Groups & Publications

Groups & Publications

Curriculum Vitae

Profile

Personal

Name Luís Filipe Farias de Sousa Martins
Department Department of Quantitative Methods for Management and Economics
Category Assistant Professor with "Agregação"
Research group Economics
Last update 2013-12-13 22:26:07

Teaching and Research Interests

  • Econometria

Qualifications

Type Course Institution Year
Aggregation Apresentação de Provas Publicas de Agregação Universidade Nova, School of Business and Economics 2014
Doctorate degree Economia Pennsylvania State University 2005
Master degree Matemática Aplicada à Economia e à Gestão Instituto Superior de Economia e Gestão - UTL 1998
Undergraduate degree Economia Instituto Superior de Economia e Gestão - UTL 1995

Contacts

E-mail
OfficeB7.06
Post box170
Phone217903439
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Academic activities

Courses

"Econometrics II" (Coordinator)
"Introduction to Econometrics" (Coordinator)
"Macro-Econometrics I" (Coordinator)
"Macro-Econometrics II" (Coordinator)
"Optimization"
"Research Seminar in Economics (12 Ects)"

Supervisions

Master Thesis

Gonçalo André Martins Ribeiro, "Macroeconomic Determinants of International Currencies: Bond shares after the internationalization of the Renminbi ", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2016
Eliana Raquel Mendes Ferreira, "O Mercado Acionista como Indicador Avançado: o caso português", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2016
João Paulo Alves da Cunha Marques da Cruz, "O ajustamento das importações portuguesas: cíclico ou estrutural? ", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2016
Daniel Fernandes Gonçalves, "Bussiness Cycle Dynamics Across Europe: A Cluster Analysis ", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2016
Maria João Pereira Figueiredo, "Risco, Retorno e Falta de Liquidez dos Produtos Bancários no Mercado Português", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2016
José Jorge Gomes Marques Esperança, "Estimação da Procura Residencial de Eletricidade em Portugal", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2015
Ricardo José Alves Simões, "Balancing a Growing Public Debt and Economic Growth: The case of the EU-15 ", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2015
Afonso Fernandes Ribeiro Moniz Moreira, "Anticipating Price Exuberance", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2015
Cristiano Duarte Oliveira, "The Interaction between Business and Financial Cycles, in USA, Japan and UK", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2014
Ruben João Fernandes Espanhol, "The Laffer Curve - An Empirical Estimation for Eurozone Member Countries", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2014
Ana Filipa Neves Cardoso, "A Relação entre os Choques do Petróleo e Algumas Variáveis Macroeconómicas Referentes à Zona Euro: Uma análise Empírica", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2013
Rui Manuel Lopes Rodrigues, "Condicionantes do multiplicador: revisão da literatura e aplicação prática", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2013
Liliana Vanessa Sobreira Gomes, "A Influência do Crédito Bancário no Desemprego em Portugal desde 1990: Uma Análise Utilizando o Modelo Vetorial com Mecanismo de Correcção de Erros ", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2012
Filipa Garcia Pereira da Fonseca, "Impacto da alteração das taxas directoras do BCE nos mercados de Obrigações de Tesouro e Acções no período 2000-2011 ", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2012
Péricles Augusto Semedo Sá Nogueira, "A Balança de Pagamentos de uma Pequena Economia Aberta: O Caso de Cabo Verde", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2012
Filipa Inês Gil Silva, "The Impact of Renewable Energy Sources on Economic Growth and CO2 Emissions: Evidence from Iberian Peninsula", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2012
Danielson Vicente Fortes Ramos Pinto, "Relating Sovereing Debt Ratings to Different Practices of Exchange Rate Policy: An Empirical Analysis", Luís Filipe Farias de Sousa Martins, Master Thesis, Concluded, 2012

Final Project

Joana Bárbara Monteiro Batista, "Unconventional Monetary Policies in the Eurozone and the Provision of Credit: An events study approach ", Luís Filipe Farias de Sousa Martins, Final Project, Concluded, 2016
Yi Gan, "An Empirical Analysis of the Influence of Exchange Rate and Prices on Tourism Demand ", Luís Filipe Farias de Sousa Martins, Final Project, Concluded, 2015
Miriam Rute Ferreira Lobato da Rosa, "", Luís Filipe Farias de Sousa Martins, Final Project, Concluded, 2011

