N. Crato Researcher ID (ISI data base): B-5901-2009


CEMAPRE Papers database: N. Crato



Selected Publications

J. Caiado and N. Crato, Identifying common dynamic features in stock returns (draft), Quantitative Finance, to appear (2010).

N. Crato, R. R. Linhares and S. R. C. Lopes, Statistical properties of detrended fluctuation analysis, Journal of Statistical Computation and Simulation, to appear (2010).

N. Crato, R. R. Linhares and S. R. C. Lopes, Alpha-stable laws for noncoding regions in DNA sequences, Journal of Applied Statistics, to appear (2010).

A. Diniz, J. Barreiros and N. Crato, Parameterized estimation of long-range correlation and variance components in human serial interval production, Motor Control 14, 26-43 (2010).

J. Caiado, J., Crato, N., Peña, D. (2009). Comparison of time series with unequal length in the frequency domain, Communications in Statistics: Simulation and Computation 8, 527-542.

Carvalho, A., Crato, N., and Gomes, C. (2009). A Generative Power-Law Search Tree Model, Computers & Operations Research, 36, 2376-2386.

Caiado, J., Crato, N., and Peña, D. (2006). A periodogram-based metric for time series classification, Computational Statistics & Data Analysis 50-10, 2668-2684.

Crato, N. (2005). A mild skepticism on nonlinear forecasting: Some comments on the paper by Harvill and Ray, International Journal of Forecasting 21-4, 729.

Crato, N. (2003). Pedro Nunes, Portuguese mathematician and cosmographer, Mathematical Intelligencer 25-1, 80.

Borges, M.F., Santos, A.M.P., Crato, N., Mendes, H., and Mota, B. (2003). Sardine regime shifts off Portugal: a time series analysis of catches and wind conditions, Scientia Marina 67, Suppl. 1, 235–244.

Crato, N. and Ray, Bonnie K. (2002). Semi-parametric smoothing estimators for long-memory processes with added noise, a revised version appeared in Journal of Statistical Planning and Inference 105, 283-297.

Rammjee, R., Crato, N. and Ray, B.K. (2002). A note on moving average forecasts of long memory processes with an application to quality control, a revised version appeared in International Journal of Forecasting 18, 291-297.

Crato, N. (2000). Estimation of the maximal moment exponent with censored data, a revised version appeared in Communications in Statistics: Simulation and Computation 29, 1239–1254.

Costa, A.A. and Crato, N. (2000). Long-run versus short-run behaviour of the real exchange rates, a revised version appeared in Applied Economics 33, 683–68.

Gomes, C.P., Selman, B., Crato, N., and Kautz, H. (2000). Heavy-tailed phenomena in satisfiability and constraint satisfaction problems, a revised version  appears in Journal of Automated Reasoning, 24, 67-100. [Science Daily has an article on this research]

Crato, N. and Ray, Bonnie K. (2000). Memory in returns and volatilities of commodity futures contracts, (figures here), a revised version appeared in The Journal of Futures Markets 20-6, 525-544.

Teles, P., Crato, N. and Wei, W.W.S. (1999). The use of aggregate time series in testing for long memory, in the Bulletin of the International Statistical Institute, 52nd Session, 1999, pp. 341-342.

Crato, N. and Dowling-DaCosta, L. (1998). On the behavior of some estimators for the index of stability, NJIT-CAMS Research Report 9899-6.

Gomes, C.P., Selman, Bart, and Crato, N. (1997). Heavy-Tailed distributions in combinatorial search in Gert Smolka (Ed.), Principles and Practice of Constraint Programming—CP 97, Lecture Notes in Computer Science 1330, Springer, 121–135.

Crato, N. and de Lima, P. (1997).  On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives Communications in Statistics: Simulation and Computation 26, 1431-1446.

Breidt, J. F., Crato, N., and de Lima, P. J. F., (1997). Modeling the persistent volatility of asset returns, Proceedings of the IEEE/IAFE 1997 Conference on Computational Intelligence for Financial Engineering (CIFEr), IEEE, 266-272.

Costa, A.A. and Crato, N. (1996). Testing stationarity and parity reversion: Long-run versus short-run behavior on the Portuguese real exchange rates.

Crato, N. and Rothman, Philip (1996). Measuring Hysteresis in Unemployment Rates with Long Memory Models.

Crato, N. and Taylor, H.M. (1996). Stationary persistent time series misspecified as nonstationary ARIMA, Statistische Hefte/Statistical Papers.

 Crato, N. and Ray, Bonnie (1995). Some problems in the overspecification of ARMA and ARIMA processes using ARFIMA models, Actas do III Congresso da Sociedade Portuguesa de Estatística, 527-539.

 Ray, B. and Crato, N. (1994). Model Selection and Forecasting of Long-range Dependent Processes: Results of a Simulation Study CAMS Report #50, NJIT, Technical Report detailing the results of our paper in Journal of Forecasting 15, 107-125 (1996).

 Wu, P. and Crato, N. (1994). New tests for stationarity and parity reversion: Evidence on New Zealand real exchange rates, Empirical Economics 20, 599-613 (1995).

 Breidt, F.J., Crato, N., and de Lima, P. (1994). "On the detection and estimation of long memory in stochastic volatility," working paper version of the work published in Journal of Econometrics 83, 325-348 (1998).

Crato, N. and De Lima, P.J.F. (1994). "Long-memory and nonlinearity: A time series analysis of stock returns and volatilities", Managerial Finance 20-2/3, 49–67.


Teaching, science writing, and expository papers (em português; ver também Personal)

"As saudáveis diferenças entre a divulgação, o ensino e a investigação", Revue: Revista da Universidade de Évora, III, nº 6, 4-11, Novembro de 2006 (versão ligeiramente adaptada).

"Algumas experiências de divulgação da matemática na imprensa portuguesa", apresentado no encontro Teias Matemáticas, Coimbra, Outubro de 2000.

"O papel dos mínimos quadrados na descoberta dos planetas", Boletim da Sociedade Portuguesa de Matemática 42, Maio 2000, 113-124.

"Dez receitas (receitas?! sim, receitas!) para o sucesso na divulgação da matemática", comunicação ao Segundo Debate sobre a Investigação da Matemática em Portugal, CIM/SPM, Coimbra, Abril de 2000.

Base temática sobre a história da Ciência em Portugal no Centro Virtual Camões

Semanário Expresso

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