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Nonparametric density forecast based on time- and state-domain
Nicolau, João - In: Journal of forecasting 30 (2011) 8, pp. 706-720
Persistent link: https://www.econbiz.de/10009423364
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A new regression-based tail index estimator
Nicolau, João; Rodrigues, Paulo M. M. - In: The review of economics and statistics 101 (2019) 4, pp. 667-680
Persistent link: https://www.econbiz.de/10012116628
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Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. - In: Journal of econometrics 235 (2023) 2, pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
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First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467