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João Nicolau
University of Lisbon
24Publications
5H-index
87Citations
Publications 24
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#1João Nicolau (University of Lisbon)H-Index: 5
#2Paulo M.M. Rodrigues (NOVA: Universidade Nova de Lisboa)H-Index: 17
A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared...
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#1Flavio Ivo Riedlinger (University of Lisbon)H-Index: 1
#2João Nicolau (University of Lisbon)H-Index: 5
In this paper, we propose a new method to predict stock market trends based on the multivariate Markov chain (MMC) methodology. Our approach consists of forecasting the one-period ahead FTSE 100 Index behavior, using the MTD-Probit model. The MTD-Probit model is a new approach for estimating MMC, based on multiple categorical data sequences that can be used to forecast financial markets. In this context, we propose a simple trading strategy and analyze its profitability using the White “Reality ...
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Last.João NicolauH-Index: 5
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This paper introduces a simple and easy to implement procedure to test for changes in persistence. The time-varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test procedure is the minimum of a t-statistic, computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time varying properties of persistence. The asymptotic distributions of...
#1Bruno Damásio (University of Lisbon)H-Index: 3
#2Francisco Louçã (University of Lisbon)H-Index: 8
Last.João Nicolau (University of Lisbon)H-Index: 5
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Abstract A nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The concl...
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Last.João NicolauH-Index: 5
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This paper tests for structural changes in the duration of bull regimes of adjusted market capitalization stock indexes comprehending 18 developed and emerging economies, using a novel approach introduced by Nicolau (2016); and investigates whether the structural changes detected in the bull markets' duration are connected to the business cycle. Interestingly, the results show that structural changes in the duration of bull market regimes seem to anticipate periods of economic recession. The res...
We propose a simple but effective nonparametric method to estimate the expected time to cross a threshold using only two assumptions: Markovian property and stationarity. We provide an empirical application with real exchange rates to illustrate the method.
1 CitationsSource
#1Gerson Nhapulo (The RiverBank)
#2João Nicolau (University of Lisbon)H-Index: 5
This paper sheds some light on the elements governing monetary policy-making during the period 2000Q1–2015Q1 in Mozambique. We estimate a time-varying Taylor-type rule for the BM, using a Markov-switching (MS) model and a Threshold model. The general finding is that the behaviour of the BM can be characterised by two regimes. In regime 1, only changes in inflation trigger a reaction by the monetary authority. This behaviour is prominent after the establishment of the monetary policy committee in...
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#1João Nicolau (University of Lisbon)H-Index: 5
We propose a recursive test to analyze structural changes in duration of bull and bear markets. Using the Dow Jones Industrial Average index, we detected a single structural break in the bull market duration in April, 1942.
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#1João Nicolau (University of Lisbon)H-Index: 5
#2Flavio Ivo Riedlinger (University of Lisbon)H-Index: 1
The literature of Markov chains has recently focused on modeling multiple categorical data sequences. The usual procedure for handling these multivariate Markov chains (MMC), with \(m\) categorical data and \(s\) states, consists of expanding the state space by considering \(m^{s}\) new states. This model rapidly becomes intractable even with moderate values of \(m\) and \(s\) due to the excessive number of parameters to estimate. Ching and Fung (2002) found a way to cope with the intractability...
1 CitationsSource
#2João NicolauH-Index: 5
In this paper, a new regression-based approach for the estimation of the tail index of heavy-tailed distributions is introduced. Comparatively to many procedures currently available in the literature, our method does not involve order statistics and can be applied in more general contexts than just Pareto. The procedure is in line with approaches used in experimental data analysis with fixed explanatory variables, and has several important features which are worth highlighting. First, it provide...
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