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Publications

by members of

ISCTE - Instituto Universitário de Lisboa (ISCTE-IUL) → Business School

Lisbon University Institute

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2025

  1. Anthoulla Phella & Vasco J. Gabriel & Luis F. Martins, 2025, "Taking the Highway or the Green Road? Conditional Temperature Forecasts Under Alternative SSP Scenarios," Papers, arXiv.org, number 2509.09384, Sep.
  2. Luis Aguiar-Conraria & Vasco J. Gabriel & Luis F. Martins & Anthoulla Phella, 2025, "Climate change: across time and frequencies," Papers, arXiv.org, number 2509.21334, Sep.

2021

  1. Vasco J.Gabriel & Luis F. Martins & Anthoulla Phella, 2021, "Modelling Low-Frequency Covariability of Paleoclimatic Data," Working Papers, Business School - Economics, University of Glasgow, number 2022_17, Dec.

2017

  1. Francisco Estrada & Luis Filipe Martins & Pierre Perron, 2017, "Characterizing and attributing the warming trend in sea and land surface temperatures," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2017-009, Mar.

2015

  1. Marta Silva & Luis Filipe Martins & Helena Lopes, 2015, "Asymmetric labour market reforms and wage growth with fixed-term contracts: does learning about match quality matter?," Working Papers Series 2, ISCTE-IUL, Business Research Unit (BRU-IUL), number 15-04, May.

2014

  1. Luis Filipe Martins & Pierre Perron, 2014, "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number 2014-003, Mar.
  2. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014, "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers, University of Pretoria, Department of Economics, number 201419, May.
  3. Nebojsa S. Davcik & Rui Vinhas da Silva & Joe F. Hair, 2014, "Towards a Unified Theory of Brand Equity: Conceptualizations, Typologies and Avenues for Future Research," Working Papers Series 2, ISCTE-IUL, Business Research Unit (BRU-IUL), number 14-02, May.

2012

  1. Gualberti, Giorgio & Martins, Luis Filipe & Bazilian, Morgan, 2012, "An Econometric Analysis of the Effectiveness of Development Finance for the Energy Sector," Economy and Society, Fondazione Eni Enrico Mattei (FEEM), number 143130, Dec, DOI: 10.22004/ag.econ.143130.
  2. Bentes, Sonia R & Menezes, Rui, 2012, "On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility," MPRA Paper, University Library of Munich, Germany, number 42193, Oct.

2011

  1. Luis F. Martins, 2011, "Moment conditions model averaging with an application to a forward-looking monetary policy reaction function," Working Papers, Banco de Portugal, Economics and Research Department, number w201116.
  2. Rui Menezes & Andreia Dioniso, 2011, "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers, arXiv.org, number 1101.4093, Jan.

2010

  1. Vasco J. Gabriel & Luis F. Martins, 2010, "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers, NIPE - Universidade do Minho, number 28/2010.
  2. Vasco J. Gabriel & Luis F. Martins, 2010, "The cost channel reconsidered: a comment using an identification-robust approach," NIPE Working Papers, NIPE - Universidade do Minho, number 30/2010.
  3. Paulo M.M. Rodrigues & Luis F. Martins, 2010, "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers, Banco de Portugal, Economics and Research Department, number w201030.
  4. Andreia Teixeira Marques Dionísio, 2010, "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2010_06.
  5. Mónica Meireles & Isabel Soares & Óscar Afonso, 2010, "Economic Growth, Ecological Technology and Public Intervention," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 378, Jun.

2008

  1. Sonia R. Bentes & Rui Menezes & Diana A. Mendes, 2008, "Stock market volatility: An approach based on Tsallis entropy," Papers, arXiv.org, number 0809.4570, Sep.

2007

  1. Sonia R. Bentes & Rui Menezes & Diana A. Mendes, 2007, "Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?," Papers, arXiv.org, number 0709.2178, Sep, revised Mar 2008.
  2. Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2007, "Entropy and Uncertainty Analysis in Financial Markets," Papers, arXiv.org, number 0709.0668, Sep.

