Details about Paulo M. M. Rodrigues

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

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

Last updated 2025-01-06. Update your information in the RePEc Author Service.

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Working Papers

2025

1. Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2024

2. A simple but powerful tail index regression
   Papers, arXiv.org
3. Saving for sunny days: The impact of climate (change) on consumer prices in the euro area
   Papers, arXiv.org

2023

4. First passage times in portfolio optimization: a novel nonparametric approach
   Working Papers, Banco de Portugal, Economics and Research Department
   See also Journal Article First passage times in portfolio optimization: A novel nonparametric approach, European Journal of Operational Research, Elsevier (2024) (2024)
5. Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
   Working Papers, Banco de Portugal, Economics and Research Department View citations (4)
   See also Journal Article Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics, Journal of Econometrics, Elsevier (2023) View citations (4) (2023)
6. Tests of no cross-sectional error dependence in panel quantile regressions
   Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

2022

7. Cross-Sectional Error Dependence in Panel Quantile Regressions
   Working Papers, Banco de Portugal, Economics and Research Department
8. Extensions to IVX Methods of Inference for Return Predictability
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (6)
   Also in Working Papers, Banco de Portugal, Economics and Research Department (2021) View citations (4)
   See also Journal Article Extensions to IVX methods of inference for return predictability, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
9. Forgetting Approaches to Improve Forecasting
   Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
   See also Journal Article Forgetting approaches to improve forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) View citations (2) (2022)
10. Survival of the fittest: Tourism Exposure and Firm Survival
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Survival of the fittest: tourism exposure and firm survival, Applied Economics, Taylor & Francis Journals (2023) View citations (2) (2023)
11. Transformed Regression-based Long-Horizon Predictability Tests
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
    See also Journal Article Transformed regression-based long-horizon predictability tests, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2021

12. Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume
    Essex Finance Centre Working Papers, University of Essex, Essex Business School
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2021)
    See also Journal Article Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) (2021)
13. The Persistence of Wages
    IZA Discussion Papers, Institute of Labor Economics (IZA)
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2021)
    See also Journal Article The persistence of wages, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2020

14. Measuring wage inequality under right censoring
    Working Papers, Banco de Portugal, Economics and Research Department
    Also in Papers, arXiv.org (2020)
    See also Journal Article Measuring wage inequality under right censoring, Economic Inquiry, Western Economic Association International (2023) (2023)
15. The expected time to cross a threshold and its determinants: A simple and flexible framework
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article The expected time to cross a threshold and its determinants: a simple and flexible framework, Journal of Economic Dynamics and Control, Elsevier (2021) (2021)

2019

16. A reexamination of inflation persistence dynamics in OECD countries: A new approach
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2021) (2021)
17. Temporal aggregation of seasonally near-integrated processes
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (4)
    Also in DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada (2018)
    See also Journal Article Temporal Aggregation of Seasonally Near‐Integrated Processes, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (4) (2019)
18. Testing for Episodic Predictability in Stock Returns
    Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2019) View citations (1)
    See also Journal Article Testing for episodic predictability in stock returns, Journal of Econometrics, Elsevier (2022) View citations (5) (2022)
19. Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2019) View citations (1)

2018

20. Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics, Asia-Pacific Financial Markets, Springer (2021) View citations (2) (2021)
21. Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility
    Working Papers, Banco de Portugal, Economics and Research Department View citations (2)

2017

22. Unit Root Tests and Heavy-Tailed Innovations
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
    See also Journal Article Unit Root Tests and Heavy-Tailed Innovations, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (2) (2017)

2016

23. A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data
    Working Papers, Banco de Portugal, Economics and Research Department View citations (4)
24. Forecasting banking crises with dynamic panel probit models
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Forecasting banking crises with dynamic panel probit models, International Journal of Forecasting, Elsevier (2018) View citations (20) (2018)
25. Market integration and the persistence of electricity prices
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Market integration and the persistence of electricity prices, Empirical Economics, Springer (2019) View citations (4) (2019)
26. Residual-augmented IVX predictive regression
    Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
    See also Journal Article Residual-augmented IVX predictive regression, Journal of Econometrics, Elsevier (2022) View citations (4) (2022)

2015

27. A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
    Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
28. 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 View citations (31)
29. House prices: bubbles, exuberance or something else? Evidence from euro area countries
    Working Papers, Banco de Portugal, Economics and Research Department View citations (9)
30. Semi-Parametric Seasonal Unit Root Tests
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
    Also in DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada (2015) View citations (2)
    See also Journal Article SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2018) View citations (5) (2018)

