Details about Rui Menezes

Access statistics for papers by Rui Menezes.

Last updated 2016-10-08. Update your information in the RePEc Author Service.

Short-id: pme337

Working Papers

2012

1. On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility
   MPRA Paper, University Library of Munich, Germany View citations (2)

2011

2. Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks
   Papers, arXiv.org View citations (6)

2010

3. On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?
   CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) View citations (4)

2008

4. Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?
   Papers, arXiv.org View citations (40)
   See also Journal Article Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (40) (2008)
5. Stock market volatility: An approach based on Tsallis entropy
   Papers, arXiv.org View citations (1)

2007

6. Entropy and Uncertainty Analysis in Financial Markets
   Papers, arXiv.org View citations (7)

2006

7. Asymmetric Conditional Volatility in International Stock Markets
   Papers, arXiv.org
   See also Journal Article Asymmetric conditional volatility in international stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (2) (2007)
8. On the integrated behaviour of non-stationary volatility in stock markets
   Papers, arXiv.org
   See also Journal Article On the integrated behaviour of non-stationary volatility in stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (8) (2007)

2005

9. An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
   Papers, arXiv.org View citations (4)
   See also Journal Article An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2006) View citations (23) (2006)

2004

10. Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors
    Econometrics, University Library of Munich, Germany

2003

11. Mutual information: a dependence measure for nonlinear time series
    Econometrics, University Library of Munich, Germany View citations (9)

Journal Articles

2013

1. On the predictability of realized volatility using feasible GLS
   Journal of Asian Economics, 2013, 28, (C), 58-66 View citations (2)

2012

2. On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries
   The Quarterly Review of Economics and Finance, 2012, 52, (4), 369-384 View citations (12)

2008

3. Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?
   Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3826-3830 View citations (40)
   See also Working Paper Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?, Papers (2008) View citations (40) (2008)

2007

4. Asymmetric conditional volatility in international stock markets
   Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 73-80 View citations (2)
   See also Working Paper Asymmetric Conditional Volatility in International Stock Markets, Papers (2006) (2006)
5. NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
   Applied Econometrics and International Development, 2007, 7, (2), 57-70
6. On the integrated behaviour of non-stationary volatility in stock markets
   Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 58-65 View citations (8)
   See also Working Paper On the integrated behaviour of non-stationary volatility in stock markets, Papers (2006) (2006)
7. Price transmission in cross boundary supply chains
   Empirica, 2007, 34, (5), 477-489 View citations (8)

2006

8. An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
   The European Physical Journal B: Condensed Matter and Complex Systems, 2006, 50, (1), 161-164 View citations (23)
   See also Working Paper An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market, Papers (2005) View citations (4) (2005)

2004

9. Asymmetric price transmission within the Portuguese stock market
   Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 312-316 View citations (5)
10. Mutual information: a measure of dependency for nonlinear time series
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 326-329 View citations (35)