
Jorge CaiadoUniversity of Lisbon | UL · Department of Mathematics
Jorge Caiado
PhD
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62
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Publications
Publications (62)
The present work aims to assess the existence of the relationship between financial inclusion and monetary stability in Mozambique based on the analysis of the VEC model for the period from 2005 to 2020. In addition to indicators of traditional banking institutions, this article goes further by also incorporating indicators relating to services of...
Introduction
Several studies regarding the values and attitudes of Economics students have noticed a greater leaning towards the free riding phenomena and the market economy. Are these traits always valid? Do they coexist with other sociological relevant aspects?
Materials and Methods
A survey was conducted in Lisbon (Portugal) in 2016 with Econom...
We study how the COVID-19 pandemic affected some of the conditional volatilities of S&P 500 industries, using a new model feature-based clustering method on a fitted TGARCH model. Rather than using the estimated model parameters to compute a distance matrix for the stock indices, we suggest using a distance based on the autocorrelations of the esti...
We compare a data-driven domain agnostic set of canonical features with a smaller collection of features that capture well-known stylized facts about financial asset returns. We show that these facts discriminate better different asset types than general-purpose features. Therefore, financial time series analysis is a domain where well-informed exp...
This paper analyses the contribution of digital financial services to financial inclusion in Mozambique, based on the Autoregressive Distributed Lag (ARDL) model, for the period from January 2011 to September 2019. We study two models to analyse the contribution of digital financial services to financial inclusion (measured by the number of bank ac...
Previous research on the Portuguese case confirmed free-riding, free-marketer and right-wing political inclinations among economics students. Further scrutiny was endeavored here, perceiving also a considerably increased interest for politics, notwithstanding the lack of concern for public problems. Various aspects of free-riding proclivity were di...
This study investigates the relationship between demography and inflation using panel cointegration for 24 countries during 1961–2014. It shows that the age structure of the population affects inflation. The answer to the question “is population aging inflationary or disinflationary?” depends on the stage of the demographic process and, particularl...
We propose and study a new frequency-domain procedure for characterizing and comparing large sets of long time series. Instead of using all the information available from data, which would be computationally very expensive, we propose some regularization rules in order to select and summarize the most relevant information for clustering purposes. E...
This research studies the role of private labels (PLs) on consumers’ store loyalty. It offers an integrative approach that comprises several store loyalty drivers (in-store and economic factors), analyzing the role that PLs play among different types of retailers. Data were collected through an online survey. Using structural equation modeling, we...
This volume scrutinises the main challenges faced by States in their current international economic relations from an interdisciplinary perspective. It combines legal research with political and economic analysis and favours dialogue among scientific disciplines. Readers are offered a series of in-depth studies on a rich variety of topics: how to r...
In this study we follow an integrated approach- combining in-store characteristics and economic factors- to assess the role of private labels (PLs) as a driver of store loyalty, across different types of retailers. We apply structural equation modeling to a large survey collected online, with results at aggregate level indicating that PLs loyalty i...
We review the main budgetary measures not accepted by the Portuguese Constitutional Court in the Budget Laws of 2012, 2013 and 2014. Considering the feedback effect of the fiscal impulse, the impact on the budget balance is -0.42% and of -0.34% of GDP respectively for 2013 and for 2014; in both years the impact of the fiscal expansion could result...
Purpose
– The aim of this paper is to evaluate the human capital and social capital of managers and the influence of these attributes on the performance of small and medium-sized Portuguese companies.
Design/methodology/approach
– The structural modeling approach was applied to a sample of 199 small and medium-sized companies aged between 3 and 15...
This paper uses logistic regression analysis to examine how intramural and extramural R&D, acquisition of machinery, equipment and software, acquisition of external knowledge, training, market introduction and other procedures and technical preparations determine the innovation behaviour of manufacturing and service firms. We adopt a multidimension...
This study introduces a new distance measure for clustering financial time series based on variance ratio test statistics. The proposed metric attempts to assess the level of interdependence of time series from the point of view of return predictability. Simulation results show that this metric aggregates time series according to their serial depen...
This paper uses factor analysis methods to identify structures associated with human and social capital in a small country with an open-economy, based on a survey of small- and medium-sized companies across different sectors. The purpose of this research is to investigate the influences of entrepreneurial and managerial behaviours on the relationsh...
This study investigates the presence of deterministic dependencies in interna-tional stock markets using recurrence plots and recurrence quantification analysis (RQA). The results are based on a large set of free float-adjusted market capital-ization stock indices, covering a period of 15 years. The statistical tests suggest that the dynamics of st...
This paper deals with hypothesis testing for independent time series with unequal length. It proposes a spectral test based on the distance between the periodogram ordinates and a parametric test based on the distance between the parameter estimates of fitted autoregressive moving average models. Both tests are compared with a likelihood ratio test...
This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical...
In this article, we examine the daily water demand forecasting performance of double seasonal univariate time series models (Holt-Winters, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. A within-week seasonal cycle and a within-year seasonal cycle are accommodated in the various model speci…cations to capture both seasonal...
The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed hist...
In statistical data analysis it is often important to compare, classify, and cluster dierent time series. For these purposes various methods have been proposed in the literature, but they usually assume time series with the same sample size. In this paper, we propose a spectral domain method for han- dling time series of unequal length. The method...
