Tail Index Estimation in the Presence of Covariates: Stock Returns' Tail Risk Dynamics
João Nicolau, Paulo M. M. Rodrigues, Marian Z. Stoykov
Journal of Econometrics, vol. 235, 2023, p. 2266-2284.

Inflation in the G7 and the Expected Time to Reach the Reference Rate: A Nonparametric Approach
Ines da Cunha Cabral, João Nicolau
International Journal Of Finance And Economics, vol. 27, 2022, p. 1608-1620.

A Re-examination of Inflation Persistence Dynamics in OECD Countries: A New Approach
Gabriel Zsurkis, João Nicolau, Paulo M. M. Rodrigues
Oxford Bulletin of Economics and Statistics, vol. 83, 2021, p. 935-959.

The Expected Time to Cross a Threshold and Its Determinants: A Simple and Flexible Framework
Gabriel Zsurkis, João Nicolau, Paulo M. M. Rodrigues
Journal of Economic Dynamics and Control, vol. 122, 2021, p. .

A New Regression-Based Tail Index Estimator
João Nicolau, Paulo M. M. Rodrigues
Review of Economics and Statistics, vol. 101, 2019, p. 667-680.

Assessing Nonlinear Dynamics of Central Bank Reaction Function: The Case of Mozambique
Gerson Nhapulo, João Nicolau
South African Journal of Economics, vol. 85, 2017, p. 28-51.

Structural Change Test in Duration of Bull and Bear Markets
João Nicolau
Economics Letters, vol. 146, 2016, p. 64-67.

Estimation and Inference in Multivariate Markov Chains
João Nicolau, Flavio Ivo Riedlinger
Statistical Papers, vol. 56, 2015, p. 1163-1173.

Nonparametric Density Forecast Based on Time- and State-Domain
João Nicolau
Journal Of Forecasting, vol. 30, 2011, p. 706-720.

Purchasing Power Parity Analyzed from a Continuous-Time Model
João Nicolau
Studies In Nonlinear Dynamics And Econometrics, vol. 15, 2011, p. 0-0.

Purchasing Power Parity Analyzed through a Continuous-Time Version of the ESTAR Model
João Nicolau
Economics Letters, vol. 110, 2011, p. 182-185.

A Discrete and a Continuous-Time Model Based on a Technical Trading Rule
João Nicolau
Journal Of Financial Econometrics, vol. 5, 2007, p. 266-284.

Nonparametric Estimation of Second-Order Stochastic Differential Equations
João Nicolau
Econometric Theory, vol. 23, 2007, p. 880-898.

Bias Reduction in Nonparametric Diffusion Coefficient Estimation
João Nicolau
Econometric Theory, vol. 19, 2003, p. 754-777.

A New Technique for Simulating the Likelihood of Stochastic Differential Equations
João Nicolau
Econometrics Journal, vol. 5, 2002, p. 91-103.

Stationary Processes That Look Like Random Walks--The Bounded Random Walk Process in Discrete and Continuous Time
João Nicolau
Econometric Theory, vol. 18, 2002, p. 99-118.