Information about:
Nuno Crato

Other registered authors

Email:
Homepage: http://pascal.iseg.utl.pt/~ncrato
Postal Address:
Phone:

Affiliation

• Centro de Matemática Aplicada à Previsão e Decisão Económica (CEMAPRE) (Centre for Mathematics Applied to Forecasting and Economic Decision)
  Instituto Superior de Economia e Gestão (ISEG) (School of Economics and Management)
  Universidade Técnica de Lisboa

  Location: Lisboa, Portugal
  Homepage: http://cemapre.iseg.utl.pt/
  Email:
  Phone: 21-3925876
  Fax: 21-3922882
  Postal: na Rua do Quelha 6, 1200-781 Lisboa
  Handle: RePEc:edi:cmutlpt (registered authors at this institution)

• Instituto Superior de Economia e Gestão (ISEG) (School of Economics and Management)
  Universidade Técnica de Lisboa

  Location: Lisboa, Portugal
  Homepage: http://www.iseg.utl.pt/
  Email:
  Phone: +351-213 925 800
  Fax: +351-213 925 850
  Postal: Rua do Quelhas 6, 1200-781 LISBOA
  Handle: RePEc:edi:isutlpt (registered authors at this institution)

Working papers

1. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2009. "Comparison of time series with unequal length in the frequency domain," MPRA Paper 15310, University Library of Munich, Germany. [Downloadable!]

2. Jorge Caiado & Nuno Crato, 2009. "Identifying common dynamic features in stock returns," CEMAPRE Working Papers 0902, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon. [Downloadable!]
   Other versions:
   • Caiado, Jorge & Crato, Nuno, 2009. "Identifying common dynamic features in stock returns," MPRA Paper 15240, University Library of Munich, Germany. [Downloadable!]

3. Caiado, Jorge & Crato, Nuno, 2008. "Identifying the evolution of stock markets stochastic structure after the euro," MPRA Paper 6609, University Library of Munich, Germany. [Downloadable!]

4. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Comparison of time series with unequal length," MPRA Paper 6605, University Library of Munich, Germany. [Downloadable!]

5. Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany. [Downloadable!]

6. Caiado, Jorge & Crato, Nuno, 2007. "A GARCH-based method for clustering of financial time series: International stock markets evidence," MPRA Paper 2074, University Library of Munich, Germany. [Downloadable!]

7. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany. [Downloadable!]

8. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006. "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper 2075, University Library of Munich, Germany. [Downloadable!]

9. Caiado, Jorge & Crato, Nuno, 2005. "Discrimination between deterministic trend and stochastic trend processes," MPRA Paper 2076, University Library of Munich, Germany. [Downloadable!]

10. Nuno Crato & Philip Rothman, . "Measuring Hysteresis in Unemployment Rates with Long Memory Models," Working Papers 9619, East Carolina University, Department of Economics.

1. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June. [Downloadable!] (restricted)

2. Crato, Nuno, 2005. "A mild skepticism on nonlinear forecasting: Some comments on the paper by Harvill and Ray," International Journal of Forecasting, Elsevier, vol. 21(4), pages 729-730. [Downloadable!] (restricted)

3. Ramjee, Radhika & Crato, Nuno & Ray, Bonnie K., 2002. "A note on moving average forecasts of long memory processes with an application to quality control," International Journal of Forecasting, Elsevier, vol. 18(2), pages 291-297. [Downloadable!] (restricted)

4. Baillie, R. & Crato, N. & Ray, B. K., 2002. "Introduction," International Journal of Forecasting, Elsevier, vol. 18(2), pages 163-165. [Downloadable!] (restricted)

5. Costa, Antonio A & Crato, Nuno, 2001. "Long-Run versus Short-Run Behaviour of the Real Exchange Rates," Applied Economics, Taylor and Francis Journals, vol. 33(5), pages 683-88, April. [Downloadable!] (restricted)

6. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)

7. Wu, Ping & Crato, Nuno, 1995. "New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates," Empirical Economics, Springer, vol. 20(4), pages 599-613.

8. Crato, Nuno & Rothman, Philip, 1994. "Fractional integration analysis of long-run behavior for US macroeconomic time series," Economics Letters, Elsevier, vol. 45(3), pages 287-291. [Downloadable!] (restricted)

9. Crato, Nuno & Rothman, Philip, 1994. "A Reappraisal of Parity Reversion for UK Real Exchange Rates," Applied Economics Letters, Taylor and Francis Journals, vol. 1(9), pages 139-41, September. [Downloadable!] (restricted)

10. Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285. [Downloadable!] (restricted)

11. Crato, Nuno, 1994. "Some International Evidence Regarding the Stochastic Memory of Stock Returns," Applied Financial Economics, Taylor and Francis Journals, vol. 4(1), pages 33-39, February. [Downloadable!] (restricted)

1. NEP-ECM: Econometrics (8) 2007-03-17 2007-03-17 2008-01-12 2008-01-12 2008-01-12 2009-05-16 2009-05-30 2009-06-17 Author is listed
2. NEP-EEC: European Economics (2) 2007-03-17 2008-01-12
3. NEP-ETS: Econometric Time Series (6) 2007-03-17 2007-03-17 2008-01-12 2008-01-12 2009-05-16 2009-05-30 Author is listed
4. NEP-FMK: Financial Markets (1) 2009-05-16
5. NEP-FOR: Forecasting (1) 2009-05-30
6. NEP-IFN: International Finance (1) 2007-03-17
7. NEP-ORE: Operations Research (1) 2008-01-12
8. NEP-RMG: Risk Management (3) 2007-03-17 2007-03-17 2008-01-12 Author is listed

This page was last updated on 2009-11-23.