Details about António Rua

Access statistics for papers by António Rua.

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Short-id: pru99

Working Papers

2019

1. Modelling the Demand for Euro Banknotes
   Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
2. Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis
   Working Papers, Banco de Portugal, Economics and Research Department View citations (9)

2018

3. Does domestic demand matter for firms’ exports?
   NIPE Working Papers, NIPE - Universidade do Minho View citations (4)
   Also in Working Papers, Banco de Portugal, Economics and Research Department (2018) View citations (3)
4. Zooming the Ins and Outs of the U.S. Unemployment with a Wavelet Lens
   IZA Discussion Papers, Institute of Labor Economics (IZA)

2017

5. Modelling currency demand in a small open economy within a monetary union
   Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
   See also Journal Article Modelling currency demand in a small open economy within a monetary union, Economic Modelling, Elsevier (2018) View citations (8) (2018)
6. Zooming the Ins and Outs of the U.S. Unemployment
   Working Papers, Banco de Portugal, Economics and Research Department

2016

7. A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data
   Working Papers, Banco de Portugal, Economics and Research Department View citations (4)
8. A wavelet-based multivariate multiscale approach for forecasting
   Working Papers, Banco de Portugal, Economics and Research Department
   See also Journal Article A wavelet-based multivariate multiscale approach for forecasting, International Journal of Forecasting, Elsevier (2017) View citations (14) (2017)
9. 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)

2015

10. Exports and domestic demand pressure: a dynamic panel data model for the euro area countries
    Working Paper Series, European Central Bank View citations (6)
    Also in VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association (2015) View citations (4)
    Working Papers, Banco de Portugal, Economics and Research Department (2014) View citations (3)
    See also Journal Article Exports and domestic demand pressure: a dynamic panel data model for the euro area countries, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2016) View citations (18) (2016)

2014

11. Real-time nowcasting the US output gap: Singular spectrum analysis at work
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Real-time nowcasting the US output gap: Singular spectrum analysis at work, International Journal of Forecasting, Elsevier (2017) View citations (11) (2017)

2013

12. Is there a role for domestic demand pressure on export performance?
    Working Paper Series, European Central Bank View citations (30)
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2013) View citations (26)
    See also Journal Article Is there a role for domestic demand pressure on export performance?, Empirical Economics, Springer (2015) View citations (32) (2015)

2012

13. A wavelet-based assessment of market risk: The emerging markets case
    Working Papers, Banco de Portugal, Economics and Research Department View citations (45)
    See also Journal Article A wavelet-based assessment of market risk: The emerging markets case, The Quarterly Review of Economics and Finance, Elsevier (2012) View citations (43) (2012)
14. Asset pricing with a bank risk factor
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Asset Pricing with a Bank Risk Factor, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (2) (2018)
15. Cohesion within the euro area and the U. S.: a wavelet-based view
    Working Papers, Banco de Portugal, Economics and Research Department View citations (6)
    See also Journal Article Cohesion within the euro area and the US: A wavelet-based view, OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2015) View citations (16) (2015)

2011

16. Money growth and inflation in the euro area: a time-frequency view
    Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
    See also Journal Article Money Growth and Inflation in the Euro Area: A Time-Frequency View, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2012) View citations (52) (2012)

2010

17. A Wavelet Approach for Factor-Augmented Forecasting
    Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
    See also Journal Article A wavelet approach for factor‐augmented forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2011) View citations (40) (2011)
18. Extremal Dependence in International Output Growth: Tales from the Tails
    Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
    See also Journal Article Extremal Dependence in International Output Growth: Tales from the Tails, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (2) (2014)
19. Measuring comovement in the time-frequency space
    Working Papers, Banco de Portugal, Economics and Research Department View citations (119)
    See also Journal Article Measuring comovement in the time-frequency space, Journal of Macroeconomics, Elsevier (2010) View citations (127) (2010)
20. Nonstationary Extremes and the US Business Cycle
    Working Papers, Banco de Portugal, Economics and Research Department
21. Tracking the US Business Cycle With a Singular Spectrum Analysis
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Tracking the US business cycle with a singular spectrum analysis, Economics Letters, Elsevier (2012) View citations (19) (2012)

