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.