João Nicolau
Biographic Data
| ID | 8880894 |
|---|---|
| NAME | João Nicolau |
| GIVEN NAMES | João |
| FAMILY NAME | Nicolau |
| SIGNATURE | NICOLAU J |
| AFFILIATIONS | ISEG-Universidade de Lisboa and REM/CEMAPRE |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2019 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
Changes in inflation compensation and oil prices
A Re‐Examination of Inflation Persistence Dynamics in OECD Countries
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 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 pers…
A New Regression-Based Tail Index Estimator
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 to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it …
No prominent works on this page.
A New Regression-Based Tail Index Estimator
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 to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it …
A Re‐Examination of Inflation Persistence Dynamics in OECD Countries
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 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 pers…
Changes in inflation compensation and oil prices
Econometrics (3 works) · Economics (3 works) · Mathematics (3 works) · Statistics (3 works) · Complex Systems and Time Series Analysis (2 works) · Monetary Policy and Economic Impact (2 works) · Applied Mathematics (1 work) · Applied Mathematics (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Computer Science (1 work)