2014

31. Persistence in the Banking Industry: Fractional integration and breaks in memory
    Working Papers, Banco de Portugal, Economics and Research Department View citations (9)
    See also Journal Article Persistence in the banking industry: Fractional integration and breaks in memory, Journal of Empirical Finance, Elsevier (2014) View citations (9) (2014)

2013

32. Characterizing economic growth paths based on new structural change tests
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article CHARACTERIZING ECONOMIC GROWTH PATHS BASED ON NEW STRUCTURAL CHANGE TESTS, Economic Inquiry, Western Economic Association International (2014) View citations (4) (2014)
33. On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
    CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) View citations (1)
    See also Journal Article On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (5) (2015)

2012

34. 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 View citations (1)
    See also Journal Article How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example, Journal of Business Economics and Management, Taylor & Francis Journals (2014) View citations (6) (2014)
35. Quantile regression for long memory testing: A case of realized volatility
    Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
    See also Journal Article Quantile Regression for Long Memory Testing: A Case of Realized Volatility, Journal of Financial Econometrics, Oxford University Press (2016) View citations (11) (2016)

2011

36. A Class of Robust Tests in Augmented Predictive Regressions
    Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
37. Determinants of the EONIA spread and the financial crisis
    Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
    See also Journal Article Determinants of the EONIA Spread and the Financial Crisis, Manchester School, University of Manchester (2013) View citations (11) (2013)
38. 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 View citations (2)
39. 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 View citations (3)
40. The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
    See also Journal Article THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2013) View citations (3) (2013)

2010

41. A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness
    Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
42. Calendar Effects in Daily ATM Withdrawals
    Working Papers, Banco de Portugal, Economics and Research Department View citations (16)
    See also Journal Article Calendar effects in daily ATM withdrawals, Economics Bulletin, AccessEcon (2010) View citations (18) (2010)
43. Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates
    Working Papers, Banco de Portugal, Economics and Research Department View citations (6)
    See also Journal Article Testing for persistence change in fractionally integrated models: An application to world inflation rates, Computational Statistics & Data Analysis, Elsevier (2014) View citations (28) (2014)
44. The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2011) View citations (15) (2011)

2009

45. Adding Value to Bank Branch Performance Evaluation Using Cognitive Maps and MCDA: A Case Study
    Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
46. Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
    Working Papers, Banco de Portugal, Economics and Research Department
47. 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
    See also Journal Article On LM‐type tests for seasonal unit roots in the presence of a break in trend, Journal of Time Series Analysis, Wiley Blackwell (2011) View citations (2) (2011)
48. Seasonal Unit Root Tests under Structural Breaks
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)
    Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002)
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002)
    See also Journal Article Seasonal Unit Root Tests Under Structural Breaks, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (9) (2004)
49. The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department View citations (8)

2008

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

2006

51. Efficient Tests of the Seasonal Unit Root Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics View citations (1)
    Also in Economics Working Papers, European University Institute (2004) View citations (3)
    See also Journal Article Efficient tests of the seasonal unit root hypothesis, Journal of Econometrics, Elsevier (2007) View citations (22) (2007)

2004

52. 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)
    Also in Econometrics, University Library of Munich, Germany (2004) View citations (1)
53. Properties of Recursive Trend-Adjusted Unit Root Tests
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article Properties of recursive trend-adjusted unit root tests, Economics Letters, Elsevier (2006) View citations (8) (2006)

2003

54. 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 View citations (6)
    See also Journal Article A sequential approach to testing seasonal unit roots in high frequency data, Journal of Applied Statistics, Taylor & Francis Journals (2005) View citations (2) (2005)
55. 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

1999

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

Journal Articles

2024

1. First passage times in portfolio optimization: A novel nonparametric approach
   European Journal of Operational Research, 2024, 312, (3), 1074-1085
   See also Working Paper First passage times in portfolio optimization: a novel nonparametric approach, Working Papers (2023) (2023)
2. The stability of government bond markets’ equilibrium and the interdependence of lending rates
   Empirical Economics, 2024, 67, (6), 2503-2538 View citations (1)

