PUBLICATIONS

Peer Reviewed Publications

1. “Sazonalidade Estocástica não Estacionária: Alguma Evidência Empírica para a Economia Portuguesa” (Non-Stationary Stochastic Seasonality: Some Evidence for the Portuguese Economy), (joint with Artur Silva Lopes) Economia vol. XXIII, 1-25, 1999.

2. “Are Feedback Factors Important in Modeling Financial Data?”, International Review of Finance, 7:3-4,105-118, 2007.

3. “Modelling Long Memory Volatilities with Leverage Effect: A-LMSV versus FIEGARCH”, (joint with Esther Ruiz), Computational Statistics and Data Analysis, 52 (6), 2846-2862, 2008.

4. “Accurate minimum capital risk requirements: A comparison of several approaches”, (joint with Aurea Grané), Journal of Banking and Finance, 32, 2482-2492, 2008.

5. “Price Manipulation in an Experimental Asset Market”, (joint with Marc Vorsatz), European Economic Review, 53, 327-342, 2009.

6. “A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect”, (joint with Ana Pérez and Esther Ruiz), Computational Statistics and Data Analysis, 59, 3593-3600, 2009.

7. “Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models”, Economics Bulletin, 29, 265-276, 2009. Comment to the previous paper, Economics Bulletin, 29, 2730-2731, 2009.

8. “Wavelet-based Detection of Outliers in Financial Time Series“, (joint with Aurea Grané), Computational Statistics and Data Analysis, 54, 2580-2593, 2010.

9. “Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator”, (joint with Marc Vorsatz), Experimental Economics, 13, 379-398, 2010.

10. “Risk Factors in Oil and Gas Industry Returns: International Evidence“, (joint with Sofia Ramos), Energy Economics, 33, 525-542, 2011.

Other Contributions

· “Intended manipulations in an experimental asset market with short-selling“, (joint with Marc Vorsatz), Medium for Econometric Applications, 16 (3), 8-13, 2008. This is an invited publication by the Erasmus University of Rotterdam.

· “Modelos de volatilidad estocástica: una alternativa atractiva y factible para modelizar la evolución de la volatilidad“, (joint with Esther Ruiz), Anales de Estudios Económicos y Empresariales, vol. XVIII, 1-59, 2008. This is an invited publication by the University of Valladolid.

Book (Chapters) and Proceedings

· “Outliers and the estimation of minimum capital risk requirements”, (joint with A. Grané). In Investigaciones en Seguros y Gestión de Riesgos, Heras, A., Vilar, J.L., Guillén, M. (Eds.), Fundación MAPFRE, 2009. (ISBN 978-84-9844-158-1).

· “Outliers in GARCH models and the estimation of risk measures”, (joint with A. Grané). In 2010 JSM Proceedings. Statistics: A Key to Innovation in a Data-Centric World. The American Statistical Association (Eds.) (ISBN 978-0-9791747-9.7).

· “The puzzle of asymmetric effects of oil: New results from international stock markets”, (joint with S. Ramos). In 2011 8^th International Conference on the European Energy Market. ISBN: 978-1-61284-286-8/11, IEEE catalog number CFP1152D.