← All authors João Nicolau Technical University of Munich (per OpenAlex) · ORCID · OpenAlex
32 papers in scope · 31 published · 2 on the econ.EM arXiv · 320 citations · h-index 9 (over the papers listed here)
Papers (2 of 32)
working paper 2024 · arXiv
First passage times in portfolio optimization: A novel nonparametric approach
published 2023 · European Journal of Operational Research · 4 citations
Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
published 2023 · Journal of Econometrics · 9 citations
published 2022 · Economic Inquiry · 2 citations · first circulated 2020
Changes in inflation compensation and oil prices: short-term and long-term dynamics
published 2021 · Empirical Economics · 4 citations
with Inês Cabral, Pedro Pires Ribeiro
A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach*
published 2021 · Oxford Bulletin of Economics and Statistics · first circulated 2019
Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
published 2021 · Asia-Pacific Financial Markets · 3 citations · first circulated 2018
The expected time to cross a threshold and its determinants: a simple and flexible framework
published 2020 · Journal of Economic Dynamics and Control · 1 citations
Inflation in the G7 and the expected time to reach the reference rate: A nonparametric approach
published 2020 · International Journal of Finance & Economics · 1 citations
with Inês Cabral
The Profitability in the FTSE 100 Index: A New Markov Chain Approach
published 2019 · Asia-Pacific Financial Markets · 4 citations
with Flavio Ivo Riedlinger
Tracking the relationship between euro area equities and sovereign bonds
published 2019 · International Journal of Monetary Economics and Finance
with Pedro Ribeiro, Inês Cunha Cabral, Inês Cabral, Pedro Pires Ribeiro, N.A. Joã
A New Regression-Based Tail Index Estimator
published 2018 · The Review of Economics and Statistics · 11 citations · first circulated 2015
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach
published 2018 · Physica A Statistical Mechanics and its Applications · 5 citations
with Bruno Damásio, Francisco Louçã
Assessing Nonlinear Dynamics of Central Bank Reaction Function: The Case of Mozambique
published 2017 · South African Journal of Economics
with Gerson Nhapulo
A simple nonparametric method to estimate the expected time to cross a threshold
published 2016 · Statistics & Probability Letters · 8 citations
Structural change test in duration of bull and bear markets
published 2016 · Economics Letters · 1 citations
Estimation and inference in multivariate Markov chains
published 2014 · Statistical Papers · 5 citations
with Flavio Ivo Riedlinger
A New Model for Multivariate Markov Chains
published 2014 · Scandinavian Journal of Statistics · 20 citations
Combining a regression model with a multivariate Markov chain in a forecasting problem
published 2014 · Statistics & Probability Letters · 8 citations
with Bruno Damásio
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
published 2011 · International Journal of Forecasting · 1 citations
Purchasing Power Parity Analyzed from a Continuous-Time Model
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 1 citations
Purchasing Power Parity analyzed through a continuous-time version of the ESTAR model
published 2010 · Economics Letters
Nonparametric density forecast based on time-and state-domain
published 2010 · Journal of Forecasting · 2 citations
Transition Density and Simulated Likelihood Estimation for Time-Inhomogeneous Diffusions
published 2010 · Communications in Statistics - Simulation and Computation · 2 citations
Modeling financial time series through second-order stochastic differential equations
published 2008 · Statistics & Probability Letters · 14 citations
NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS
published 2007 · Econometric Theory · 34 citations
A discrete and a continuous-time model based on a technical trading rule
published 2006 · Journal of Financial Econometrics · 4 citations
Processes with volatility‐induced stationarity: an application for interest rates
published 2005 · Statistica Neerlandica · 10 citations
Method for simulating non-linear stochastic differential equations in ℝ 1
published 2005 · Journal of Statistical Computation and Simulation · 4 citations
BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION
published 2003 · Econometric Theory · 36 citations
A new technique for simulating the likelihood of stochastic differential equations
published 2002 · Econometrics Journal · 39 citations
STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME
published 2002 · Econometric Theory · 87 citations
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