2006

  1. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006, "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0206, Jan.
  2. Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2006, "On the integrated behaviour of non-stationary volatility in stock markets," Papers, arXiv.org, number cond-mat/0607478, Jul.
  3. Nuno B. Ferreira & Rui Menezes & Diana A. Mendes, 2006, "Asymmetric Conditional Volatility in International Stock Markets," Papers, arXiv.org, number physics/0607222, Jul, revised Dec 2006.

2005

  1. Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2005, "An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market," Papers, arXiv.org, number physics/0509250, Sep, revised Sep 2005.

2004

  1. Andreia Dionisio & Rui Menezes & Diana A. Mendes & Jacinto Vidigal da Silva, 2004, "Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors," Econometrics, University Library of Munich, Germany, number 0411018, Nov.

2003

  1. Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2003, "Mutual information: a dependence measure for nonlinear time series," Econometrics, University Library of Munich, Germany, number 0311003, Nov.

2000

  1. Vasco J. Gabriel & Luis F. Martins, 2000, "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers, NIPE - Universidade do Minho, number 1/2000.
  2. Vasco J. Gabriel & Luis F. Martins, 2000, "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers, NIPE - Universidade do Minho, number 2/2000.

Journal articles

2026

  1. Luís Martins & Paulo Teles, 2026, "The Effects of Temporal Aggregation on MIDAS Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 44, issue 1, pages 120-133, January, DOI: 10.1080/07350015.2025.2507370.

2025

  1. Josu Arteche & Luis F. Martins, 2025, "Local Whittle estimation in time‐varying long memory series," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 4, pages 647-673, July, DOI: 10.1111/jtsa.12782.
  2. Luís Clemente‐Casinhas & Alexandra Ferreira‐Lopes & Luís Filipe Martins, 2025, "Using machine learning to unveil the predictors of intergenerational mobility," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 71, issue 1, February, DOI: 10.1111/roiw.12710.
  3. Martins, Luis F. & Gabriel, Vasco J., 2025, "GMM Model Averaging Using Higher Order Approximations," Econometrics and Statistics, Elsevier, volume 36, issue C, pages 37-54, DOI: 10.1016/j.ecosta.2022.09.004.
  4. Alexandra Ferreira-Lopes & Gonçalo Ribeiro & Luís Filipe Martins, 2025, "A New Player in the International Bond Market: Comparing the Macroeconomic Determinants of Foreign-Currency Denominated Debt Before the Inclusion of the Renminbi in the SDR," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 61, issue 6, pages 1782-1801, May, DOI: 10.1080/1540496X.2024.2430504.
  5. Luís Clemente-Casinhas & Luís Filipe Martins & Alexandra Ferreira-Lopes, 2025, "Using Survey Data to Estimate Intergenerational Mobility in Income and Education in Portugal," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, volume 176, issue 1, pages 51-106, January, DOI: 10.1007/s11205-024-03437-1.

2024

  1. José Dias Curto, 2024, "Recalculate Without Recomputing," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 6, pages 3279-3294, December, DOI: 10.1007/s10614-024-10558-9.
  2. Phella, Anthoulla & Gabriel, Vasco J. & Martins, Luis F., 2024, "Predicting tail risks and the evolution of temperatures," Energy Economics, Elsevier, volume 131, issue C, DOI: 10.1016/j.eneco.2023.107286.

2023

  1. José Dias Curto, 2023, "Inference about the arithmetic average of log transformed data," Statistical Papers, Springer, volume 64, issue 1, pages 179-204, February, DOI: 10.1007/s00362-022-01315-x.

