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Gustavo Fruet Dias
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Year
Estimation and forecasting in vector autoregressive moving average models for rich datasets
GF Dias, G Kapetanios
Journal of Econometrics 202 (1), 75-91, 2018
192018
Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
GF Dias, G Kapetanios
School of Economics and Management, 2014
162014
The time-varying GARCH-in-mean model
GF Dias
Economics Letters 157, 129-132, 2017
112017
Volatility discovery
GF Dias, CM Scherrer, F Papailias
CREATES Research Papers 7, 2016
102016
Price discovery in a continuous-time setting
GF Dias, M Fernandes, CM Scherrer
Journal of Financial Econometrics 19 (5), 985-1008, 2021
92021
Forecasting long memory series subject to structural change: A two-stage approach
F Papailias, GF Dias
International Journal of Forecasting 31 (4), 1056-1066, 2015
92015
Price discovery and market microstructure noise
GF Dias, M Fernandes, C Scherrer
Working paper, Sao Paulo School of Economics, 2018
42018
Improving on daily measures of price discovery
GF Dias, M Fernandes, CM Scherrer
22017
Price discovery with a richer market microstructure noise
GF Dias, M Fernandes, CM Scherrer
SSRN Working Paper, 1–72doi: 10.2139/ssrn. 3864966, 2022
12022
The Nonlinear Iterative Least Squares (NL-ILS) Estimator: An Application to Volatility Models
GF Dias
Discussion paper, School of Economics and Finance, Queen Mary University of …, 2013
12013
Price discovery in a continuous-time setting
GF Dias, M Fernandes, CM Scherrer
Journal of Financial Econometrics 19 (5), 985-1008, 2021
2021
Price discovery and market microstructure noise
M Fernandes, GF Dias, CM Scherrer
2019
Component shares in continuous time
GF Dias, M Fernandes, CM Scherrer
CREATES Research Papers, 2016
2016
Book review: Nonlinear Time Series: Extreme Events and Integer Value Problems
GF Dias
Journal of the American Statistical Association 110 (512), 1823-1824, 2015
2015
Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach
GF Dias, F Papailias
CREATES Research Papers, 2014
2014
Assessing risk premium over time: inference on GARCH-in-mean models with time-varying coefficients
GF Dias
Price discovery over time: an application to the Bitcoin market
GF Dias, M Fernandes, CM Scherrer, PICA Salvador
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Articles 1–17