← All authors Paulo M.M. Rodrigues Banco de Portugal (from arXiv:2409.13531, 2024) · ORCID · OpenAlex
90 papers in scope · 89 published · 2 on the econ.EM arXiv · 1,281 citations · h-index 20 (over the papers listed here)
Papers (2 of 90)
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
published 2026 · Oxford Bulletin of Economics and Statistics · 1 citations
with Daniel Abreu
Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach
published 2025 · Journal of Econometrics · 2 citations · first circulated 2024
The causes of economic growth: Revisiting our ignorance
published 2025 · Edelweiss Applied Science and Technology
with Jorge Sá Silva, Ana Luís, Paulo Rodrigues
Editors’ note
published 2025 · Portuguese Economic Journal
with Luís F. Costa, Paulo Rodrigues
working paper 2024 · arXiv
The stability of government bond markets’ equilibrium and the interdependence of lending rates
published 2024 · Empirical Economics · 1 citations
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
Survival of the fittest: tourism exposure and firm survival
published 2023 · Applied Economics · 11 citations
with Filipe B. Caires, Hugo Reis
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks
published 2022 · Journal of Empirical Finance · 6 citations
with Alessandro Pollastri, Christian Schlag, Norman Seeger
Special issue: 20th anniversary of the Portuguese Economic Journal. Editors’ introduction
published 2022 · Portuguese Economic Journal
with Luís F. Costa, Daniel Dias, Steffen Hoernig, Miguel Portela, Paulo Rodrigues
published 2022 · Economic Inquiry · 2 citations · first circulated 2020
Transformed regression-based long-horizon predictability tests
published 2022 · Journal of Econometrics · 7 citations
with Matei Demetrescu, A.M. Robert Taylor
Forgetting approaches to improve forecasting
published 2022 · Journal of Forecasting · 3 citations
with Robert A. Hill
Extensions to IVX methods of inference for return predictability
published 2022 · Journal of Econometrics · 15 citations
The Persistence of Wages
published 2022 · Journal of Econometrics
with Anabela Carneiro, Pedro Portugal, Pedro S. Raposo, Paulo Rodrigues
Tests for segmented cointegration: an application to US governments budgets
published 2021 · Empirical Economics · 2 citations
with Luís F. Martins, Paulo Rodrigues
Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
published 2021 · Journal of Applied Econometrics · 1 citations
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
Residual-augmented IVX predictive regression
published 2020 · Journal of Econometrics · 13 citations · first circulated 2016
with Matei Demetrescu
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
Special issue on advanced methods to measure tourism impacts. Editors’ introduction
published 2020 · Portuguese Economic Journal
with Antónia Correia, Egon Smeral
Testing for episodic predictability in stock returns
published 2020 · Journal of Econometrics · 43 citations · first circulated 2019
Temporal Aggregation of Seasonally Near‐Integrated Processes
published 2019 · Journal of Time Series Analysis · 9 citations · first circulated 2018
Editors’ note
published 2019 · Portuguese Economic Journal
with Luís F. Costa, Paulo Rodrigues
A New Regression-Based Tail Index Estimator
published 2018 · The Review of Economics and Statistics · 11 citations · first circulated 2015
Market integration and the persistence of electricity prices
published 2018 · Empirical Economics · 12 citations · first circulated 2016
with João Pedro Pereira, Vasco Pesquita, Paulo Rodrigues, António Rua
Forecasting banking crises with dynamic panel probit models
published 2018 · International Journal of Forecasting · 38 citations · first circulated 2016
with António Antunes, Diana Bonfim, Nuno Monteiro
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
published 2018 · Journal of Economic Dynamics and Control · 6 citations
with Andreas Kaeck, Norman Seeger
Level and slope of volatility smiles in long-run risk models
published 2017 · Journal of Economic Dynamics and Control · 6 citations
with Nicole Branger, Christian Schlag
Persistence of travel and leisure sector equity indices
published 2017 · Empirical Economics · 5 citations
with Jorge M. Andraz, Raul Filipe Guerreiro, Paulo Rodrigues
Equity index variance: Evidence from flexible parametric jump–diffusion models
published 2017 · Journal of Banking & Finance · 7 citations