2022

  1. José Dias Curto, 2022, "Averages: There is Still Something to Learn," Computational Economics, Springer;Society for Computational Economics, volume 60, issue 2, pages 755-779, August, DOI: 10.1007/s10614-021-10165-y.
  2. Alexandra Ferreira‐Lopes & Pedro Linhares & Luís Filipe Martins & Tiago Neves Sequeira, 2022, "Quantitative easing and economic growth in Japan: A meta‐analysis," Journal of Economic Surveys, Wiley Blackwell, volume 36, issue 1, pages 235-268, February, DOI: 10.1111/joes.12449.
  3. Vasco J. Gabriel & Young-Bae Kim & Luis Martins & Paul Middleditch, 2022, "The Inflation-Unemployment Trade-Off: Empirical Considerations and a Simple US-Euro Area Comparison," Notas Económicas, Faculty of Economics, University of Coimbra, issue 54, pages 9-29, July, DOI: 10.14195/2183-203X_54_1.
  4. Luis F. Martins & Paulo M. M. Rodrigues, 2022, "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, volume 63, issue 2, pages 567-600, August, DOI: 10.1007/s00181-021-02156-7.

2021

  1. Martins, Luis F., 2021, "The US debt–growth nexus along the business cycle," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101462.

2020

  1. Alexandra Ferreira‐Lopes & Luís Filipe Martins & Ruben Espanhol, 2020, "The relationship between tax rates and tax revenues in eurozone member countries ‐ exploring the Laffer curve," Bulletin of Economic Research, Wiley Blackwell, volume 72, issue 2, pages 121-145, April, DOI: 10.1111/boer.12211.
  2. Moreira, Afonso M. & Martins, Luis F., 2020, "A new mechanism for anticipating price exuberance," International Review of Economics & Finance, Elsevier, volume 65, issue C, pages 199-221, DOI: 10.1016/j.iref.2019.10.006.

2019

  1. Lu¨ªs Oliveira & Tom¨¢s Salen & Jos¨¦ Dias Curto & Nuno Ferreira, 2019, "Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance," International Journal of Economics and Finance, Canadian Center of Science and Education, volume 11, issue 2, pages 1-16, February.
  2. Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019, "A Time-Varying Approach Of The Us Welfare Cost Of Inflation," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 2, pages 775-797, March.
  3. Luis Filipe Martins & Joana Batista & Alexandra Ferreira‐Lopes, 2019, "Unconventional monetary policies and bank credit in the Eurozone: An events study approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 24, issue 3, pages 1210-1224, July, DOI: 10.1002/ijfe.1712.

2018

  1. Isabel Costa Lourenço & Manuel Castelo Branco & José Dias Curto, 2018, "Timely reporting and family ownership: the Portuguese case," Meditari Accountancy Research, Emerald Group Publishing Limited, volume 26, issue 1, pages 170-192, April, DOI: 10.1108/MEDAR-05-2016-0058.
  2. Pedro Pires Ribeiro & José Dias Curto, 2018, "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, volume 54, issue 4, pages 1451-1475, June, DOI: 10.1007/s00181-017-1268-8.
  3. Marta Silva & Luis Filipe Martins & Helena Lopes, 2018, "Asymmetric Labor Market Reforms: Effects on Wage Growth and Conversion Probability of Fixed-Term Contracts," ILR Review, Cornell University, ILR School, volume 71, issue 3, pages 760-788, May.
  4. Luis F. Martins, 2018, "Bootstrap tests for time varying cointegration," Econometric Reviews, Taylor & Francis Journals, volume 37, issue 5, pages 466-483, May, DOI: 10.1080/07474938.2015.1092830.

2017

  1. Pedro Pires Ribeiro & José Dias Curto, 2017, "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 153, issue 1, pages 105-136, February, DOI: 10.1007/s10290-016-0268-7.
  2. Martins, Luís Filipe & Gan, Yi & Ferreira-Lopes, Alexandra, 2017, "An empirical analysis of the influence of macroeconomic determinants on World tourism demand," Tourism Management, Elsevier, volume 61, issue C, pages 248-260, DOI: 10.1016/j.tourman.2017.01.008.

