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Details about Paulo M. M. Rodrigues

E-mail:
Phone:+351 21 3130831
Postal address:Banco de Portugal Economic Research Department Av. Almirante Reis, 71-6th floor 1150-012 Lisbon, Portugal
Workplace:Banco de Portugal (Central Bank of Portugal), (more information at EDIRC)
School of Business and Economics, Universidade Nova de Lisboa (Nova University of Lisbon), (more information at EDIRC)

Access statistics for papers by Paulo M. M. Rodrigues.

Last updated 2017-02-25. Update your information in the RePEc Author Service.

Short-id: pro11


Jump to Journal Articles Chapters

Working Papers

2017

  1. Unit Root Tests and Heavy-Tailed Innovations
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads

2016

  1. A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  2. Forecasting banking crises with dynamic panel probit models
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  3. Market integration and the persistence of electricity prices
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  4. Residual-augmented IVX predictive regression
    Working Papers, Banco de Portugal, Economics and Research Department Downloads

2015

  1. A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  2. Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  3. House prices: bubbles, exuberance or something else? Evidence from euro area countries
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  4. Semi-Parametric Seasonal Unit Root Tests
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (1)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2015) Downloads View citations (1)

2014

  1. Persistence in the Banking Industry: Fractional integration and breaks in memory
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (2014)

2013

  1. Characterizing economic growth paths based on new structural change tests
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
    See also Journal Article in Economic Inquiry (2014)
  2. On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
    CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)

2012

  1. How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
    See also Journal Article in Journal of Business Economics and Management (2014)
  2. Quantile regression for long memory testing: A case of realized volatility
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2016)

2011

  1. A Class of Robust Tests in Augmented Predictive Regressions
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (1)
  2. Determinants of the EONIA spread and the financial crisis
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (5)
    See also Journal Article in Manchester School (2013)
  3. Evaluating retail banking quality service and convenience with MCDA techniques: a case study at the bank branch level
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (2)
  4. Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  5. The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
    See also Journal Article in Econometric Theory (2013)

2010

  1. A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
    See also Journal Article in International Journal of Strategic Property Management (2012)
  2. Calendar Effects in Daily ATM Withdrawals
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article in Economics Bulletin (2010)
  3. Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  4. The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)

2009

  1. Adding Value to Bank Branch Performance Evaluation Using Cognitive Maps and MCDA: A Case Study
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (2)
  2. Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  3. On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
    See also Journal Article in Journal of Time Series Analysis (2011)
  4. The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (2)

2008

  1. Comparing Seasonal Forecasts of Industrial Production
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads

2004

  1. Efficient Tests of the Seasonal Unit Root Hypothesis
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in Discussion Papers, University of Nottingham, School of Economics Downloads

    See also Journal Article in Journal of Econometrics (2007)
  2. ON THE SMALL SAMPLE PROPERTIES OF DICKEY FULLER AND MAXIMUM LIKELIHOOD UNIT ROOT TESTS ON DISCRETE-SAMPLED SHORT-TERM INTEREST RATES
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    Also in Econometrics, EconWPA (2004) Downloads
  3. Properties of Recursive Trend-Adjusted Unit Root Tests
    Economics Working Papers, European University Institute Downloads View citations (1)
    See also Journal Article in Economics Letters (2006)

2003

  1. A sequential approach to testing seasonal unit roots in high frequency data
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
    See also Journal Article in Journal of Applied Statistics (2005)
  2. On Tests for Double Differencing: Some Extensions and the Role of Initial Values
    Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces Downloads

1999

  1. Seasonal Nonstationarity and Near-Nonstationarity
    CIRANO Working Papers, CIRANO Downloads View citations (7)

Journal Articles

2017

  1. A mixed frequency approach to the forecasting of private consumption with ATM/POS data
    International Journal of Forecasting, 2017, 33, (1), 61-75 Downloads

2016

  1. Quantile Regression for Long Memory Testing: A Case of Realized Volatility
    Journal of Financial Econometrics, 2016, 14, (4), 693-724 Downloads
    See also Working Paper (2012)