2023

3. Extensions to IVX methods of inference for return predictability
   Journal of Econometrics, 2023, 237, (2) View citations (1)
   See also Working Paper Extensions to IVX Methods of Inference for Return Predictability, Essex Finance Centre Working Papers (2022) View citations (6) (2022)
4. Measuring wage inequality under right censoring
   Economic Inquiry, 2023, 61, (2), 377-401
   See also Working Paper Measuring wage inequality under right censoring, Working Papers (2020) (2020)
5. Survival of the fittest: tourism exposure and firm survival
   Applied Economics, 2023, 55, (60), 7150-7177 View citations (2)
   See also Working Paper Survival of the fittest: Tourism Exposure and Firm Survival, Working Papers (2022) (2022)
6. Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
   Journal of Econometrics, 2023, 235, (2), 2266-2284 View citations (4)
   See also Working Paper Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics, Working Papers (2023) View citations (4) (2023)
7. The persistence of wages
   Journal of Econometrics, 2023, 233, (2), 596-611 View citations (2)
   See also Working Paper The Persistence of Wages, IZA Discussion Papers (2021) (2021)
8. Transformed regression-based long-horizon predictability tests
   Journal of Econometrics, 2023, 237, (2) View citations (2)
   See also Working Paper Transformed Regression-based Long-Horizon Predictability Tests, Essex Finance Centre Working Papers (2022) View citations (1) (2022)

2022

9. Forgetting approaches to improve forecasting
   Journal of Forecasting, 2022, 41, (7), 1356-1371 View citations (2)
   See also Working Paper Forgetting Approaches to Improve Forecasting, Working Papers (2022) View citations (2) (2022)
10. Residual-augmented IVX predictive regression
    Journal of Econometrics, 2022, 227, (2), 429-460 View citations (4)
    See also Working Paper Residual-augmented IVX predictive regression, Working Papers (2016) View citations (1) (2016)
11. Special issue: 20th anniversary of the Portuguese Economic Journal. Editors’ introduction
    Portuguese Economic Journal, 2022, 21, (3), 267-269
12. Testing for episodic predictability in stock returns
    Journal of Econometrics, 2022, 227, (1), 85-113 View citations (5)
    See also Working Paper Testing for Episodic Predictability in Stock Returns, Working Papers (2019) View citations (3) (2019)
13. Tests for segmented cointegration: an application to US governments budgets
    Empirical Economics, 2022, 63, (2), 567-600
    Also in Empirical Economics, 2022, 63, (2), 601-601 (2022)

2021

14. A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach
    Oxford Bulletin of Economics and Statistics, 2021, 83, (4), 935-959
    See also Working Paper A reexamination of inflation persistence dynamics in OECD countries: A new approach, Working Papers (2019) (2019)
15. Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
    Journal of Applied Econometrics, 2021, 36, (5), 544-565
    See also Working Paper Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume, Essex Finance Centre Working Papers (2021) (2021)
16. Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
    Asia-Pacific Financial Markets, 2021, 28, (3), 333-352 View citations (2)
    See also Working Paper Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics, Working Papers (2018) (2018)
17. The expected time to cross a threshold and its determinants: a simple and flexible framework
    Journal of Economic Dynamics and Control, 2021, 122, (C)
    See also Working Paper The expected time to cross a threshold and its determinants: A simple and flexible framework, Working Papers (2020) (2020)

2020

18. Special issue on advanced methods to measure tourism impacts. Editors’ introduction
    Portuguese Economic Journal, 2020, 19, (3), 171-172

2019

19. A New Regression-Based Tail Index Estimator
    The Review of Economics and Statistics, 2019, 101, (4), 667-680 View citations (14)
20. Editors’ note
    Portuguese Economic Journal, 2019, 18, (1), 1-3
21. Market integration and the persistence of electricity prices
    Empirical Economics, 2019, 57, (5), 1495-1514 View citations (4)
    See also Working Paper Market integration and the persistence of electricity prices, Working Papers (2016) (2016)
22. Temporal Aggregation of Seasonally Near‐Integrated Processes
    Journal of Time Series Analysis, 2019, 40, (6), 872-886 View citations (4)
    See also Working Paper Temporal aggregation of seasonally near-integrated processes, Essex Finance Centre Working Papers (2019) View citations (4) (2019)

2018

23. Forecasting banking crises with dynamic panel probit models
    International Journal of Forecasting, 2018, 34, (2), 249-275 View citations (20)
    See also Working Paper Forecasting banking crises with dynamic panel probit models, Working Papers (2016) (2016)
24. Persistence of travel and leisure sector equity indices
    Empirical Economics, 2018, 54, (4), 1801-1825 View citations (2)
25. SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2018, 34, (2), 447-476 View citations (5)
    See also Working Paper Semi-Parametric Seasonal Unit Root Tests, Essex Finance Centre Working Papers (2015) View citations (2) (2015)