2016

  1. Joaquim Ferrão & José Dias Curto & Ana Paula Gama, 2016, "Low-leverage policy dynamics: an empirical analysis," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 15, issue 4, pages 463-483, November, DOI: 10.1108/RAF-09-2015-0135.
  2. Luis Filipe Martins & Pierre Perron, 2016, "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Journal of Time Series Analysis, Wiley Blackwell, volume 37, issue 5, pages 650-659, September.
  3. Paulo Horta & Sérgio Lagoa & Luís Martins, 2016, "Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 4, pages 625-637, April, DOI: 10.1080/14697688.2015.1033447.

2015

  1. Cátia Sousa & Catarina Roseta‐Palma & Luís Filipe Martins, 2015, "Economic growth and transport: On the road to sustainability," Natural Resources Forum, Blackwell Publishing, volume 39, issue 1, pages 3-14, February, DOI: 10.1111/1477-8947.12060.

2014

  1. José Dias Curto & Catarina Vital, 2014, "Socially Responsible Investment: A Comparison between the Performance of Sustainable and Traditional Stock Indexes," Journal of Reviews on Global Economics, Lifescience Global, volume 3, pages 349-363.
  2. Martins, Luis F. & Gabriel, Vasco J., 2014, "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, volume 71, issue C, pages 709-724, DOI: 10.1016/j.csda.2013.05.008.
  3. Martins, Luis F. & Rodrigues, Paulo M.M., 2014, "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 502-522, DOI: 10.1016/j.csda.2012.07.021.
  4. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014, "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, volume 35, issue C, pages 140-153, DOI: 10.1016/j.irfa.2014.08.002.
  5. Martins, Luis F. & Gabriel, Vasco J., 2014, "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 288-295, DOI: 10.1016/j.jbankfin.2014.05.029.

2013

  1. Luis F. Martins, 2013, "Testing For Parameter Constancy Using Chebyshev Time Polynomials," Manchester School, University of Manchester, volume 81, issue 4, pages 586-598, July.
  2. Martins Luis Filipe & Gabriel Vasco J., 2013, "Time-varying cointegration, identification, and cointegration spaces," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 2, pages 199-209, April, DOI: 10.1515/snde-2012-0022.
  3. Bentes, Sonia R. & Menezes, Rui, 2013, "On the predictability of realized volatility using feasible GLS," Journal of Asian Economics, Elsevier, volume 28, issue C, pages 58-66, DOI: 10.1016/j.asieco.2013.08.002.

2012

  1. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012, "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 369-384, DOI: 10.1016/j.qref.2012.10.002.
  2. Mónica Meireles & Isabel Soares & Oscar Afonso, 2012, "Dirty versus ecological technology in an endogenous growth model," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 8, pages 729-733, May, DOI: 10.1080/13504851.2011.597718.

2011

  1. Jos� Dias Curto & Jos� Castro Pinto, 2011, "The corrected VIF (CVIF)," Journal of Applied Statistics, Taylor & Francis Journals, volume 38, issue 7, pages 1499-1507, June, DOI: 10.1080/02664763.2010.505956.
  2. Vasco Gabriel & Luis Martins, 2011, "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, volume 41, issue 3, pages 639-662, December, DOI: 10.1007/s00181-010-0401-8.

2010

  1. Isabel Costa Lourenco & Jose Dias Curto, 2010, "Determinants of the Accounting Choice between Alternative Reporting Methods for Interests in Jointly Controlled Entities," European Accounting Review, Taylor & Francis Journals, volume 19, issue 4, pages 739-773, DOI: 10.1080/09638181003687844.
  2. Bierens, Herman J. & Martins, Luis F., 2010, "Time-Varying Cointegration," Econometric Theory, Cambridge University Press, volume 26, issue 5, pages 1453-1490, October.
  3. Vasco J. Gabriel & Luis F. Martins, 2010, "The Cost Channel Reconsidered: A Comment Using an Identification-Robust Approach," Journal of Money, Credit and Banking, Blackwell Publishing, volume 42, issue 8, pages 1703-1712, December.

