9
H index
9
i10 index
608
Citations
Nuno Crato : Citation Profile
Universidade de Lisboa (50% share) | RESEARCH PRODUCTION: 16 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1993 - 2024). 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:
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Main data
Where Nuno Crato has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Forecasting | 3 |
| Computational Statistics & Data Analysis | 2 |
| Economics Letters | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 9 |
Recent works citing Nuno Crato (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper |
| 2025 | Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398. Full description at Econpapers || Download paper |
| 2025 | Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000933. Full description at Econpapers || Download paper |
| 2024 | Network log-ARCH models for forecasting stock market volatility. (2024). Mattera, Raffaele ; Otto, Philipp. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1539-1555. Full description at Econpapers || Download paper |
| 2025 | A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607. Full description at Econpapers || Download paper |
| 2024 | A New Proxy for Estimating the Roughness of Volatility. (2024). Zhao, QI ; Chronopoulou, Alexandra. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:131-:d:1361912. Full description at Econpapers || Download paper |
| 2024 | Complex Network Model of Global Financial Time Series Based on Different Distance Functions. (2024). Wang, Zhen ; Gao, Meng ; Ning, Jicai. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:14:p:2210-:d:1435425. Full description at Econpapers || Download paper |
| 2025 | Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Post-Print. RePEc:hal:journl:hal-05109120. Full description at Econpapers || Download paper |
| 2025 | Measuring unit relevance and stability in hierarchical spatio-temporal clustering. (2025). Mattera, Raffaele ; Cerqueti, Roy. In: Post-Print. RePEc:hal:journl:hal-05109271. Full description at Econpapers || Download paper |
| 2025 | Analyzing Stationarity in World Coffee Prices. (2025). Gil-Alana, Luis ; Komatsu, Flores C. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10630-4. Full description at Econpapers || Download paper |
| 2025 | Time-varying predictability of TAIEX volatility. (2025). Pan, Ging-Ginq ; Shiu, Yung-Ming ; Wu, Tu-Cheng. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:2:d:10.1007_s11147-025-09212-9. Full description at Econpapers || Download paper |
| 2024 | Predicting the volatility of Chinese stock indices based on realized recurrent conditional heteroskedasticity. (2024). Zhao, Huanyu ; Zhang, Gongtao ; Fan, Rujie. In: PLOS ONE. RePEc:plo:pone00:0308967. Full description at Econpapers || Download paper |
| 2024 | Clustering networked funded European research activities through rank-size laws. (2024). Mattera, Raffaele ; Cerqueti, Roy ; Iovanella, Antonio. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-023-05321-6. Full description at Econpapers || Download paper |
| 2024 | Fuzzy clustering of time series based on weighted conditional higher moments. (2024). Vitale, Vincenzina ; Cerqueti, Roy ; Mattera, Raffaele ; Durso, Pierpaolo ; Giovanni, Livia. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:6:d:10.1007_s00180-023-01425-6. Full description at Econpapers || Download paper |
| 2025 | Detecting patterns in financial data through weighted time-frequency domain clustering. (2025). Balzanella, Antonio ; Fortuna, Francesca ; Naccarato, Alessia. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:3:d:10.1007_s11135-024-02000-x. Full description at Econpapers || Download paper |
| 2024 | Rough Volatility: Fact or Artefact?. (2024). Cont, Rama ; Das, Purba. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2. Full description at Econpapers || Download paper |
| 2025 | On the Correlations in Linearized Multivariate Stochastic Volatility Models. (2025). Moussa, Karim. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250021. Full description at Econpapers || Download paper |
| 2025 | The Memory in Return Volatility: An Analysis of Mutual Fund Returns. (2025). Duan, Kun ; Yao, Kai ; Chevapatrakul, Thanaset ; Huang, Rong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2930-2945. Full description at Econpapers || Download paper |
Works by Nuno Crato:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Identifying common dynamic features in stock returns In: CEMAPRE Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2009 | Identifying common dynamic features in stock returns.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2010 | Identifying common dynamic features in stock returns.(2010) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2006 | A periodogram-based metric for time series classification In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 53 |
| 2012 | A new model for explaining long-range correlations in human time interval production In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 1994 | Long-range dependence in the conditional variance of stock returns In: Economics Letters. [Full Text][Citation analysis] | article | 70 |
| 1994 | Fractional integration analysis of long-run behavior for US macroeconomic time series In: Economics Letters. [Full Text][Citation analysis] | article | 28 |
| 1998 | The detection and estimation of long memory in stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 360 |
| 2002 | Introduction In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2002 | A note on moving average forecasts of long memory processes with an application to quality control In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2005 | A mild skepticism on nonlinear forecasting: Some comments on the paper by Harvill and Ray In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2024 | Time series clustering using fragmented autocorrelations In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 1993 | Forecasting business and economic time series with overdifferenced models In: Portuguese Journal of Management Studies. [Full Text][Citation analysis] | article | 0 |
| 2009 | Comparison of time series with unequal length in the frequency domain In: MPRA Paper. [Full Text][Citation analysis] | paper | 15 |
| 2007 | Is there an identity within international stock market volatilities? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | A GARCH-based method for clustering of financial time series: International stock markets evidence In: MPRA Paper. [Full Text][Citation analysis] | paper | 10 |
| 2006 | An interpolated periodogram-based metric for comparison of time series with unequal lengths In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Discrimination between deterministic trend and stochastic trend processes In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Comparison of time series with unequal length In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Identifying common spectral and asymmetric features in stock returns In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Identifying the evolution of stock markets stochastic structure after the euro In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2020 | A fragmented-periodogram approach for clustering big data time series In: Advances in Data Analysis and Classification. [Full Text][Citation analysis] | article | 5 |
| 1995 | New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates. In: Empirical Economics. [Citation analysis] | article | 5 |
| 1994 | A reappraisal of parity reversion for UK real exchange rates In: Applied Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2001 | Long-run versus short-run behaviour of the real exchange rates In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
| 2000 | Memory in returns and volatilities of futures contracts In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 23 |
| 1996 | Measuring Hysteresis in Unemployment Rates with Long Memory Models In: Working Papers. [Citation analysis] | paper | 12 |
| 2024 | From A to Z: Effects of a 2nd-grade reading intervention program for struggling readers In: GLO Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team