M. Angeles Carnero : Citation Profile

Universidad de Alicante

9

H index

9

i10 index

589

Citations

RESEARCH PRODUCTION:

16

Articles

18

Papers

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 26
   Journals where M. Angeles Carnero has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 13 (2.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca153
   Updated: 2025-12-13    RAS profile: 2025-02-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with M. Angeles Carnero.

Is cited by:

Darné, Olivier (42)

Ruiz, Esther (22)

Jirjahn, Uwe (18)

CHARLES, Amelie (17)

Veiga, Helena (16)

PETIT, Pascale (14)

Medeiros, Marcelo (13)

L'Horty, Yannick (13)

Sucarrat, Genaro (12)

Ferrara, Laurent (11)

Dill, Verena (10)

Cites to:

Bollerslev, Tim (29)

Teräsvirta, Timo (18)

Engle, Robert (17)

Ruiz, Esther (13)

Sentana, Enrique (10)

Peña, Daniel (9)

Franses, Philip Hans (9)

Ooms, Marius (7)

Laurent, Sébastien (6)

Harvey, Andrew (6)

Zakoian, Jean-Michel (6)

Main data

Where M. Angeles Carnero has published?

Journals with more than one article published# docs
International Journal of Manpower2
SERIEs: Journal of the Spanish Economic Association2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)8
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística5
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing M. Angeles Carnero (2025 and 2024)

YearTitle of citing document
2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Log Heston Model for Monthly Average VIX. (2024). Sarantsev, Andrey ; Park, Ji Hyun. In: Papers. RePEc:arx:papers:2410.22471.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2024Beyond external pressures: How work conditions harm employees social and environmental responsibilities. (2024). Algamrh, Bakr ; Jahanshahi, Asghar Afshar. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:5:p:4292-4309.

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2025Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions. (2025). Cerasa, Andrea ; Zani, Alessandro. In: Applied Energy. RePEc:eee:appene:v:383:y:2025:i:c:s030626192500087x.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2025Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model. (2025). Zhang, Feipeng ; Luo, Qiong ; Chen, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002420.

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2024Modelling cycles in climate series: The fractional sinusoidal waveform process. (2024). Proietti, Tommaso ; Maddanu, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2024Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs. (2024). Cho, Dooyeon ; Rho, Seunghwa ; Baillie, Richard T. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:88-112.

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2024Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods. (2024). Bai, YU ; Xu, Xin ; Xie, Qichang ; Jia, Nanfei. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002664.

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2024Return and volatility spillovers between the raw material and electric vehicles markets. (2024). Zilberman, David ; Petit, Mathieu ; Janda, Karel ; Alekseev, Oleg. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005164.

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2025The role of geopolitical and climate risk in driving uncertainty in European electricity markets. (2025). Pellini, Elisabetta ; Cincinelli, Peter. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325000994.

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2024COVID-19, the Russian-Ukrainian conflict and the extreme spillovers between fossil energy, electricity, and carbon markets. (2024). Lin, Boqiang ; Ye, Yingjin ; Wang, Chonghao ; Cai, Sijie ; Que, Dingfei. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s036054422403175x.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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2024Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Polat, Onur. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s154461232401208x.

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2025Does multi-scale GARCH information enhance volatility prediction?. (2025). Yu, Rentian ; Xiao, Haotian ; Zhu, Yukun ; Zhang, Gongqiu. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004593.

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2025The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers. (2025). Li, Jie ; Smallwood, Aaron D. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000134.

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2024Fairness of the first-come, first-served rule on the rental housing market: Insights from a hypothetical survey experiment. (2024). Bunel, Mathieu ; Tovar, Elisabeth. In: Journal of Housing Economics. RePEc:eee:jhouse:v:65:y:2024:i:c:s1051137724000238.

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2024Discrimination in the Austrian rental housing market: The effect of information concerning first and second-generation immigrant status. (2024). Riess, Hermann ; Weichselbaumer, Doris. In: Journal of Housing Economics. RePEc:eee:jhouse:v:66:y:2024:i:c:s1051137724000494.

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2024The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources. (2024). Yaqoob, Tanzeela ; Maqsood, Arfa. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000333.

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2024Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454.