2015

  1. A Reappraisal of Eurozone Countries Output Differentials
    Economic Bulletin and Financial Stability Report Articles, 2015 Downloads
  2. Modeling and forecasting interval time series with threshold models
    Advances in Data Analysis and Classification, 2015, 9, (1), 41-57 Downloads View citations (3)
  3. On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
    Oxford Bulletin of Economics and Statistics, 2015, 77, (4), 495-511 Downloads
    See also Working Paper (2013)
  4. Opportunities, Emerging Features, and Trends in Electronic Distribution in Tourism
    International Journal of Information Systems and Social Change (IJISSC), 2015, 6, (4), 17-32 Downloads

2014

  1. CHARACTERIZING ECONOMIC GROWTH PATHS BASED ON NEW STRUCTURAL CHANGE TESTS
    Economic Inquiry, 2014, 52, (2), 845-861 Downloads
    See also Working Paper (2013)
  2. Early Warning Indicators of Banking Crises: Exploring new Data and Tools
    Economic Bulletin and Financial Stability Report Articles, 2014 Downloads View citations (1)
  3. Evaluating retail banking service quality and convenience with MCDA techniques: a case study at the bank branch level
    Journal of Business Economics and Management, 2014, 15, (1), 1-21 Downloads View citations (3)
  4. How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example
    Journal of Business Economics and Management, 2014, 15, (4), 708-728 Downloads
    See also Working Paper (2012)
  5. Persistence in the banking industry: Fractional integration and breaks in memory
    Journal of Empirical Finance, 2014, 29, (C), 95-112 Downloads View citations (3)
    See also Working Paper (2014)
  6. Testing for persistence change in fractionally integrated models: An application to world inflation rates
    Computational Statistics & Data Analysis, 2014, 76, (C), 502-522 Downloads View citations (7)
    See also Working Paper (2010)

2013

  1. Determinants of the EONIA Spread and the Financial Crisis
    Manchester School, 2013, 81, 82-110 Downloads View citations (1)
    See also Working Paper (2011)
  2. Recursive adjustment, unit root tests and structural breaks
    Journal of Time Series Analysis, 2013, 34, (1), 62-82 Downloads View citations (4)
  3. THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (06), 1289-1313 Downloads View citations (1)
    See also Working Paper (2011)
  4. The world tourism exports cycle
    Economic Bulletin and Financial Stability Report Articles, 2013 Downloads

2012

  1. A multiple criteria framework to evaluate bank branch potential attractiveness
    International Journal of Strategic Property Management, 2012, 16, (3), 254-276 Downloads View citations (4)
    See also Working Paper (2010)
  2. Robust Econometric Methods for Modelling Economic and Financial Variables
    Economics Bulletin, 2012, 32, (2), A22 Downloads
  3. The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-
    Oxford Bulletin of Economics and Statistics, 2012, 74, (5), 736-759 Downloads View citations (9)

2011

  1. A comparison of the cyclical evolution of various geographic areas of reference with Portugal
    Economic Bulletin and Financial Stability Report Articles, 2011 Downloads
  2. On LM‐type tests for seasonal unit roots in the presence of a break in trend
    Journal of Time Series Analysis, 2011, 32, (2), 108-134 View citations (1)
    See also Working Paper (2009)
  3. The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
    Oxford Bulletin of Economics and Statistics, 2011, 73, (4), 449-468 View citations (9)
    See also Working Paper (2010)
  4. Threshold effects in credit risk and stress scenarios
    International Journal of Finance & Economics, 2011, 16, (4), 393-407

