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 Finanças - Finance, Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Licenciatura Bolonha em Economia - Economia | Yes |
| 1º | Econometria I | Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à 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 |