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2024Discrimination against gay and transgender people in Latin America: A correspondence study in the rental housing market. (2024). Pinto, Maria Florencia ; Marchionni, Mariana ; Laguinge, Luis ; Coleff, Joaquin ; Berniell, Inés ; Abbate, Nicolás ; MacHelett, Margarita ; Pedrazzi, Julian. In: Labour Economics. RePEc:eee:labeco:v:87:y:2024:i:c:s0927537123001616.

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2025Equal price for equal place? Demand-driven racial discrimination in the housing market. (2025). Waltl, Sofie ; Menta, Giorgia ; Lepinteur, Anthony. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:111:y:2025:i:c:s0166046225000067.

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2025Immigrants and entrepreneurship: A road for talent or just the only road?. (2025). Iranzo, Susana. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:112:y:2025:i:c:s0166046225000109.

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2024The logGARCH stochastic volatility model. (2024). Hamrat, Malika ; Guerbyenne, Hafida ; Hamdi, Fayal. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548.

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2024Joint Component Estimation for Electricity Price Forecasting Using Functional Models. (2024). Shah, Ismail ; Lisi, Francesco. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:14:p:3461-:d:1434818.

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2024Dealing with Anomalies in Day-Ahead Market Prediction Using Machine Learning Hybrid Model. (2024). Kania, Krzysztof ; Pilot, Karol ; Ganczarek-Gamrot, Alicja. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:17:p:4436-:d:1471177.

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2025On GARCH and Autoregressive Stochastic Volatility Approaches for Market Calibration and Option Pricing. (2025). Zhao, Yang ; Pang, Tao. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:31-:d:1587783.

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2024The Volatility Dynamics of Prices in the European Power Markets during the COVID-19 Pandemic Period. (2024). Stankovi, Zorana Zoran ; Boi, Zorana ; Pcurar, Rzvan ; Milosavljevi, Pea ; Rajic, Milena Nebojsa ; Sabu, Emilia ; Borzan, Cristina. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:6:p:2426-:d:1357144.

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2025A Local-Temporal Convolutional Transformer for Day-Ahead Electricity Wholesale Price Forecasting. (2025). Roussac, Craig A ; Berry, Adam ; Tian, Hongda ; Zhang, Bowen. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:12:p:5533-:d:1680043.

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2024Soft Skills, Competition, and Hiring Discrimination. (2024). Janzen, Sarah ; Ghorpade, Yashodhan ; Valencia, Christian ; Rahman, Amanina Abdur. In: IZA Discussion Papers. RePEc:iza:izadps:dp16993.

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2024Discrimination in the Austrian Rental Housing Market: The Effect of Information Concerning First and Second-Generation Immigrant Status. (2024). Weichselbaumer, Doris ; Riess, Hermann. In: IZA Discussion Papers. RePEc:iza:izadps:dp17403.

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2025Management Practices, Workplace Health Promotion and Productivity. (2025). Jirjahn, Uwe ; Mohrenweiser, Jens. In: IZA Discussion Papers. RePEc:iza:izadps:dp18059.

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2024M-Quantile Estimation for GARCH Models. (2024). Reisen, Valderio A ; Patrocinio, Patrick F ; Bondon, Pascal ; Danilevicz, Ian M ; Monte, Edson Z. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10398-z.

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2024Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets. (2024). Rodríguez, Gabriel ; Rodrguez, Gabriel ; Abanto-Valle, Carlos A ; Garrafa-Aragn, Hernn B ; Castro, Luis M. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10490-4.

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2025Fast Computation of Randomly Walking Volatility with Chained Gamma Distributions. (2025). Zhang, DI ; Zhou, Youzhou. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10777-0.

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2024The non-linear impact of monetary policy on shifts in economic policy uncertainty: evidence from the United States of America. (2024). Dima, Tefana Maria. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:3:d:10.1007_s10663-024-09618-y.

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2024Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis. (2024). GUPTA, RANGAN ; Gallo, Giampiero ; Cepni, Oguzhan ; Candila, Vincenzo. In: Working Papers. RePEc:pre:wpaper:202437.

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2025Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin. (2025). Chatrath, Arjun ; Hatamerad, Saman ; Raffiee, Kambiz ; Adrangi, Bahram. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:75-105.

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2025Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty. (2025). Raffiee, Kambiz ; Chatrath, Arjun ; Adrangi, Bahram. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:15-44.