2009

  1. Ana Isabel Morais & José Dias Curto, 2009, "Mandatory Adoption of IASB Standards: Value Relevance and Country-Specific Factors," Australian Accounting Review, CPA Australia, volume 19, issue 2, pages 128-143, June.
  2. José Dias Curto & João Tomaz & José Castro Pinto, 2009, "A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 8, issue 1, pages 23-36, April, DOI: 10.1007/s10258-009-0037-9.
  3. Jose Dias Curto & Jose Castro Pinto, 2009, "The coefficient of variation asymptotic distribution in the case of non-iid random variables," Journal of Applied Statistics, Taylor & Francis Journals, volume 36, issue 1, pages 21-32, DOI: 10.1080/02664760802382491.
  4. Martins, Luis F. & Gabriel, Vasco J., 2009, "New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis," Journal of Macroeconomics, Elsevier, volume 31, issue 4, pages 561-571, December.
  5. Luis Martins, 2009, "Unit root tests and dramatic shifts with infinite variance processes," Journal of Applied Statistics, Taylor & Francis Journals, volume 36, issue 5, pages 547-571, DOI: 10.1080/02664760802554321.

2008

  1. José Dias Curto & José Castro Pinto, 2008, "Correction Note on New Multicollinearity Indicators," International Statistical Review, International Statistical Institute, volume 76, issue 2, pages 298-299, August, DOI: 10.1111/j.1751-5823.2008.00052.x.
  2. Bentes, Sónia R. & Menezes, Rui & Mendes, Diana A., 2008, "Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 387, issue 15, pages 3826-3830, DOI: 10.1016/j.physa.2008.01.046.

2007

  1. José Dias Curto & José Castro Pinto, 2007, "New Multicollinearity Indicators in Linear Regression Models," International Statistical Review, International Statistical Institute, volume 75, issue 1, pages 114-121, April, DOI: 10.1111/j.1751-5823.2007.00007.x.
  2. Dionisio, Andreia & Menezes, Rui & Mendes, Diana & Vidigal Da Silva, Jacinto, 2007, "Nonlinear Dynamics Within Macroeconomic Factors And Stock Market In Portugal, 1993-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 7, issue 2, pages 57-70.
  3. Frank Asche & Rui Menezes & Joaõ Dias, 2007, "Price transmission in cross boundary supply chains," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 34, issue 5, pages 477-489, December, DOI: 10.1007/s10663-007-9045-0.
  4. Dionisio, Andreia & Menezes, Rui & Mendes, Diana A., 2007, "On the integrated behaviour of non-stationary volatility in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 382, issue 1, pages 58-65, DOI: 10.1016/j.physa.2007.02.008.
  5. Ferreira, Nuno B. & Menezes, Rui & Mendes, Diana A., 2007, "Asymmetric conditional volatility in international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 382, issue 1, pages 73-80, DOI: 10.1016/j.physa.2007.02.010.

2006

  1. José Dias Curto & José Castro Pinto & Joao Eduardo Fernandes, 2006, "World Equity Markets: A New Approach for Segmentation (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 7-8, pages 344-360, July.
  2. A. Dionisio & R. Menezes & D. A. Mendes, 2006, "An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, volume 50, issue 1, pages 161-164, March, DOI: 10.1140/epjb/e2006-00113-2.

2004

  1. Vasco J. Gabriel & Luis F. Martins, 2004, "On the forecasting ability of ARFIMA models when infrequent breaks occur," Econometrics Journal, Royal Economic Society, volume 7, issue 2, pages 455-475, December.
  2. Dionisio, Andreia & Menezes, Rui & Mendes, Diana A., 2004, "Mutual information: a measure of dependency for nonlinear time series," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 344, issue 1, pages 326-329, DOI: 10.1016/j.physa.2004.06.144.
  3. Menezes, Rui & Dionisio, Andreia & Mendes, Diana A., 2004, "Asymmetric price transmission within the Portuguese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 344, issue 1, pages 312-316, DOI: 10.1016/j.physa.2004.06.141.

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