2009

22. Dynamic factor models with jagged edge panel data: Taking on board the dynamics of the idiosyncratic components
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Dynamic Factor Models with Jagged Edge Panel Data: Taking on Board the Dynamics of the Idiosyncratic Components, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) View citations (13) (2013)
23. International comovement of stock market returns: a wavelet analysis
    Working Papers, Banco de Portugal, Economics and Research Department View citations (419)
    See also Journal Article International comovement of stock market returns: A wavelet analysis, Journal of Empirical Finance, Elsevier (2009) View citations (413) (2009)

2008

24. Determining the number of factors in approximate factor models with global and group-specific factors
    Working Papers, Banco de Portugal, Economics and Research Department
25. Forecasting Using Targeted Diffusion Indexes
    Working Papers, Banco de Portugal, Economics and Research Department View citations (6)
    See also Journal Article Forecasting using targeted diffusion indexes, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (11) (2010)
26. Inflation expectations in the euro area: Are consumers rational?
    Working Papers, Banco de Portugal, Economics and Research Department View citations (12)
    See also Journal Article Inflation expectations in the euro area: are consumers rational?, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2010) View citations (9) (2010)
27. Short-Term Forecasting of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise
    Bank of Lithuania Working Paper Series, Bank of Lithuania View citations (71)
    Also in Occasional Paper Series, European Central Bank (2008) View citations (64)
    Working papers, Banque de France (2008) View citations (80)
    Working Paper Research, National Bank of Belgium (2008) View citations (38)

2007

28. Inflation (mis)perceptions in the euro area
    Working Papers, Banco de Portugal, Economics and Research Department
    See also Journal Article Inflation (mis)perceptions in the euro area, Empirical Economics, Springer (2010) View citations (11) (2010)

2006

29. An input-output analysis: linkages vs leakages
    Working Papers, Banco de Portugal, Economics and Research Department View citations (17)

2005

30. Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case
    Working Papers, Banco de Portugal, Economics and Research Department View citations (3)

2003

31. Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach
    Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
    See also Journal Article Coincident and leading indicators for the euro area: A frequency band approach, International Journal of Forecasting, Elsevier (2005) View citations (22) (2005)
32. Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
    Working Papers, Banco de Portugal, Economics and Research Department View citations (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) View citations (4)

Journal Articles

2019

1. 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)

2018

2. A bottom-up approach for forecasting GDP in a data-rich environment
   Applied Economics Letters, 2018, 25, (10), 718-723 View citations (5)
3. Asset Pricing with a Bank Risk Factor
   Journal of Money, Credit and Banking, 2018, 50, (5), 993-1032 View citations (2)
   See also Working Paper Asset pricing with a bank risk factor, Working Papers (2012) (2012)
4. Modelling currency demand in a small open economy within a monetary union
   Economic Modelling, 2018, 74, (C), 88-96 View citations (8)
   See also Working Paper Modelling currency demand in a small open economy within a monetary union, Working Papers (2017) View citations (2) (2017)

2017

5. 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)
6. A wavelet-based multivariate multiscale approach for forecasting
   International Journal of Forecasting, 2017, 33, (3), 581-590 View citations (14)
   See also Working Paper A wavelet-based multivariate multiscale approach for forecasting, Working Papers (2016) (2016)
7. Real-time nowcasting the US output gap: Singular spectrum analysis at work
   International Journal of Forecasting, 2017, 33, (1), 185-198 View citations (11)
   See also Working Paper Real-time nowcasting the US output gap: Singular spectrum analysis at work, Working Papers (2014) (2014)

2016

8. Exports and domestic demand pressure: a dynamic panel data model for the euro area countries
   Review of World Economics (Weltwirtschaftliches Archiv), 2016, 152, (1), 107-125 View citations (18)
   Also in Review of World Economics (Weltwirtschaftliches Archiv), 2016, 152, (1), 107-125 (2016) View citations (18)
   See also Working Paper Exports and domestic demand pressure: a dynamic panel data model for the euro area countries, Working Paper Series (2015) View citations (6) (2015)

2015

9. Cohesion within the euro area and the US: A wavelet-based view
   OECD Journal: Journal of Business Cycle Measurement and Analysis, 2015, 2014, (2), 63-76 View citations (16)
   See also Working Paper Cohesion within the euro area and the U. S.: a wavelet-based view, Working Papers (2012) View citations (6) (2012)
10. Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence
    Economic Modelling, 2015, 44, (C), 266-272 View citations (30)
11. Is there a role for domestic demand pressure on export performance?
    Empirical Economics, 2015, 49, (4), 1173-1189 View citations (32)
    See also Working Paper Is there a role for domestic demand pressure on export performance?, Working Paper Series (2013) View citations (30) (2013)