with Andreas Kaeck, Norman Seeger
SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
published 2017 · Econometric Theory · 13 citations · first circulated 2015
Unit Root Tests and Heavy‐Tailed Innovations
published 2017 · Journal of Time Series Analysis · 6 citations
A mixed frequency approach to the forecasting of private consumption with ATM/POS data
published 2016 · International Journal of Forecasting · 49 citations
with Cláudia Duarte, António Rua
Tourism growth and regional resilience
published 2016 · Tourism Economics · 36 citations
with João Romão, João Guerreiro, Paulo Rodrigues
Quantile Regression for Long Memory Testing: A Case of Realized Volatility
published 2016 · Journal of Financial Econometrics · 13 citations
Tourist Spending Dynamics in the Algarve: A Cross-Sectional Analysis
published 2015 · Tourism Economics · 30 citations
with Jaime Serra, Antónia Correia
On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
published 2015 · Oxford Bulletin of Economics and Statistics · 17 citations · first circulated 2013
A Reappraisal of Eurozone Countries Output Differentials
published 2015 · Economic Bulletin and Financial Stability Report Articles
with Jorge M. Andraz
no link
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
published 2014 · Journal of Business and Economic Statistics · 23 citations · first circulated 2011
with Katja Ignatieva, Norman Seeger
Modeling and forecasting interval time series with threshold models
published 2014 · Advances in Data Analysis and Classification · 58 citations · first circulated 2011
Persistence in the banking industry: Fractional integration and breaks in memory
published 2014 · Journal of Empirical Finance · 17 citations
CHARACTERIZING ECONOMIC GROWTH PATHS BASED ON NEW STRUCTURAL CHANGE TESTS
published 2014 · Economic Inquiry · 8 citations · first circulated 2013
with Nuno Sobreira, Luís C. Nunes
THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
published 2013 · Econometric Theory · 6 citations · first circulated 2011
Determinants of the EONIA Spread and the Financial Crisis
published 2013 · Manchester School · 20 citations · first circulated 2011
with Carla Soares
The London Commercial Property Price Index
published 2013 · The Journal of Real Estate Finance and Economics · 19 citations · first circulated 2012
with Andrea Chegut, Piet Eichholtz
Research Note: The Importance of Online Tourism Demand
published 2013 · Tourism Economics · 27 citations
with Célia M. Q. Ramos
Testing for persistence change in fractionally integrated models: An application to world inflation rates
published 2012 · Computational Statistics & Data Analysis · 51 citations · first circulated 2010
with Luís F. Martins
Recursive adjustment, unit root tests and structural breaks
published 2012 · Journal of Time Series Analysis · 13 citations
Assessing the Impact of Shocks on International Tourism Demand for Portugal
published 2012 · Tourism Economics · 5 citations
with Ana Cristina Marques Daniel
Finite sample performance of frequency-and time-domain tests for seasonal fractional integration
published 2012 · Journal of Statistical Computation and Simulation · 2 citations · first circulated 2009
with Antonio Rubia, João Valle e Azevedo
The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests *
published 2011 · Oxford Bulletin of Economics and Statistics · 110 citations
Improved forecasting of autoregressive series by weighted least squares approximate REML estimation: Comment
published 2011 · International Journal of Forecasting
The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance*
published 2011 · Oxford Bulletin of Economics and Statistics · 16 citations · first circulated 2010
with Antonio Rubia, Paulo Rodrigues
Panel Seasonal Unit Root Tests: An Application to Tourism
published 2011 · Tourism Economics · 6 citations
Modelling Tourism Demand in Portugal
published 2011 · Tourism Economics · 8 citations
with Ana Cristina Marques Daniel
Threshold effects in credit risk and stress scenarios
published 2010 · International Journal of Finance & Economics · 5 citations
with Tiago M. T. Nunes
On LM-type tests for seasonal unit roots in the presence of a break in trend
published 2010 · Journal of Time Series Analysis · 2 citations · first circulated 2009
with Luís C. Nunes
What causes economic growth in Portugal: exports or inward FDI?
