciona- dos, GMM e Pseudo Máxima Verosimilhança
J. Nicolau
Atas da 5a Conferência do CEMAPRE, CEMAPRE, (1997).
Detecção e Estimação do Modelo ARCH. Aplicação à Variação da Taxa de Câmbio do Marco em Escudos
J. Nicolau
Atas da 4a Conferência do CEMAPRE, CEMAPRE, 37-54 (1994).
Introduction to the estimation of stochastic differential equations based on discrete observations
J. Nicolau
in Stochastic Finance 2004, CIM. Coimbra, 111-140 (2004).
Equações Diferenciais & Equações às Diferenças
J. Nicolau
preprint (2003).
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