Publicaciones en colaboración con investigadores/as de Universidade Nova de Lisboa (6)

2021

  1. Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

    Journal of Applied Econometrics, Vol. 36, Núm. 5, pp. 544-565

2016

  1. Quantile regression for long memory testing: A case of realized volatility

    Journal of Financial Econometrics, Vol. 14, Núm. 4, pp. 693-724

2014

  1. Persistence in the banking industry: Fractional integration and breaks in memory

    Journal of Empirical Finance, Vol. 29, pp. 95-112

2013

  1. Finite sample performance of frequency- and time-domain tests for seasonal fractional integration

    Journal of Statistical Computation and Simulation, Vol. 83, Núm. 7, pp. 1373-1384

2011

  1. The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance

    Oxford Bulletin of Economics and Statistics, Vol. 73, Núm. 4, pp. 449-468

2009

  1. Testing for general fractional integration in the time domain

    Econometric Theory, Vol. 25, Núm. 6, pp. 1793-1828