published 2010 · Journal of Economic Studies · 59 citations
with Jorge M. Andraz
Persistence Change in Tourism Data
published 2010 · Tourism Economics · 2 citations
with Jorge M. Andraz
Determinants of the EONIA spread and the financial turmoil of 2007-2009
published 2010 · Economic Bulletin and Financial Stability Report Articles · 4 citations
with Carla Soares
no link
TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
published 2009 · Econometric Theory · 27 citations
A tourism research agenda for Portugal
published 2009 · International Journal of Tourism Research · 18 citations
with João Albino Silva, Júlio Mendes, Luís Nobre Pereira
Modelling and Forecasting the UK Tourism Growth Cycle in Algarve
published 2009 · Tourism Economics · 18 citations
with Jorge M. Andraz, Pedro M.D.C.B. Gouveia
Events that marked tourism in Portugal
published 2008 · Applied Economics Letters · 6 citations
with Jorge M. Andraz
UNIT ROOT AND COINTEGRATION TESTING: GUEST EDITORS' INTRODUCTION
published 2007 · Econometric Theory · 3 citations
Testing for causality in variance under nonstationarity in variance
published 2007 · Economics Letters · 26 citations
with Antonio Rubia
Asset Pricing: Theory and Empirical Evidence
published 2007 · Economics bulletin
with Paulo Rodrigues
no link
Multivariate Volatility Models
published 2007 · Economics bulletin
no link
Efficient tests of the seasonal unit root hypothesis
published 2006 · Journal of Econometrics · 33 citations · first circulated 2004
A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
published 2006 · Statistical Papers · 5 citations
with Antonio Rubia
Properties of recursive trend-adjusted unit root tests
published 2006 · Economics Letters · 17 citations · first circulated 2004
Dating and Synchronizing Tourism Growth Cycles
published 2005 · Tourism Economics · 45 citations
with Pedro M.D.C.B. Gouveia, Paulo Rodrigues
The performance of unit root tests under level-dependent heteroskedasticity
published 2005 · Economics Letters · 13 citations
with Antonio Rubia
A sequential approach to testing seasonal unit roots in high frequency data
published 2005 · Journal of Applied Statistics · 13 citations · first circulated 2003
with Philip Hans Franses
An Application of PAR Models for Tourism Forecasting
published 2004 · Tourism Economics · 26 citations
with Pedro M.D.C.B. Gouveia
ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
published 2004 · Econometric Theory · 16 citations
F versus t tests for unit roots: a comment
published 2004 · Economics bulletin · 2 citations
with A. R. Tremayne
no link
ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
published 2004 · Econometric Theory · 1 citations
Seasonal Unit Root Tests Under Structural Breaks*
published 2004 · Journal of Time Series Analysis · 2 citations
Threshold Cointegration and the PPP Hypothesis
published 2004 · Journal of Applied Statistics · 27 citations
with Pedro M.D.C.B. Gouveia
Alternative estimators and unit root tests for seasonal autoregressive processes
published 2003 · Journal of Econometrics · 21 citations
On LM type tests for seasonal unit roots in quarterly data
published 2002 · Econometrics Journal · 1 citations
The behaviour of seasonal unit root tests under neglected local drifts
published 2002 · Portuguese Economic Journal
ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
published 2002 · Econometric Reviews · 44 citations
with Denise R. Osborn
NEAR SEASONAL INTEGRATION
published 2001 · Econometric Theory · 16 citations
A note on the application of the DF test to seasonal data
published 2000 · Statistics & Probability Letters · 11 citations
Performance of seasonal unit root tests for monthly data
published 1999 · Journal of Applied Statistics · 47 citations
with Denise R. Osborn
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