2010

  1. Calendar effects in daily ATM withdrawals
    Economics Bulletin, 2010, 30, (4), 2587-2597 Downloads View citations (5)
    See also Working Paper (2010)
  2. Determinants of the EONIA spread and the financial turmoil of 2007-2009
    Economic Bulletin and Financial Stability Report Articles, 2010 Downloads
  3. Events that marked tourism in Portugal
    Applied Economics Letters, 2010, 17, (8), 761-766 Downloads View citations (1)
  4. Knowledge Production in European Regions: The Impact of Regional Strategies and Regionalization on Innovation
    European Planning Studies, 2010, 18, (10), 1731-1748 Downloads View citations (4)
  5. Volatility and Seasonality of Tourism Demand in Portugal
    Economic Bulletin and Financial Stability Report Articles, 2010 Downloads View citations (1)
  6. What causes economic growth in Portugal: exports or inward FDI?
    Journal of Economic Studies, 2010, 37, (3), 267-287 Downloads View citations (6)

2009

  1. TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
    Econometric Theory, 2009, 25, (06), 1793-1828 Downloads View citations (12)

2008

  1. A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
    Statistical Papers, 2008, 49, (3), 581-593 Downloads
  2. UNIT ROOT AND COINTEGRATION TESTING: GUEST EDITORS' INTRODUCTION
    Econometric Theory, 2008, 24, (01), 1-6 Downloads

2007

  1. Asset Pricing: Theory and Empirical Evidence
    Economics Bulletin, 2007, 28, (37), A0 Downloads
  2. EC2 CONFERENCE ON ADVANCES IN ECONOMETRIC TIME SERIES ANALYSIS
    Economics Bulletin, 2007, 28, (34), A0 Downloads
  3. Efficient tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2007, 141, (2), 548-573 Downloads View citations (14)
    See also Working Paper (2004)
  4. Multivariate Volatility Models
    Economics Bulletin, 2007, 28, (32), A0 Downloads
  5. Testing for causality in variance under nonstationarity in variance
    Economics Letters, 2007, 97, (2), 133-137 Downloads View citations (7)

2006

  1. Properties of recursive trend-adjusted unit root tests
    Economics Letters, 2006, 91, (3), 413-419 Downloads View citations (7)
    See also Working Paper (2004)

2005

  1. A sequential approach to testing seasonal unit roots in high frequency data
    Journal of Applied Statistics, 2005, 32, (6), 555-569 Downloads View citations (1)
    See also Working Paper (2003)
  2. The performance of unit root tests under level-dependent heteroskedasticity
    Economics Letters, 2005, 89, (3), 262-268 Downloads View citations (4)

2004

  1. ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
    Econometric Theory, 2004, 20, (04), 645-670 Downloads View citations (8)
  2. Alternative estimators and unit root tests for seasonal autoregressive processes
    Journal of Econometrics, 2004, 120, (1), 35-73 Downloads View citations (9)
  3. F versus t tests for unit roots: a comment
    Economics Bulletin, 2004, 3, (12), 1-7 Downloads View citations (2)
  4. ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
    Econometric Theory, 2004, 20, (01), 95-115 Downloads View citations (1)
  5. Seasonal Unit Root Tests Under Structural Breaks*
    Journal of Time Series Analysis, 2004, 25, (1), 33-53 Downloads View citations (7)
  6. Threshold Cointegration and the PPP Hypothesis
    Journal of Applied Statistics, 2004, 31, (1), 115-127 Downloads View citations (5)

2002

  1. ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
    Econometric Reviews, 2002, 21, (2), 221-241 Downloads View citations (13)
  2. On LM type tests for seasonal unit roots in quarterly data
    Econometrics Journal, 2002, 5, (1), 176-195 Downloads View citations (5)

2001

  1. NEAR SEASONAL INTEGRATION
    Econometric Theory, 2001, 17, (01), 70-86 Downloads View citations (6)

2000

  1. A note on the application of the DF test to seasonal data
    Statistics & Probability Letters, 2000, 47, (2), 171-175 Downloads View citations (3)

1999

  1. Performance of seasonal unit root tests for monthly data
    Journal of Applied Statistics, 1999, 26, (8), 985-1004 Downloads View citations (16)

Chapters

2006

  1. Forecasting Seasonal Time Series
    Elsevier Downloads View citations (8)
 
Page updated 2017-03-27