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2025Uncertainty and Volatility: Sectoral Equity Responses to Economic and Policy Shocks in the U.S.. (2025). Kresta, Ales ; Hatamerad, Saman ; Adrangi, Bahram ; Tichy, Tomas. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:77-110.

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2024The Experience of Housing Discrimination and Housing Deprivation Across Social Groups in Ireland. (2024). Matre, Bertrand ; Gritti, Davide ; Russell, Helen ; Grotti, Raffaele. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:175:y:2024:i:1:d:10.1007_s11205-024-03438-0.

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2024Understanding relationships with the Aggregate Zonal Imbalance using copulas. (2024). Ravazzolo, F ; Gatto, A ; Durante, F. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:2:d:10.1007_s10260-023-00736-8.

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2024Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution. (2024). Rossini, Luca ; Lucas, Andre ; Peerlings, Dewi ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240049.

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2025Management Practices, Workplace Health Promotion and Productivity. (2025). Jirjahn, Uwe ; Mohrenweiser, Jens. In: Research Papers in Economics. RePEc:trr:wpaper:202505.

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2024Soft Skills, Competition, and Hiring Discrimination. (2024). Janzen, Sarah ; Ghorpade, Yashodhan ; Abdur, Amanina Binti ; Valencia, Christian. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:10755.

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2025A Multifrequency Data Fusion Deep Learning Model for Carbon Price Prediction. (2025). Liu, Yongmei ; Xiao, Canran. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:436-458.

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2025Management Practices, Workplace Health Promotion and Productivity. (2025). Jirjahn, Uwe ; Mohrenweiser, Jens. In: GLO Discussion Paper Series. RePEc:zbw:glodps:1643.

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Works by M. Angeles Carnero:

YearTitleTypeCited
2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article160
2005Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 160		paper
2007Effects of outliers on the identification and estimation of GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article56
2014Estimating VAR-MGARCH models in multiple steps In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article20
2012Estimating VAR-MGARCH models in multiple steps.(2012) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2021Outliers and misleading leverage effect in asymmetric GARCH-type models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2018Outliers and misleading leverage effect in asymmetric GARCH-type models.(2018) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2001Outliers and conditional autoregressive heteroscedasticity in time series In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper24
2001Is stochastic volatility more flexible than garch? In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper4
2003Detecting level shifts in the presence of conditional heteroscedasticity. In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper3
2004DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY.(2004) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2004Spurious and hidden volatility In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
2004SPURIOUS AND HIDDEN VOLATILITY.(2004) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2014Identification of asymmetric conditional heteroscedasticity in the presence of outliers In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper4
2016Identification of asymmetric conditional heteroscedasticity in the presence of outliers.(2016) In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper22
2003Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2004Effects of Level Outliers on the Identification and Estimation of GARCH Models In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper1
2012Estimating GARCH volatility in the presence of outliers In: Economics Letters.
[Full Text][Citation analysis]		article42
2019Leverage effect in energy futures revisited In: Energy Economics.
[Full Text][Citation analysis]		article6
2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article2
2010Information and discrimination in the rental housing market: Evidence from a field experiment In: Regional Science and Urban Economics.
[Full Text][Citation analysis]		article104
2009Information and discrimination in the rental housing market: evidence from a field experiment.(2009) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 104		paper
2012Mobbing and workers’ health: empirical analysis for Spain In: International Journal of Manpower.
[Full Text][Citation analysis]		article3
2012Mobbing and workers’ health: empirical analysis for Spain In: International Journal of Manpower.
[Full Text][Citation analysis]		article8
2010Mobbing and workers health: an empirical analysis for Spain.(2010) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2018Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS In: Energies.
[Full Text][Citation analysis]		article8
2008Estimating and Forecasting GARCH Volatility in the Presence of Outiers In: Working Papers. Serie AD.
[Full Text][Citation analysis]		paper3
2011Rental housing discrimination and the persistence of ethnic enclaves In: Working Papers. Serie AD.
[Full Text][Citation analysis]		paper15
2011Rental Housing Discrimination and the Persistence of Ethnic Enclaves.(2011) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2015Rental housing discrimination and the persistence of ethnic enclaves.(2015) In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article101
2015Explaining transactions in time banks in economic crisis In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2010Mobbing and its determinants: the case of Spain In: Applied Economics.
[Full Text][Citation analysis]		article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team