Tail Index Estimation in the Presence of Covariates: Stock Returns' Tail Risk Dynamics 16.67
João Nicolau, Paulo M. M. Rodrigues, Marian Z. Stoykov
Journal of Econometrics, vol. 235, 2023, p. 2266-2284.

A Re-examination of Inflation Persistence Dynamics in OECD Countries: A New Approach 12.5
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 6.67
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 18.75
João Nicolau, Paulo M. M. Rodrigues
Review of Economics and Statistics, vol. 101, 2019, p. 667-680.

Structural Change Test in Duration of Bull and Bear Markets 20.0
João Nicolau
Economics Letters, vol. 146, 2016, p. 64-67.

Nonparametric Density Forecast Based on Time- and State-Domain 20.0
João Nicolau
Journal Of Forecasting, vol. 30, 2011, p. 706-720.

Purchasing Power Parity Analyzed from a Continuous-Time Model 20.0
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 20.0
João Nicolau
Economics Letters, vol. 110, 2011, p. 182-185.

Nonparametric Estimation of Second-Order Stochastic Differential Equations 37.5
João Nicolau
Econometric Theory, vol. 23, 2007, p. 880-898.

Bias Reduction in Nonparametric Diffusion Coefficient Estimation 37.5
João Nicolau
Econometric Theory, vol. 19, 2003, p. 754-777.

A New Technique for Simulating the Likelihood of Stochastic Differential Equations 37.5
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 37.5
João Nicolau
Econometric Theory, vol. 18, 2002, p. 99-118.