Cristina Amado : Citation Profile


Are you Cristina Amado?

Universidade do Minho (50% share)
Universidade do Minho (50% share)

5

H index

4

i10 index

130

Citations

RESEARCH PRODUCTION:

5

Articles

14

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 13
   Journals where Cristina Amado has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 11 (7.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pam81
   Updated: 2020-02-22    RAS profile: 2019-10-23    
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Relations with other researchers


Works with:

Teräsvirta, Timo (9)

Silvennoinen, Annastiina (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Cristina Amado.

Is cited by:

Teräsvirta, Timo (20)

Silvennoinen, Annastiina (14)

Demetrescu, Matei (8)

Bauwens, Luc (7)

Kruse, Robinson (7)

Zanetti Chini, Emilio (7)

Dufays, Arnaud (6)

Gallo, Giampiero (6)

Christiansen, Charlotte (5)

Laurent, Sébastien (5)

Conrad, Christian (5)

Cites to:

Teräsvirta, Timo (31)

Bollerslev, Tim (17)

Engle, Robert (16)

Silvennoinen, Annastiina (8)

Van Bellegem, Sebastien (7)

Jagannathan, Ravi (6)

Feng, Yuanhua (5)

Lastrapes, William (4)

Baillie, Richard (4)

Gonzalo, Jesus (4)

Rangel, Jose (4)

Main data


Where Cristina Amado has published?


Recent works citing Cristina Amado (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2018The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016. (2018). Teräsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2018-15.

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2019Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2019). Teräsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2019-18.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2019Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2019The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016. (2019). Teräsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:1-24.

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2018Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets. (2018). Ngene, Geoffrey ; Mungai, Ann N ; Post, Jordin A. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:181-198.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:711-732.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815.

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2018Testing for misspecification in the short-run component of GARCH-type models. (2018). Flachaire, Emmanuel ; Chuffart, Thomas ; Peguin-Feissolle, Anne. In: Post-Print. RePEc:hal:journl:hal-02083772.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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2019A Time-Frequency Analysis of Sovereign Debt Contagion in Europe. (2019). Aguiar-Conraria, Luís ; Soares, Maria Joana ; Ojo, Mustapha Olalekan. In: NIPE Working Papers. RePEc:nip:nipewp:11/2019.

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2017Generalizing Smooth Transition Autoregressions. (2017). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0138.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0156.

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2017A general class of SemiGARCH models based on the Box-Cox transformation. (2017). Feng, Yuanhua ; Peitz, Christian ; Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:104.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2017Spurious regression due to neglected of non-stationary volatility. (2017). Jin, Hao ; Zhang, Jinsuo. In: Computational Statistics. RePEc:spr:compst:v:32:y:2017:i:3:d:10.1007_s00180-016-0687-x.

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2017On the influence of US monetary policy on crude oil price volatility. (2017). Scognamillo, Antonio ; Amendola, Alessandra ; Candila, Vincenzo. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1069-5.

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2017A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model. (2017). Teräsvirta, Timo ; Catani, Paul ; Yin, Meiqun ; Terasvirta, Timo. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:599-621.

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2019Testing for an omitted multiplicative long-term component in GARCH models. (2019). Schienle, Melanie ; Conrad, Christian. In: Working Paper Series in Economics. RePEc:zbw:kitwps:121.

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Works by Cristina Amado:


YearTitleTypeCited
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
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paper26
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 26
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 26
paper
2011Modelling Volatility by Variance Decomposition In: CREATES Research Papers.
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paper50
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 50
article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 50
paper
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers.
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paper15
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 15
paper
2014Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 15
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
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paper30
2014Modelling changes in the unconditional variance of long stock return series.(2014) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 30
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 30
paper
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
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2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 0
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2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
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This paper has another version. Agregated cites: 0
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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
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paper1
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 1
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2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach In: NIPE Working Papers.
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paper1
2017Specification and testing of multiplicative time-varying GARCH models with applications In: Econometric Reviews.
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article7

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