Cristina Amado : Citation Profile


Are you Cristina Amado?

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

5

H index

5

i10 index

196

Citations

RESEARCH PRODUCTION:

5

Articles

14

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 19
   Journals where Cristina Amado has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 11 (5.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pam81
   Updated: 2023-01-08    RAS profile: 2019-10-23    
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Relations with other researchers


Works with:

Teräsvirta, Timo (6)

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 (33)

Silvennoinen, Annastiina (14)

Gallo, Giampiero (12)

Demetrescu, Matei (11)

Conrad, Christian (9)

Pipień, Mateusz (7)

Zanetti Chini, Emilio (7)

Christiansen, Charlotte (7)

Kruse, Robinson (7)

Bauwens, Luc (7)

Amendola, Alessandra (7)

Cites to:

Teräsvirta, Timo (43)

Bollerslev, Tim (19)

Engle, Robert (18)

Silvennoinen, Annastiina (9)

Van Bellegem, Sebastien (7)

Jagannathan, Ravi (7)

Gallo, Giampiero (5)

Lastrapes, William (5)

Brownlees, Christian (5)

Baillie, Richard (5)

Feng, Yuanhua (5)

Main data


Where Cristina Amado has published?


Recent works citing Cristina Amado (2022 and 2021)


YearTitle of citing document
2021Is 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.

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2021Four 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.

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2022A 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.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2022Inference 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.

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2021Stock 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.

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2021Adaptive 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.

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2022Residual-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.

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2021Choosing 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.

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2021A 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.

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2021Long- 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.

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2022Financial 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.

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2021Does 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.

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2022Canadian 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.

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2022A 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.

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2021Testing 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.

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2021Conditional 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.

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2022An Infinite Hidden Markov Model with Stochastic Volatility. (2022). Yang, Qiao ; Maheu, John M ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:115456.

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2021Modelling Volatility Cycles: The (MF)2 GARCH Model. (2021). Engle, Robert F ; Conrad, Christian. In: Working Paper series. RePEc:rim:rimwps:21-05.

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2022Quantitative 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.

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2021Common 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.

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2021On 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.

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2022Robust 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.

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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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paper37
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: 37
paper
2008Modelling 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
2011Modelling Volatility by Variance Decomposition In: CREATES Research Papers.
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paper73
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 73
article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 73
paper
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers.
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paper21
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: 21
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: 21
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
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paper38
2014Modelling 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
2012Modelling 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
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
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paper3
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 3
paper
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: 3
article
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
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paper3
2018Models 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
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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article20

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