Nuno Crato : Citation Profile


Are you Nuno Crato?

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

7

H index

5

i10 index

427

Citations

RESEARCH PRODUCTION:

15

Articles

11

Papers

RESEARCH ACTIVITY:

   19 years (1993 - 2012). See details.
   Cites by year: 22
   Journals where Nuno Crato has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 10 (2.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pcr42
   Updated: 2018-09-15    RAS profile: 2017-02-08    
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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:

McAleer, Michael (19)

Asai, Manabu (18)

Gil-Alana, Luis (17)

Nielsen, Morten (15)

Bollerslev, Tim (14)

Andersen, Torben (13)

Diebold, Francis (13)

MORANA, CLAUDIO (9)

Christensen, Bent Jesper (8)

Medeiros, Marcelo (8)

Ruiz, Esther (8)

Cites to:

Mantegna, Rosario (16)

Caiado, Jorge (12)

Engle, Robert (11)

Bollerslev, Tim (8)

Maharaj, Elizabeth (6)

Jagannathan, Ravi (4)

Chou, Ray (4)

Camacho, Maximo (3)

Syriopoulos, Theodore (3)

Karolyi, G. (3)

Perez Quiros, Gabriel (3)

Main data


Where Nuno Crato has published?


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

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

Recent works citing Nuno Crato (2018 and 2017)


YearTitle of citing document
2018A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

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2018Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2018). Fouque, Jean-Pierre ; Hu, Ruimeng . In: Papers. RePEc:arx:papers:1706.03139.

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2017Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins. (2017). Shekhar, Chirag ; Trede, Mark. In: Review of Economics & Finance. RePEc:bap:journl:170303.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). García Enríquez, Javier ; Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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2017Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices. (2017). Mitra, S K ; Bawa, Jaslene . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:124-135.

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2017Multifractal cross-correlations between crude oil and tanker freight rate. (2017). Chen, Feier ; Li, Tingyi ; Ding, Xiaoxu ; Tian, Kang ; Miao, Yuqi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:344-354.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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2018Analysing long-term interactions between demand response and different electricity markets using a stochastic market equilibrium model. (2018). Bertsch, Valentin ; Parnell, Andrew C ; Sweeney, Conor ; Devine, Mel. In: Papers. RePEc:esr:wpaper:wp585.

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2017The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-613.

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2017The Long Memory of Equity Volatility: International Evidence. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-614.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2018Temporal clustering of time series via threshold autoregressive models: application to commodity prices. (2018). Aslan, Sipan ; Iyigun, Cem ; Yozgatligil, Ceylan . In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2659-0.

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2018The Hierarchical Spectral Merger Algorithm: A New Time Series Clustering Procedure. (2018). Euan, Carolina ; Ortega, Joaquin ; Ombao, Hernando. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:1:d:10.1007_s00357-018-9250-5.

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2018Are standard asset pricing factors long-range dependent?. (2018). Auer, Benjamin Rainer. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9385-y.

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2017Periodic autoregressive stochastic volatility. (2017). Aknouche, Abdelhakim . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9139-z.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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2018Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns. (2018). Lovcha, Yuliya ; Laborda, alex Perez . In: Working Papers. RePEc:urv:wpaper:2072/307362.

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Works by Nuno Crato:


YearTitleTypeCited
2009Identifying common dynamic features in stock returns In: CEMAPRE Working Papers.
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paper3
2009Identifying common dynamic features in stock returns.(2009) In: MPRA Paper.
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paper
2010Identifying common dynamic features in stock returns.(2010) In: Quantitative Finance.
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article
2006A periodogram-based metric for time series classification In: Computational Statistics & Data Analysis.
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article28
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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article57
1994Fractional integration analysis of long-run behavior for US macroeconomic time series In: Economics Letters.
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article20
1998The detection and estimation of long memory in stochastic volatility In: Journal of Econometrics.
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article275
2002Introduction In: International Journal of Forecasting.
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article1
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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paper8
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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paper5
2006An interpolated periodogram-based metric for comparison of time series with unequal lengths In: MPRA Paper.
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paper0
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
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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article1
2011α-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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article11
1996Measuring Hysteresis in Unemployment Rates with Long Memory Models In: Working Papers.
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paper8

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