This study explores the interconnection between human factors and social factors and analyses the relations influenced by the specific activity and age of firms. A statistical approach is implemented which applies factor analysis techniques, based on a sample of small and medium sized firms from four sectors of activity which are between four and f...
In this paper we employ variance ratio tests of the random walk hypothesis to investigate the interdependence of global equity markets in terms of the predictability of equity index returns and how the clustering pattern has evolved in recent years. The study is based on almost 15 years of daily returns of free float-adjusted market capitalization...
Previous studies have investigated the comovements of international equity markets by using correlation, cointegration, common factor analysis, and other approaches. In this paper, we investigate the stochastic structure of major euro and non-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We u...
The comparison and classification of time series is an important issue in practical time series analysis. For these purposes, various methods have been proposed in the literature, but all have shortcomings, especially when the observed time series have different sample sizes. In this paper, we propose spectral domain methods for handling time serie...
This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree...
In this paper, we examine the daily water demand forecasting performance of double seasonal univariate time series models (Exponential Smoothing, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. We investigate whether combining forecasts from different methods and from different origins and horizons could improve forecast ac...
Previous studies have investigated the comovements of international equity returns by using mean correlations, cointegration, common factor analysis, and other approaches. This paper investigates the evolution of the affinity among major euro and non-euro area stock markets in the period 1966-2006 by using distance-based methods for clustering anal...
In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the generalized autoregressive conditional heteroskedasticity (GARCH) models we estimate the distances between the stock return volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of diff...
The statistical discrimination and clustering literature has studied the problem of identifying similarities in time series data. Some studies use non-parametric approaches for splitting a set of time series into clusters by looking at their Euclidean distances in the space of points. A new measure of distance between time series based on the norma...
The forecast plays an important role in the planning, the decision-making and control in any domain of activity, including the sportive phenomenon of the soccer. The experience has shown that the extrapolative or not casual models (univariate models), that use only the information of its past values to forecast the future, can often predict future...
We propose a periodogram-based metric for classification and clustering of time series with different sample sizes. For such cases, we know that the Euclidean distance between the periodogram ordinates cannot be used. One possible way to deal with this problem is to interpolate lineary one of the periodograms in order to estimate ordinates of the s...
Most of economic and financial time series have a nonstationary behavior. There are different types of nonstationary processes, such as those with stochastic trend and those with deterministic trend. In practice, it can be quite difficult to distinguish between the two processes. In this paper, we compare random walk and determinist trend processes...
The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARC...
Several authors have been investigating which factors influence academic performance in undergraduate business and accounting courses. However, most of these studies are not conclusive and some results are contradictory. This study aims to determine which demographic (age, sex, professional status, place of residence) and academic (entrance score,...
Os métodos estruturais de modelização de equações simultâneas usam a teoria económica para descrever as relações entre importantes variáveis económicas. Contudo, na maioria dos casos, a teoria económica não consegue estabelecer uma especificação rigorosa da relação dinâmica entre essas variáveis e, além disso, os processos de estimação e inferência...
One thousand six hundred Ornithodoros (Pavlovskyella) marocanus Velu larvae were fed on a pig infected with African swine fever virus (titer: 10(7.4) HAd50/ml), and 1,600 larvae were fed on an uninfected pig. Ticks in each group were compared for mortality rates, mean time to death for ticks that died, mean time from feeding to either molting or ec...
The establishment of epidemiological studies of African swine fever involves the collection of large numbers of the soft tick, Ornithodoros erraticus, to assess the maintenance and spread of the disease in the semi-arid southern areas of Portugal.An on-farm monitoring system involving solid carbon dioxide trapping of ticks was used. This capture me...
Three laboratory colonies of the argasid tick Onithodoros moubata porcinus van der Merwe were started from collections made in 1983 at three different sites in Zimbabwe. All of the colonies contained ticks infected with African swine fever (ASF) virus that was readily transmitted by bite to domestic pigs. Although they were maintained on virus-free...
This paper uses structural equation modeling to examine the linkages between financial performance, sporting performance and stock market performance for English football clubs over the period from 1995 to 2007. The results indicate that there is a strong correlation between financial and sporting latent constructs. Additionally, the study indicate...
In this article, we examine the daily water demand forecasting performance of double seasonal univariate time series models (Holt-Winters, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. A within-week seasonal cycle and a within-year seasonal cycle are accommodated in the various model speci…cations to capture both seasonal...
RESUMO O presente artigo pretende apresentar os principais resultados de um estudo empírico de modelação da série cronológica da taxa de juro nominal da operação activa do crédito a particulares em Portugal realizado por Caiado (1997). Com base na metodologia dos modelos ARIMA com variáveis de intervenção e detecção de outliers , vai avaliar-se o i...
The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARC...
Resumo No presente artigo analisam-se as relações de equilíbrio e de causalidade entre as taxas de juro bancárias activas e passivas e a inflação em Portugal para o período 1987-2000. Através dos testes de cointegração e de causalidade à Granger, pretende-se mostrar que as variações no nível geral dos preços produzem um efeito sobre as taxas de jur...
Several authors have been investigating which factors influence academic performance in undergraduate business and accounting courses. However, most of these studies are not conclusive and some results are contradictory. This study aims to determine which demographic (age, sex, professional status, place of residence) and academic (entrance score,...