João Nicolau

Available identifiers

zbMath Open nicolau.joaoMaRDI QIDQ511570

List of research outcomes

Publication	Date of Publication	Type
First passage times in portfolio optimization: a novel nonparametric approach	2023-11-15	Paper
Tail index estimation in the presence of covariates: stock returns' tail risk dynamics	2023-06-29	Paper
Purchasing Power Parity Analyzed from a Continuous-Time Model	2023-03-13	Paper
Structural changes in the duration of bull markets and business cycle dynamics	2022-08-23	Paper
The changing economic regimes and expected time to recover of the peripheral countries under the Euro: a nonparametric approach	2022-06-30	Paper
The expected time to cross a threshold and its determinants: a simple and flexible framework	2021-11-16	Paper
The profitability in the FTSE 100 index: a new Markov chain approach	2020-05-13	Paper
BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION	2018-12-14	Paper
Structural change test in duration of bull and bear markets	2018-08-29	Paper
A simple nonparametric method to estimate the expected time to cross a threshold	2017-02-21	Paper
Estimation and inference in multivariate Markov chains	2015-11-24	Paper
A New Model for Multivariate Markov Chains	2014-12-09	Paper
Combining a regression model with a multivariate Markov chain in a forecasting problem	2014-06-11	Paper
A New Model for Multivariate Markov Chains	2014-04-04	Paper
Nonparametric density forecast based on time- and state-domain	2012-10-15	Paper
Nonparametric estimation of second-order stochastic differential equations	2012-05-14	Paper
Purchasing power parity analyzed through a continuous-time version of the ESTAR model	2011-04-29	Paper
Transition Density and Simulated Likelihood Estimation for Time-Inhomogeneous Diffusions	2010-09-17	Paper
Modeling financial time series through second-order stochastic differential equations	2008-11-14	Paper
Processes with volatility‐induced stationarity: an application for interest rates	2008-01-24	Paper
Method for simulating non-linear stochastic differential equations in ℝ1	2005-10-17	Paper
STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME	2003-05-18	Paper
A new technique for simulating the likelihood of stochastic differential equations	2003-02-24	Paper

Research outcomes over time

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