2014

12. Extremal Dependence in International Output Growth: Tales from the Tails
    Oxford Bulletin of Economics and Statistics, 2014, 76, (4), 605-620 View citations (2)
    See also Working Paper Extremal Dependence in International Output Growth: Tales from the Tails, Working Papers (2010) View citations (1) (2010)

2013

13. Determining the number of global and country-specific factors in the euro area
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (5), 573-617 View citations (11)
14. Dynamic Factor Models with Jagged Edge Panel Data: Taking on Board the Dynamics of the Idiosyncratic Components
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 80-102 View citations (13)
    See also Working Paper Dynamic factor models with jagged edge panel data: Taking on board the dynamics of the idiosyncratic components, Working Papers (2009) (2009)
15. Dynamic threshold modelling and the US business cycle
    Journal of the Royal Statistical Society Series C, 2013, 62, (4), 535-550 View citations (1)

2012

16. A wavelet-based assessment of market risk: The emerging markets case
    The Quarterly Review of Economics and Finance, 2012, 52, (1), 84-92 View citations (43)
    See also Working Paper A wavelet-based assessment of market risk: The emerging markets case, Working Papers (2012) View citations (45) (2012)
17. Money Growth and Inflation in the Euro Area: A Time-Frequency View
    Oxford Bulletin of Economics and Statistics, 2012, 74, (6), 875-885 View citations (52)
    See also Working Paper Money growth and inflation in the euro area: a time-frequency view, Working Papers (2011) View citations (1) (2011)
18. Tracking the US business cycle with a singular spectrum analysis
    Economics Letters, 2012, 114, (1), 32-35 View citations (19)
    See also Working Paper Tracking the US Business Cycle With a Singular Spectrum Analysis, Working Papers (2010) (2010)

2011

19. A wavelet approach for factor‐augmented forecasting
    Journal of Forecasting, 2011, 30, (7), 666-678 View citations (40)
    See also Working Paper A Wavelet Approach for Factor-Augmented Forecasting, Working Papers (2010) View citations (1) (2010)

2010

20. Forecasting using targeted diffusion indexes
    Journal of Forecasting, 2010, 29, (3), 341-352 View citations (11)
    See also Working Paper Forecasting Using Targeted Diffusion Indexes, Working Papers (2008) View citations (6) (2008)
21. Inflation (mis)perceptions in the euro area
    Empirical Economics, 2010, 39, (2), 353-369 View citations (11)
    See also Working Paper Inflation (mis)perceptions in the euro area, Working Papers (2007) (2007)
22. Inflation expectations in the euro area: are consumers rational?
    Review of World Economics (Weltwirtschaftliches Archiv), 2010, 146, (3), 591-607 View citations (9)
    See also Working Paper Inflation expectations in the euro area: Are consumers rational?, Working Papers (2008) View citations (12) (2008)
23. Measuring comovement in the time-frequency space
    Journal of Macroeconomics, 2010, 32, (2), 685-691 View citations (127)
    See also Working Paper Measuring comovement in the time-frequency space, Working Papers (2010) View citations (119) (2010)

2009

24. An Input-Output Analysis: Linkages versus Leakages
    International Economic Journal, 2009, 23, (4), 527-544 View citations (3)
25. International comovement of stock market returns: A wavelet analysis
    Journal of Empirical Finance, 2009, 16, (4), 632-639 View citations (413)
    See also Working Paper International comovement of stock market returns: a wavelet analysis, Working Papers (2009) View citations (419) (2009)
26. Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise
    Journal of Forecasting, 2009, 28, (7), 595-611 View citations (89)

2007

27. Forecasting inflation through a bottom-up approach: How bottom is bottom?
    Economic Modelling, 2007, 24, (6), 941-953 View citations (33)

2006

28. Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter
    Journal of Business & Economic Statistics, 2006, 24, 278-290 View citations (64)

2005

29. Coincident and leading indicators for the euro area: A frequency band approach
    International Journal of Forecasting, 2005, 21, (3), 503-523 View citations (22)
    See also Working Paper Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach, Working Papers (2003) View citations (2) (2003)