2017

26. A mixed frequency approach to the forecasting of private consumption with ATM/POS data
    International Journal of Forecasting, 2017, 33, (1), 61-75 View citations (40)
27. Territory and Sustainable Tourism Development: a Space-Time Analysis on European Regions
    REGION, 2017, 4, 1-17 View citations (16)
28. Unit Root Tests and Heavy-Tailed Innovations
    Journal of Time Series Analysis, 2017, 38, (5), 733-768 View citations (2)
    See also Working Paper Unit Root Tests and Heavy-Tailed Innovations, Essex Finance Centre Working Papers (2017) View citations (2) (2017)

2016

29. Monitoring tourism flows and destination management: Empirical evidence for Portugal
    Tourism Management, 2016, 56, (C), 1-7 View citations (4)
30. Quantile Regression for Long Memory Testing: A Case of Realized Volatility
    Journal of Financial Econometrics, 2016, 14, (4), 693-724 View citations (11)
    See also Working Paper Quantile regression for long memory testing: A case of realized volatility, Working Papers (2012) View citations (3) (2012)
31. Tourism growth and regional resilience
    Tourism Economics, 2016, 22, (4), 699-714 View citations (6)

2015

32. Modeling and forecasting interval time series with threshold models
    Advances in Data Analysis and Classification, 2015, 9, (1), 41-57 View citations (16)
33. On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
    Oxford Bulletin of Economics and Statistics, 2015, 77, (4), 495-511 View citations (5)
    See also Working Paper On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles, CEFAGE-UE Working Papers (2013) View citations (1) (2013)
34. Opportunities, Emerging Features, and Trends in Electronic Distribution in Tourism
    International Journal of Information Systems and Social Change (IJISSC), 2015, 6, (4), 17-32
35. Tourist Spending Dynamics in the Algarve: A Cross-Sectional Analysis
    Tourism Economics, 2015, 21, (3), 475-500 View citations (3)

2014

36. CHARACTERIZING ECONOMIC GROWTH PATHS BASED ON NEW STRUCTURAL CHANGE TESTS
    Economic Inquiry, 2014, 52, (2), 845-861 View citations (4)
    See also Working Paper Characterizing economic growth paths based on new structural change tests, Working Papers (2013) (2013)
37. 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 View citations (17)
38. 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 View citations (6)
    See also Working Paper How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example, Working Papers (2012) View citations (1) (2012)
39. Persistence in the banking industry: Fractional integration and breaks in memory
    Journal of Empirical Finance, 2014, 29, (C), 95-112 View citations (9)
    See also Working Paper Persistence in the Banking Industry: Fractional integration and breaks in memory, Working Papers (2014) View citations (9) (2014)
40. Testing for persistence change in fractionally integrated models: An application to world inflation rates
    Computational Statistics & Data Analysis, 2014, 76, (C), 502-522 View citations (28)
    See also Working Paper Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates, Working Papers (2010) View citations (6) (2010)

2013

41. Determinants of the EONIA Spread and the Financial Crisis
    Manchester School, 2013, 81, 82-110 View citations (11)
    See also Working Paper Determinants of the EONIA spread and the financial crisis, Working Papers (2011) View citations (8) (2011)
42. Recursive adjustment, unit root tests and structural breaks
    Journal of Time Series Analysis, 2013, 34, (1), 62-82 View citations (5)
43. Regional tourism development: culture, nature, life cycle and attractiveness
    Current Issues in Tourism, 2013, 16, (6), 517-534 View citations (3)
44. Research Note: The Importance of Online Tourism Demand
    Tourism Economics, 2013, 19, (6), 1443-1447 View citations (12)
45. THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (6), 1289-1313 View citations (3)
    See also Working Paper The Impact of Persistent Cycles on Zero Frequency Unit Root Tests, Working Papers (2011) View citations (3) (2011)

2012

46. Assessing the Impact of Shocks on International Tourism Demand for Portugal
    Tourism Economics, 2012, 18, (3), 617-634 View citations (3)
47. Robust Econometric Methods for Modelling Economic and Financial Variables
    Economics Bulletin, 2012, 32, (2), A22
48. 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 View citations (61)

2011

49. 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 (2)
    See also Working Paper On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend, Working Papers (2009) (2009)
50. 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 (15)
    See also Working Paper The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance, Working Papers (2010) (2010)
51. Threshold effects in credit risk and stress scenarios
    International Journal of Finance & Economics, 2011, 16, (4), 393-407 View citations (1)

