Biography
João Nicolau is Full Professor at the ISEG Lisbon School of Economics & Management in the department of Mathematics. He has been active in academia and has a substantial track record in teaching, research, and academic management.
His research focuses on Econometrics and Time Series methodologies. In the past, his research was in the Inference in Stochastic Differential Equations area, which was the topic of his PhD thesis. He has published articles in the Journal of Econometrics, Review of Economics and Statistics, Econometric Theory, Scandinavian Journal of Statistics, and the European Journal of Operational Research, among other top journals.
His teaching activities cover a range of subjects primarily focused on econometrics, statistics, and financial econometrics, both at the undergraduate and postgraduate levels. He has been involved in the coordination and management of pedagogical projects, such as creating new courses and reformulating existing ones to align with international standards.
João Nicolau is a member of the ISEG School Council, coordinator of the PhD in Applied Mathematics in Economics and Management and the coordinator of the Econometrics Scientific Area of the Mathematics department. In the past, he was a member of the ISEG Scientific Council, Head of the ISEG Mathematics Department, coordinator of the Master's in Applied Econometrics and Forecasting, member of the Scientific Commission of the PhD program in Economics, and the principal investigator and head of the Econometrics and Time Series Analysis of CEMAPRE. Additionally, he served as President of the General Assembly of CEMAPRE and as a board member with treasury responsibilities.
Publications & Citations
Journal article
| Year | Title / Publication | Link |
|---|---|---|
| 2024 | First passage times in portfolio optimization: a novel nonparametric approach European Journal of Operational Research |
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| 2024 | Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown Dates Chaos, Solitons and Fractals |
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| 2023 | Measuring wage inequality under right censoring Economic Inquiry |
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| 2023 | Tail Index Estimation in the Presence of Covariates: Stock returns’ tail risk dynamics Journal of Econometrics |
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| 2022 | Inflation in the G7 and the expected time to reach the reference rate: a nonparametric approach International Journal of Finance and Economics |
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| 2022 | Changes in inflation compensation and oil prices: short-term and long-term dynamics. Empirical Economics |
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| 2021 | Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics Asian-Pacific Financial Markets |
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| 2021 | A reexamination of inflation persistence dynamics in OECD countries: A new approach. Oxford Bulletin of Economics and Statistics |
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| 2021 | The expected time to cross a threshold and its determinants: A simple and flexible framework. Journal of Economic Dynamics & Control |
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| 2019 | A New Regression-Based Tail Index Estimator Review of Economics and Statistics |
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| 2019 | The Profitability in the FTSE 100 Index: a New Markov Chain Approach Asia-Pacific Financial Markets |
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| 2019 | Tracking the relationship between euro area equities and sovereign bonds International Journal of Monetary Economics and Finance |
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| 2018 | The changing economic regimes and expected time to recover of the peripheral countries under the euro: a nonparametric approach Physica A: Statistical Mechanics and its Applications |
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| 2018 | Equações Diferenciais Estocásticas: Alguns Exemplos e Aplicações em Finanças Boletim da Sociedade Portuguesa de Estatística |
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| 2017 | Assessing Nonlinear Dynamics of Central Bank Reaction Function: The case of Mozambique South African Journal of Economics |
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| 2016 | Structural Change Test in Duration of Bull and Bear Markets Economics Letters |
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| 2016 | A Simple Nonparametric Method to Estimate the Expected Time to Cross a Threshold Statistics & Probability Letters |
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| 2015 | Estimation and Inference in Multivariate Markov Chains Statistical Papers |
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| 2014 | A New Model for Multivariate Markov Chains Scandinavian Journal of Statistics |
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| 2014 | Combining a regression model with a multivariate Markov chain in a forecasting problem Statistics & Probability Letters |
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| 2012 | Comment on Time Series Modeling of Histogram-valued Data The Daily Histogram Time Series of SP500 Intradaily Returns by Gloria González-Rivera and Javier Arroyo International Journal of Forecasting |
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| 2011 | Purchasing Power Parity Analyzed from a Continuous-Time Model Studies in Nonlinear Dynamics and Econometrics |
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| 2011 | Purchasing Power Parity Analyzed Through a Continuous-Time Version of the ESTAR Economics Letters |
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| 2011 | Nonparametric Density Forecast Based on Time- and State-Domain Journal of Forecasting |
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| 2010 | Transition density and simulated likelihood estimation for time-inhomogeneous diffusions Communications in Statistics - Simulation and Computations |
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| 2009 | Econometria Financeira Boletim da Sociedade Portuguesa de Estatística |
