Stationary Persistent Time Series Misspecified as Nonstationary Arima
Nuno Crato,
Howard Taylor
Statistical Papers,
vol. 37, 1996, p. 215-223.
New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates
Wu Ping,
Nuno Crato
Empirical Economics,
vol. 20, 1995, p. 599-613.
A Reappraisal of Parity Reversion for UK Real Exchange Rates
Nuno Crato,
Philip Rothman
Applied Economics Letters,
vol. 1, 1994, p. 139-141.
Fractional Integration Analysis of Long-Run Behavior for US Macroeconomic Time Series
Nuno Crato,
Philip Rothman
Economics Letters,
vol. 45, 1994, p. 287-291.
Long Range Dependence in the Conditional Variance of Stock Returns
Nuno Crato,
Pedro Lima
Economics Letters,
vol. 45, 1994, p. 281-285.
Some International Evidence Regarding the Stochastic Memory of Stock Returns
Nuno Crato
Applied Financial Economics,
vol. 4, 1994, p. 33-39.