Publicações

ISEG > Matemática > NUNO PAULO DE SOUSA ARROBAS CRATO

Publicações

Caiado, J., Crato, N. and Peña, D. (2006). A periodogram-based metric for time series classification, Computational Statistics & Data Analysis, aceite.
Crato, N. (2005). A mild skepticism on nonlinear forecasting: Some comments on the paper by Harvill and Ray, International Journal of Forecasting 21-4, p. 729.
Borges, M.F., Santos, A.M.P., Crato, N., Mendes, H., and Mota, B. (2003) " Sardine regime shifts off Portugal: a time series analysis of catches and wind conditions ", Scientia Marina 67, Suppl. 1, 235-244.
Crato, N. and Ray, Bonnie K. (2002) " Semi-parametric smoothing estimators for long-memory processes with added noise ", a revised version appeared in Journal of Statistical Planning and Inference 105, 283-297.
Rammjee, R., Crato, N. and Ray, B.K. (2002) " A note on moving average forecasts of long memory processes with an application to quality control ", a revised version appeared in International Journal of Forecasting 18, 291-297.
Crato, N. (2000) " Estimation of the maximal moment exponent with censored data ", a revised version appeared in Communications in Statistics: Simulation and Computation 29, 1239-1254.
Costa, A.A. and Crato, N. (2000) " Long-run versus short-run behaviour of the real exchange rates ", a revised version appeared in Applied Economics 33, 683-68.
Gomes, C.P., Selman, B., Crato, N., and Kautz, H. (2000) " Heavy-tailed phenomena in satisfiability and constraint satisfaction problems ", a revised version appears in Journal of Automated Reasoning, 24, 67-100. [Science Daily has an article on this research]
Crato, N. and Ray, Bonnie K. (2000) " Memory in returns and volatilities of commodity futures contracts ", (figures here), a revised version appeared in The Journal of Futures Markets 20-6, 525-544.
Teles, P., Crato, N. and Wei, W.W.S. (1999) " The use of aggregate time series in testing for long memory ", in the Bulletin of the International Statistical Institute, 52nd Session, 1999, pp. 341-342.
Crato, N. and Dowling-DaCosta, L. (1998) " On the behavior of some estimators for the index of stability ", NJIT-CAMS Research Report 9899-6.
Gomes, C.P., Selman, Bart, and Crato, N. (1997) " Heavy-Tailed distributions in combinatorial search " in Gert Smolka (Ed.), Principles and Practice of Constraint Programming-CP 97, Lecture Notes in Computer Science 1330, Springer, 121-135.
Crato, N. and de Lima, P. (1997) " On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives " Communications in Statistics: Simulation and Computation 26, 1431-1446.
Breidt, J. F., Crato, N., and de Lima, P. J. F., (1997) " Modeling the persistent volatility of asset returns ", Proceedings of the IEEE/IAFE 1997 Conference on Computational Intelligence for Financial Engineering (CIFEr), IEEE, 266-272.
Costa, A.A. and Crato, N. (1996) " Testing stationarity and parity reversion: Long-run versus short-run behavior on the Portuguese real exchange rates ".
Crato, N. and Rothman, Philip (1996) " Measuring Hysteresis in Unemployment Rates with Long Memory Models ".
Crato, N. and Taylor, H.M. (1996) " Stationary persistent time series misspecified as nonstationary ARIMA ", Statistische Hefte/Statistical Papers.
Crato, N. and Ray, Bonnie (1995) " Some problems in the overspecification of ARMA and ARIMA processes using ARFIMA models
Ray, B. and Crato, N. (1994) " Model Selection and Forecasting of Long-range Dependent Processes: Results of a Simulation Study " CAMS Report #50, NJIT, Technical Report detailing the results of our paper in Journal of Forecasting 15, 107-125 (1996).
Wu, P. and Crato, N. (1994) " New tests for stationarity and parity reversion: Evidence on New Zealand real exchange rates ", Empirical Economics 20, 599-613 (1995).
Breidt, F.J., Crato, N., and de Lima, P. (1994) " On the detection and estimation of long memory in stochastic volatility ," working paper version of the work published in Journal of Econometrics 83, 325-348 (1998).

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