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Details about Nuno Crato

E-mail:
Homepage:http://pascal.iseg.ulisboa.pt/~ncrato
Workplace:Centro de Matemática Aplicada à Previsão e Decisão Económica (CEMAPRE) (Centre for Mathematics Applied to Forecasting and Economic Decision), Research in Economics and Mathematics (REM), Instituto Superior de Economia e Gestão (ISEG) (School of Economics and Management), Universidade de Lisboa (University of Lisbon), (more information at EDIRC)
Instituto Superior de Economia e Gestão (ISEG) (School of Economics and Management), Universidade de Lisboa (University of Lisbon), (more information at EDIRC)

Access statistics for papers by Nuno Crato.

Last updated 2017-02-08. Update your information in the RePEc Author Service.

Short-id: pcr42


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Working Papers

2009

  1. Comparison of time series with unequal length in the frequency domain
    MPRA Paper, University Library of Munich, Germany Downloads View citations (7)
  2. Identifying common dynamic features in stock returns
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in CEMAPRE Working Papers, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon (2009) Downloads

    See also Journal Article in Quantitative Finance (2010)

2008

  1. Identifying the evolution of stock markets stochastic structure after the euro
    MPRA Paper, University Library of Munich, Germany Downloads

2007

  1. A GARCH-based method for clustering of financial time series: International stock markets evidence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  2. Comparison of time series with unequal length
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Identifying common spectral and asymmetric features in stock returns
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Is there an identity within international stock market volatilities?
    MPRA Paper, University Library of Munich, Germany Downloads

2006

  1. An interpolated periodogram-based metric for comparison of time series with unequal lengths
    MPRA Paper, University Library of Munich, Germany Downloads

2005

  1. Discrimination between deterministic trend and stochastic trend processes
    MPRA Paper, University Library of Munich, Germany Downloads

Undated

  1. Measuring Hysteresis in Unemployment Rates with Long Memory Models
    Working Papers, East Carolina University, Department of Economics View citations (8)

Journal Articles

2012

  1. A new model for explaining long-range correlations in human time interval production
    Computational Statistics & Data Analysis, 2012, 56, (6), 1908-1919 Downloads

2011

  1. α-stable laws for noncoding regions in DNA sequences
    Journal of Applied Statistics, 2011, 38, (2), 261-271 Downloads

2010

  1. Identifying common dynamic features in stock returns
    Quantitative Finance, 2010, 10, (7), 797-807 Downloads View citations (3)
    See also Working Paper (2009)

2006

  1. A periodogram-based metric for time series classification
    Computational Statistics & Data Analysis, 2006, 50, (10), 2668-2684 Downloads View citations (33)

2005

  1. A mild skepticism on nonlinear forecasting: Some comments on the paper by Harvill and Ray
    International Journal of Forecasting, 2005, 21, (4), 729-730 Downloads

2002

  1. A note on moving average forecasts of long memory processes with an application to quality control
    International Journal of Forecasting, 2002, 18, (2), 291-297 Downloads View citations (1)
  2. Introduction
    International Journal of Forecasting, 2002, 18, (2), 163-165 Downloads View citations (1)

2001

  1. Long-run versus short-run behaviour of the real exchange rates
    Applied Economics, 2001, 33, (5), 683-688 Downloads View citations (2)

2000

  1. Memory in returns and volatilities of futures' contracts
    Journal of Futures Markets, 2000, 20, (6), 525-543 Downloads View citations (8)

1998

  1. The detection and estimation of long memory in stochastic volatility
    Journal of Econometrics, 1998, 83, (1-2), 325-348 Downloads View citations (263)

1995

  1. New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates
    Empirical Economics, 1995, 20, (4), 599-613 View citations (5)

1994

  1. A reappraisal of parity reversion for UK real exchange rates
    Applied Economics Letters, 1994, 1, (9), 139-141 Downloads View citations (3)
  2. Fractional integration analysis of long-run behavior for US macroeconomic time series
    Economics Letters, 1994, 45, (3), 287-291 Downloads View citations (21)
  3. Long-range dependence in the conditional variance of stock returns
    Economics Letters, 1994, 45, (3), 281-285 Downloads View citations (57)

1993

  1. Forecasting business and economic time series with overdifferenced models
    Portuguese Journal of Management Studies, 1993, I, (2), 77-82 Downloads
 
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