Scientific Activities

Scientific Articles in International Journals

Martins, L. F., Gan, Y. & Ferreira-Lopes, A. (2017). An empirical analysis of the influence of macroeconomic determinants on World tourism demand. Tourism Management. 61, 248-260, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L. F. & Perron, P. (2016). Improved tests for forecast comparisons in the presence of instabilities. Journal of Time Series Analysis. 37 (5), 650-659, Ciência-IUL, Indexada (SCOPUS/ISI)
Horta, P., Lagoa, S. & Martins, L. F. (2016). Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas. Quantitative Finance. 16 (4), 625-637, Ciência-IUL, Indexada (SCOPUS/ISI)
Pires, P., Pereira, J. & Martins, L. F. (2015). The empirical determinants of credit default swap spreads: a quantile regression approach. European Financial Management. 21 (3), 556-589, Ciência-IUL, Indexada (SCOPUS/ISI)
Sousa, C., Roseta-Palma, C. & Martins, L.F. (2015). Economic growth and transport: on the road to sustainability. Natural Resources Forum. 39 (1), 3-14, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L.F. & Rodrigues, P. (2014). Testing for persistence change in fractionally integrated models: an application to world inflation rates. Computational Statistics and Data Analysis. 76, 502-522, Ciência-IUL, Indexada (SCOPUS/ISI)
Horta, P., Martins, L. F. & Lagoa, S. (2014). The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion. International Review of Financial Analysis. 35, 140-153, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L. F. & Gabriel, V. J. (2014). Modelling long run comovements in equity markets: a flexible approach. Journal of Banking and Finance. 47, 288-295, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L. F. & Gabriel, V. J. (2014). Linear instrumental variables model averaging estimation. Computational Statistics and Data Analysis. 71, 709-724, Ciência-IUL, Indexada (SCOPUS/ISI)
Gualberti, G., Martins, L. F. & Bazilian, M. (2014). An econometric analysis of the effectiveness of development finance for the energy sector. Energy for Sustainable Development. 18 (1), 16-27, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L. F. & Gabriel, V. J. (2013). Time-varying cointegration, identification, and cointegration spaces. Studies in Nonlinear Dynamics and Econometrics. 17 (2), 199-209, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L. F. (2013). Testing for parameter constancy using Chebyshev time polynomials. The Manchester School. 81 (4), 586-598, Ciência-IUL, Indexada (SCOPUS/ISI)
Gabriel, V.J. & Martins, L.F. (2011). Cointegration tests under multiple regime shifts: An application to the stock price-dividend relationship. Empirical Economics. 41 (3), 639-662, Ciência-IUL, Indexada (SCOPUS/ISI)
Gabriel, V. J. & Martins, L. F. (2010). The cost channel reconsidered: a comment using an identification-robust approach. Journal of Money, Credit and Banking. 42 (8), 1703-1712, Ciência-IUL, Indexada (SCOPUS/ISI)
Bierens, H. & Martins, L. F. (2010). Time varying cointegration. Econometric Theory. 26 (5), 1453-1490, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L. F. & Gabriel, V. J. (2009). New Keynesian Phillips Curves and potential identification failures: a Generalized Empirical Likelihood analysis. Journal of Macroeconomics. 31 (4), 561-571, Ciência-IUL, Indexada (SCOPUS/ISI)
Martins, L. F. (2009). Unit root tests and dramatic shifts with infinite variance processes. Journal of Applied Statistics. 36 (5), 547-571, Ciência-IUL, Indexada (SCOPUS/ISI)
Gabriel, V.J. & Martins, L.F. (2004). On the Forecasting Ability of ARFIMA Models when Infrequent Breaks Occur. Econometrics Journal. 7, 455-475, Ciência-IUL

Books

Salgueiro, M.F., Mendes, D. A. & Martins, L. (2009). Temas em Métodos Quantitativos. Lisboa, Portugal. Sílabo., Ciência-IUL

Working Papers

Silva, M, Martins, L.F. & Lopes, H. (2015). http://bru-unide.iscte.pt/RePEc/pdfs/15-04.pdf. working paper series 2015-4, BRU - Instituto Universitário de Lisboa. 1-39, Ciência-IUL
Martins, L.F., Stephen Miller & Rangan Gupta (2014). A Time-Varying Approach of the US Welfare Cost of Inflation. working paper 2014-11, University of Connecticut, Department of Economics. 1-25, Ciência-IUL
Martins, L.F., Stephen Miller & Rangan Gupta (2014). A Time-Varying Approach of the US Welfare Cost of Inflation. working paper 201419, University of Pretoria, Department of Economics. 1-25, Ciência-IUL
Martins, L., Gualberti, G. & Bazilian, M. (2012). An Econometric Analysis of the Effectiveness of Develoopment Finance for the Energy Sector. working paper 2012.100, Fondazione Eni Enrico Mattei. 0-0, Ciência-IUL
Lagoa, S., Martins, L. & Paulo Jorge de Brito Horta (2011). Contagion Channels of the Subrprime Financial Crisis to the NYSE Euronext European Markets using Copulas. Working Paper DinamiaCET-IUL. 0-0, Ciência-IUL
Martins, L. (2011). Moment Conditions Model Averaging with an Application to a Forward-Looking Monetary Policy Reaction Function. working paper 16/2011 do Departamento de Estudos Económicos do Banco de Portugal. 0-0, Ciência-IUL

Printed in Scientific Book

Salgueiro, M.F., Mendes, D. A. & Martins, L. (2009). Temas em Métodos Quantitativos. Lisboa, Portugal. Sílabo., Ciência-IUL