2010

52. Calendar effects in daily ATM withdrawals
    Economics Bulletin, 2010, 30, (4), 2587-2597 View citations (18)
    See also Working Paper Calendar Effects in Daily ATM Withdrawals, Working Papers (2010) View citations (16) (2010)
53. Events that marked tourism in Portugal
    Applied Economics Letters, 2010, 17, (8), 761-766 View citations (2)
54. Knowledge Production in European Regions: The Impact of Regional Strategies and Regionalization on Innovation
    European Planning Studies, 2010, 18, (10), 1731-1748 View citations (5)
55. Persistence Change in Tourism Data
    Tourism Economics, 2010, 16, (2), 303-319
56. What causes economic growth in Portugal: exports or inward FDI?
    Journal of Economic Studies, 2010, 37, (3), 267-287 View citations (17)

2009

57. Modelling and Forecasting the UK Tourism Growth Cycle in Algarve
    Tourism Economics, 2009, 15, (2), 323-338 View citations (7)
58. TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
    Econometric Theory, 2009, 25, (6), 1793-1828 View citations (21)

2008

59. A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
    Statistical Papers, 2008, 49, (3), 581-593

2007

60. Asset Pricing: Theory and Empirical Evidence
    Economics Bulletin, 2007, 28, (37), A0
61. EC2 CONFERENCE ON ADVANCES IN ECONOMETRIC TIME SERIES ANALYSIS
    Economics Bulletin, 2007, 28, (34), A0
62. Efficient tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2007, 141, (2), 548-573 View citations (22)
    See also Working Paper Efficient Tests of the Seasonal Unit Root Hypothesis*, Discussion Papers (2006) View citations (1) (2006)
63. Multivariate Volatility Models
    Economics Bulletin, 2007, 28, (32), A0
64. Testing for causality in variance under nonstationarity in variance
    Economics Letters, 2007, 97, (2), 133-137 View citations (17)

2006

65. Properties of recursive trend-adjusted unit root tests
    Economics Letters, 2006, 91, (3), 413-419 View citations (8)
    See also Working Paper Properties of Recursive Trend-Adjusted Unit Root Tests, Economics Working Papers (2004) View citations (1) (2004)

2005

66. A sequential approach to testing seasonal unit roots in high frequency data
    Journal of Applied Statistics, 2005, 32, (6), 555-569 View citations (2)
    See also Working Paper A sequential approach to testing seasonal unit roots in high frequency data, Econometric Institute Research Papers (2003) View citations (6) (2003)
67. Dating and Synchronizing Tourism Growth Cycles
    Tourism Economics, 2005, 11, (4), 501-515 View citations (14)
68. The performance of unit root tests under level-dependent heteroskedasticity
    Economics Letters, 2005, 89, (3), 262-268 View citations (7)

2004

69. ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
    Econometric Theory, 2004, 20, (4), 645-670 View citations (10)
70. Alternative estimators and unit root tests for seasonal autoregressive processes
    Journal of Econometrics, 2004, 120, (1), 35-73 View citations (11)
71. An Application of PAR Models for Tourism Forecasting
    Tourism Economics, 2004, 10, (3), 281-303 View citations (4)
72. F versus t tests for unit roots: a comment
    Economics Bulletin, 2004, 3, (12), 1-7 View citations (2)
73. ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
    Econometric Theory, 2004, 20, (1), 95-115 View citations (1)
74. Seasonal Unit Root Tests Under Structural Breaks
    Journal of Time Series Analysis, 2004, 25, (1), 33-53 View citations (9)
    See also Working Paper Seasonal Unit Root Tests under Structural Breaks, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) (2009)
75. Threshold Cointegration and the PPP Hypothesis
    Journal of Applied Statistics, 2004, 31, (1), 115-127 View citations (8)

2002

76. ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
    Econometric Reviews, 2002, 21, (2), 221-241 View citations (14)
77. On LM type tests for seasonal unit roots in quarterly data
    Econometrics Journal, 2002, 5, (1), 176-195 View citations (9)
78. The behaviour of seasonal unit root tests under neglected local drifts
    Portuguese Economic Journal, 2002, 1, (1), 27-46 View citations (1)

2001

79. NEAR SEASONAL INTEGRATION
    Econometric Theory, 2001, 17, (1), 70-86 View citations (7)

2000

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

1999

81. Performance of seasonal unit root tests for monthly data
    Journal of Applied Statistics, 1999, 26, (8), 985-1004 View citations (20)

Chapters

2006

1. Forecasting Seasonal Time Series
   Elsevier View citations (28)