Nonlinearities and Nonstationarities in Stock Returns
Pedro Lima
Journal of Business and Economic Statistics, vol. 16, 1998, p. 227-236.

The Detection and Estimation of Long Memory in Stochastic Volatility
Jay Breidt, Nuno Crato, Pedro Lima
Journal of Econometrics, vol. 83, 1998, p. 325-348.

On the Robustness of Nonlinearity Tests to Moment Condition Failure
Pedro Lima
Journal of Econometrics, vol. 76, 1997, p. 251-280.

Nuisance Parameter Free Properties of Correlation Integral Based Statistics
Pedro Lima
Econometric Reviews, vol. 15, 1996, p. 237-259.

The Impact of 1970s Repatriates from Africa on the Portuguese Labor Market
William Carrington, Pedro Lima
Industrial and Labor Relations Review, vol. 49, 1996, p. 330-347.

Long Range Dependence in the Conditional Variance of Stock Returns
Nuno Crato, Pedro Lima
Economics Letters, vol. 45, 1994, p. 281-285.