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| 2008 | Modeling financial time series through second-order stochastic differential equations Statistics & Probability Letters |
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| 2008 | Processos Estocásticos Aplicados às Finanças Boletim da Sociedade Portuguesa de Estatística |
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| 2007 | A Discrete and a Continuous-Time Model Based on a Technical Trading Rule Journal of Financial Econometrics |
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| 2007 | Non-Parametric Estimation of Second Order Stochastic Differential Equations Econometric Theory |
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| 2005 | A Method for Simulating Non-Linear Stochastic Differential Equations in R1 Journal of Statistical Computation and Simulation |
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| 2005 | Processes with Volatility-Induced Stationarity. An Application for Interest Rates Statistica Neerlandica |
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| 2003 | Bias Reduction in Nonparametric Diffusion Coefficient Estimation Econometric Theory |
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| 2002 | A new technique for simulating the likelihood of stochastic differential equations The Econometrics Journal |
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| 2002 | Stationary Processes that Look Like Random Walks - the Bounded Random Walk Process in Discrete and Continuous Time Econometric Theory |
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| 1997 | Definição, Identificação e Estimação do Modelo ARCH Estudos de Economia |
Chapter
| Year | Title / Publication | Link |
|---|---|---|
| 2007 | Financial Econometrics Models Springer |
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| 2004 | Introduction to the Estimation of Stochastic Differential Equations Based on Discrete Observations CIM |
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Paper presented at academic or professional meetings
| Year | Title / Publication | Link |
|---|---|---|
| 2015 | A New Regression-Based Tail Index Estimator |
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| 2013 | A New Model for Multivariate Markov Chains |
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| 2013 | Multivariate Markov Chains and Forecasting |
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| 2013 | Volatility of Inflation Rate in Mozambique |
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| 2009 | Comment on Forecasting with interval and histogram data: Some financial applications by Gloria Gonzalez Rivera |
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| 2008 | Modeling Financial Time Series Through Second Order Stochastic Differential Equations |
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| 2008 | Modelling Financial Time Series through Second Order Stochastic Differential Equations |
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| 2006 | A Econometria, o Risco e a Volatilidade dos Mercados Financeiros |
Other Pedagogic Material
| Year | Title / Publication | Link |
|---|---|---|
| 2004 | Equações Diferenciais & Equações às Diferenças |
Thesis
| Year | Title / Publication | Link |
|---|---|---|
| 2001 | Modeling Financial Time Series Using Stochastic Differential Equations |
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| 1994 | ARCH Models |
Theoretical book on taught subject of the school
| Year | Title / Publication | Link |
|---|---|---|
| 1994 | Modelos ARCH Associação da Bolsa de Derivados do Porto |
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Teaching
2024/2025
| Semester | Course | Degree | Coordinator |
|---|---|---|---|
| 2º | Preparação do Projecto de Dissertação | Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão | Yes |
| 2º | Econometria II | Licenciatura Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Finanças - Finance, Licenciatura Bolonha em Economia - Economia | Yes |
| 1º | Econometria I | Licenciatura Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Economia - Economia | Yes |
| 1º | Estatistica II | Licenciatura Bolonha em Economia - Economia | Yes |
| Year | Student Name / Title / Institution | Supervision Type | Link |
|---|---|---|---|
| 2019/2020 | LILIANA PATRÍCIA TEIXEIRA RIBEIRO APLICAÇÃO DE MODELOS ECONOMÉTRICOS NA PREVISÃO DE PREÇO DE AZEITES |
Master | Ver |
| 2019/2020 | LEONARDO LOURENÇO DE ALMEIDA APLICAÇÃO DE MODELOS PREDITIVOS PARA O SETOR ALIMENTAR: UM ESTUDO COMPARATIVO |
Master | Ver |
| 2018/2019 | SANDRA MARIA JESUS DELGADO ESTÁGIO CURRICULAR NO NÚCLEO DE PLANEAMENTO ESTRATÉGICO DA CNPDPCJ-COMISSÃO NACIONAL |
Master | Ver |
| 2017/2018 | FERNANDO MIGUEL LAIRES CASCÃO Regressão do Índice de Cauda: uma Aplicação Empírica |
Master | Ver |
| 2016/2017 | JOÃO ANTÓNIO MENDES DA CRUZ Structural Changes in Duration of Bull and Bear Markets and their Connection with Business Cycles |
Master | Ver |
| 2015/2016 | BRUNO MIGUEL DA SILVA NASCIMENTO Estimação do índice de cauda num contexto de dependência |
Master | Ver |
| 2014/2015 | ELIANO PATRICIO MACEDO MARQUES Social Media impact on Stock Prices |
Master | Ver |
| 2014/2015 | GERSON LEONARDO NHAPULO : Assessing Nonlinear Dyanamics of Central Bank Reaction Function: The case of Mozambique. |
Master | Ver |
| 2013/2014 | MARIA MABEL DE BARROS LIMA Modelação do interesse de vídeos de música medido pelo número de procuras na internet via Google Trends |
Master | Ver |
| 2013/2014 | GERSON LEONARDO NHAPULO Assessing Nonlinear Dynamics of Central Bank Reaction Function: The Case of Mozambique |
Master | |
| 2012/2013 | BRUNO MIGUEL PINTO DAMÁSIO Multivariate Markov Chains - Estimation, Inference and Forecast. A new approach: What if we use them as Stochastic Covariates? |
Master | Ver |
| 2011/2012 | ANA FILIPA CORDEIRO FERREIRA Análise econométrica da formação do preço do porco no produtor em Portugal |
Master | Ver |
Professional Experience
| Name / Description | Date | Organization |
|---|---|---|
| Coordenador de curso de mestrado de Econometria Aplicada e Previsão Coordenador de curso |
2016 | Instituto Superior de Economia e Gestão |
| Coordinator of the Econometrics Area at Mathematics Department |
2009 - 2014 | ISEG |