Research Projects

National Government/ Organization contract research - New Developments in Cointegration Subject to Structural Changes, ISCTE-IUL, Principal Investigator, ISCTE-IUL, PTDC/ECO/68367/2006 (FCT project), 2008-2011
National Government/ Organization contract research - Robust Inference in Rational Expectation Models, ISCTE-IUL, Principal Investigator, ISCTE-IUL, PTDC/EGE-ECO/122093/2010 (FCT project), 2012-2014
International Government/ Organization contract research - Robust Inference in Estimated Monetary Policy Models, ISCTE-IUL and University of Surrey, Principal Investigator, ISCTE-IUL, B-39/10 (Tratado de Windsor, Acções Integradas Luso-Britânicas / 2010), July 2010 to May 2011

International Communications

Panel / Poster

Martins, L.F. (2016). Testing for Segmented Cointegration. Conference on New Trends and Developments in Econometrics., Ciência-IUL
Martins, L. (2010). Testing for Persistence Change in Fractionally Integrated Models. Sir Clive Granger Memorial Conference ., Ciência-IUL

Oral Presentation

Martins, L.F. (2016). A New Mechanism for Anticipating Price Exuberance. 69th European Meeting of the Econometrics Society ., Ciência-IUL
Martins, L.F. (2016). A New Mechanism for Anticipating Price Exuberance. Infiniti Conference on International Finance ., Ciência-IUL
Martins, L.F. (2016). Testing for Segmented Cointegration. 10th International Conference on Computational and Financial Econometrics., Ciência-IUL
Martins, L.F. (2015). Revisiting the Public Debt-Growth Relationship using Threshold Quantile Regression. 9th International Conference on Computational and Financial Econometrics., Ciência-IUL
Martins, L.F. (2014). Bootstrap Tests for Time Varying Cointegration. 10th BMRC-DEMS Conference ., Ciência-IUL
Martins, L.F. (2014). GMM-based Model Averaging. Annual Conference of the Royal Economic Society ., Ciência-IUL
Martins, L.F. (2014). Bootstrap Tests for Time Varying Cointegration. 8th Annual Meeting of the Portuguese Economic Journal ., Ciência-IUL
Martins, L.F. (2013). Linear Instrumental Variables Model Averaging Estimation. Annual Conference of the Royal Economic Society ., Ciência-IUL
Martins, L.F. (2013). Linear Instrumental Variables Model Averaging Estimation. Joint Statistical Meetings ., Ciência-IUL
Martins, L.F. (2013). Modelling Long Run Comovements in Equity Markets: a Flexible Approach. Infiniti Conference on International Finance ., Ciência-IUL
Martins, L. (2012). GMM-based Model Averaging. 66th European Meeting of the Econometrics Society ., Ciência-IUL
Martins, L. (2012). GMM-based Model Averaging . Workshop Statistical Inference in Complex/High-Dimensional Problems., Ciência-IUL
Martins, L. (2012). GMM-based Model Averaging . Conference in honor of Herman Bierens ., Ciência-IUL
Martins, L. (2012). GMM-based Model Averaging . 6th Annual Meeting of the Portuguese Economic Journal ., Ciência-IUL
Martins, L. (2012). GMM-based Model Averaging . 1st Meeting of the Portuguese Econometric Society ., Ciência-IUL
Martins, L. (2011). Assessing the Fed's Reaction Function with a Moment Conditions Model Averaging Estimator. Annual Meeting of the Association of Southern European Economic Theorists (ASSET)., Ciência-IUL
Martins, L. (2011). Interrupted Cointegration with an Application to International Contagion. 14th Applied Stochastic Models and Data Analysis International Conference., Ciência-IUL
Martins, L. (2011). Assessing the FED's Reaction Function with a Moment Conditions Model Averaging Estimator. 65th European Meeting of the Econometrics Society ., Ciência-IUL
Martins, L. (2010). Modeling Changes in the Number of Cointegrating Vectors. Fall 2010 Meeting of the Econometric Time Series European Research Network ., Ciência-IUL
Martins, L. (2010). Conditional Moment Restriction Estimation of Asset Pricing Models: Some Preliminary Results. International Atlantic Economic Society ., Ciência-IUL
Martins, L. (2008). Is There Really a Cost Channel? Evidence from US Data. 62nd European Meeting of the Econometric Society ., Ciência-IUL
Martins, L. (2008). What Drives Inflation? Testing Non-Nested Specifications of the New Keynesian Phillips Curve. Workshop on Model Selection ., Ciência-IUL

National Communications

Oral Presentation

Martins, L. (2010). Testing for Persistence Change in Fractionally Integrated Models. Fourth Meeting of the Portuguese Economic Journal ., Ciência-IUL

Other Activities

Academic Management Positions

Membro da Comissão Científica da Unidade de Investigação UNIDE-IUL (2014/2018)