Nuno Crato : Citation Profile


Are you Nuno Crato?

Universidade de Lisboa (50% share)
Universidade de Lisboa (50% share)

8

H index

6

i10 index

504

Citations

RESEARCH PRODUCTION:

16

Articles

11

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 18
   Journals where Nuno Crato has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 12 (2.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcr42
   Updated: 2022-01-15    RAS profile: 2020-04-11    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Nuno Crato.

Is cited by:

Gil-Alana, Luis (18)

Nielsen, Morten (16)

McAleer, Michael (16)

Asai, Manabu (14)

Bollerslev, Tim (14)

Andersen, Torben (13)

Diebold, Francis (13)

MORANA, CLAUDIO (10)

Arteche, Josu (9)

Ruiz, Esther (8)

Christensen, Bent Jesper (8)

Cites to:

Caiado, Jorge (16)

Mantegna, Rosario (16)

Peña, Daniel (16)

Engle, Robert (11)

Bollerslev, Tim (10)

Reichlin, Lucrezia (8)

Maharaj, Elizabeth (6)

Forni, Mario (4)

Jagannathan, Ravi (4)

Diebold, Francis (4)

Lippi, Marco (4)

Main data


Where Nuno Crato has published?


Journals with more than one article published# docs
International Journal of Forecasting3
Economics Letters2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany9

Recent works citing Nuno Crato (2021 and 2020)


YearTitle of citing document
2020A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2020Improving S&P stock prediction with time series stock similarity. (2020). Sidi, Lior. In: Papers. RePEc:arx:papers:2002.05784.

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2021Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2021On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2011.14094.

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2021Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2103.14626.

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2020On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202008.

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2021A computational technique to classify several fractional Brownian motion processes. (2021). Mahmoudi, Mohammad Reza. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921005063.

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2020A fractional cointegration var analysis of exchange rate dynamics. (2020). Gil-Alana, Luis ; Carcel, Hector. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302547.

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2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2021U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis. (2021). Monge, Manuel. In: International Economics. RePEc:eee:inteco:v:167:y:2021:i:c:p:88-95.

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2020A comparative study on the volatility of EU and China’s carbon emission permits trading markets. (2020). Xiang, Meiqi ; Sun, Limei ; Shen, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120305409.

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2020Reducing the Bias of the Smoothed Log Periodogram Regression for Financial High-Frequency Data. (2020). Mangat, Manveer K ; Reschenhofer, Erhard. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:4:p:40-:d:425895.

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2020Time Series Clustering of Electricity Demand for Industrial Areas on Smart Grid. (2020). Kim, Sahm ; Son, Heung-Gu. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:9:p:2377-:d:355978.

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2020The Long Memory of Equity Volatility and the Macroeconomy: International Evidence. (2020). Prokopczuk, Marcel ; Benno, Duc Binh ; Drager, Lena ; Sibbertsen, Philipp. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-667.

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2021On the classification of financial data with domain agnostic features. (2021). Caiado, Jorge ; Bastos, João. In: Working Papers REM. RePEc:ise:remwps:wp01852021.

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2020Fractionally integrated Log-GARCH with application to value at risk and expected shortfall. (2020). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua ; Ghosh, Sucharita. In: Working Papers CIE. RePEc:pdn:ciepap:137.

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2021Clustering discrete-valued time series. (2021). McNicholas, Paul D ; Karlis, Dimitris ; Roick, Tyler. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:15:y:2021:i:1:d:10.1007_s11634-020-00395-7.

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2021Fast computation and practical use of amplitudes at non-Fourier frequencies. (2021). Mangat, Manveer K ; Reschenhofer, Erhard. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:3:d:10.1007_s00180-020-01061-4.

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2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

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2020Development of an efficient cluster-based portfolio optimization model under realistic market conditions. (2020). Khamseh, Alireza Arshadi ; Mahootchi, Masoud ; Massahi, Mahdi. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:5:d:10.1007_s00181-019-01802-5.

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2021Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01784-4.

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2020Robust fuzzy clustering based on quantile autocovariances. (2020). Vilar, J A ; Durso, P ; Lafuente-Rego, B. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1053-6.

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2020Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

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2021Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108.

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2021Estimating the volatility of asset pricing factors. (2021). Leschinski, Christian ; Becker, Janis. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:269-278.

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2022Singular spectrum analysis for value at risk in stochastic volatility models. (2022). Arteche, Josu ; Garciaenriquez, Javier. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:3-16.

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Works by Nuno Crato:


YearTitleTypeCited
2009Identifying common dynamic features in stock returns In: CEMAPRE Working Papers.
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paper6
2009Identifying common dynamic features in stock returns.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 6
paper
2010Identifying common dynamic features in stock returns.(2010) In: Quantitative Finance.
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This paper has another version. Agregated cites: 6
article
2006A periodogram-based metric for time series classification In: Computational Statistics & Data Analysis.
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article42
2012A new model for explaining long-range correlations in human time interval production In: Computational Statistics & Data Analysis.
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article0
1994Long-range dependence in the conditional variance of stock returns In: Economics Letters.
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article64
1994Fractional integration analysis of long-run behavior for US macroeconomic time series In: Economics Letters.
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article22
1998The detection and estimation of long memory in stochastic volatility In: Journal of Econometrics.
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article307
2002Introduction In: International Journal of Forecasting.
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article0
2002A note on moving average forecasts of long memory processes with an application to quality control In: International Journal of Forecasting.
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article1
2005A mild skepticism on nonlinear forecasting: Some comments on the paper by Harvill and Ray In: International Journal of Forecasting.
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article0
1993Forecasting business and economic time series with overdifferenced models In: Portuguese Journal of Management Studies.
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article0
2009Comparison of time series with unequal length in the frequency domain In: MPRA Paper.
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paper13
2007Is there an identity within international stock market volatilities? In: MPRA Paper.
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paper0
2007A GARCH-based method for clustering of financial time series: International stock markets evidence In: MPRA Paper.
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paper8
2006An interpolated periodogram-based metric for comparison of time series with unequal lengths In: MPRA Paper.
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2005Discrimination between deterministic trend and stochastic trend processes In: MPRA Paper.
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paper0
2007Comparison of time series with unequal length In: MPRA Paper.
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paper1
2007Identifying common spectral and asymmetric features in stock returns In: MPRA Paper.
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paper0
2008Identifying the evolution of stock markets stochastic structure after the euro In: MPRA Paper.
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paper0
2020A fragmented-periodogram approach for clustering big data time series In: Advances in Data Analysis and Classification.
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article0
1995New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates. In: Empirical Economics.
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article5
1994A reappraisal of parity reversion for UK real exchange rates In: Applied Economics Letters.
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article3
2001Long-run versus short-run behaviour of the real exchange rates In: Applied Economics.
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article2
2011?-stable laws for noncoding regions in DNA sequences In: Journal of Applied Statistics.
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article0
2000Memory in returns and volatilities of futures contracts In: Journal of Futures Markets.
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article21
1996Measuring Hysteresis in Unemployment Rates with Long Memory Models In: Working Papers.
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paper9

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