5
H index
5
i10 index
196
Citations
Universidade do Minho (50% share) | 5 H index 5 i10 index 196 Citations RESEARCH PRODUCTION: 5 Articles 14 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Cristina Amado. | Is cited by: | Cites to: |
Year | Title of citing document |
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2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07. Full description at Econpapers || Download paper |
2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13. Full description at Econpapers || Download paper |
2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01. Full description at Econpapers || Download paper |
2021 | Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923. Full description at Econpapers || Download paper |
2022 | Inference on Multiplicative Component GARCH without any Small-Order Moment. (2022). Zakoian, Jean-Michel ; Kandji, Baye Matar ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-09. Full description at Econpapers || Download paper |
2021 | Stock market volatility and public information flow: A non-linear perspective. (2021). Borup, Daniel ; Bertelsen, Kristoffer Pons ; Jakobsen, Johan Stax. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001828. Full description at Econpapers || Download paper |
2021 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329. Full description at Econpapers || Download paper |
2022 | Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460. Full description at Econpapers || Download paper |
2021 | Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28. Full description at Econpapers || Download paper |
2021 | A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505. Full description at Econpapers || Download paper |
2021 | Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281. Full description at Econpapers || Download paper |
2022 | Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473. Full description at Econpapers || Download paper |
2021 | Does US partisan conflict affect China’s foreign exchange reserves?. (2021). Zhang, Zhaoyong ; Shi, Yanlin ; Jiang, Xiandeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:21-33. Full description at Econpapers || Download paper |
2022 | Canadian stock market volatility under COVID-19. (2022). Xu, Dinghai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:77:y:2022:i:c:p:159-169. Full description at Econpapers || Download paper |
2022 | A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model. (2022). Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian ; Wade, Glen ; Terasvirta, Timo. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:3:p:30-:d:896537. Full description at Econpapers || Download paper |
2021 | Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance. (2021). Ota, Yasushi ; Maki, Daiki. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10014-4. Full description at Econpapers || Download paper |
2021 | Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics. (2021). Zhang, Xibin ; Keith, Jonathan ; Pourkhanali, Armin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-15. Full description at Econpapers || Download paper |
2022 | An Infinite Hidden Markov Model with Stochastic Volatility. (2022). Yang, Qiao ; Maheu, John M ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:115456. Full description at Econpapers || Download paper |
2021 | Modelling Volatility Cycles: The (MF)2 GARCH Model. (2021). Engle, Robert F ; Conrad, Christian. In: Working Paper series. RePEc:rim:rimwps:21-05. Full description at Econpapers || Download paper |
2022 | Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3. Full description at Econpapers || Download paper |
2021 | Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence. (2021). Koopman, Siem Jan ; D'Innocenzo, Enzo ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210057. Full description at Econpapers || Download paper |
2021 | On time?varying amplitude HGARCH model. (2021). Basatini, Ferdous Mohammadi ; Rezakhah, Saeid ; Valizadeh, Toktam. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2538-2547. Full description at Econpapers || Download paper |
2022 | Robust inference under time?varying volatility: A real?time evaluation of professional forecasters. (2022). Krusebecher, Robinson ; Hanck, Christoph ; Demetrescu, Matei. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1010-1030. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 37 |
2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2011 | Modelling Volatility by Variance Decomposition In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 73 |
2013 | Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | article | |
2011 | Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | paper | |
2011 | Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
2011 | Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2014 | Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations.(2014) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2012 | Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 38 |
2014 | Modelling changes in the unconditional variance of long stock return series.(2014) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
2012 | Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2017 | Modelling and forecasting WIG20 daily returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2018 | Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach In: NIPE Working Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Specification and testing of multiplicative time-varying GARCH models with applications In: Econometric Reviews. [Full Text][Citation analysis] | article | 20 |
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