João Nicolau
Ph D: UTL, Econometrics, 2001
Master: ISEG/UTL, Matemática Aplicada à Economia e Gestão, 1994
Bachelor: ISEG/UTL, Economia, 1991
FCT research center:
Centro de Matemática Aplicada à Previsão e Decisão Económica - CEMAPRE (2015)
REBIDES institution:
Universidade de Lisboa - Instituto Superior de Economia e Gestão (2015)
Researcher id:
Articles 13:

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.

Time Series Modeling of Histogram-Valued Data: The Daily Histogram Time Series of S&P500 Intradaily Returns: Comment
João Nicolau
International Journal Of Forecasting, vol. 28, 2012, p. 34-35.

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.