M. Angeles Carnero : Citation Profile


Are you M. Angeles Carnero?

Universidad de Alicante

9

H index

9

i10 index

393

Citations

RESEARCH PRODUCTION:

13

Articles

18

Papers

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 21
   Journals where M. Angeles Carnero has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 12 (2.96 %)

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   Permalink: http://citec.repec.org/pca153
   Updated: 2020-10-17    RAS profile: 2020-02-12    
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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 (33)

Ruiz, Esther (20)

CHARLES, Amelie (17)

Rodríguez Caballero, Carlos (15)

Veiga, Helena (15)

Medeiros, Marcelo (12)

Sucarrat, Genaro (12)

Jirjahn, Uwe (10)

Escribano, Alvaro (10)

L'Horty, Yannick (10)

McAleer, Michael (10)

Cites to:

Bollerslev, Tim (24)

Teräsvirta, Timo (16)

Engle, Robert (13)

Ruiz, Esther (13)

Peña, Daniel (10)

Franses, Philip Hans (9)

Sentana, Enrique (7)

Darné, Olivier (6)

White, Halbert (6)

Ooms, Marius (6)

Chkili, Walid (6)

Main data


Where M. Angeles Carnero has published?


Journals with more than one article published# docs
SERIEs: Journal of the Spanish Economic Association2

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

Recent works citing M. Angeles Carnero (2020 and 2019)


YearTitle of citing document
2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

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2019Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093.

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2019Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models. (2019). Rossini, Luca ; Bohte, Rick. In: Papers. RePEc:arx:papers:1909.06599.

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2020Segregation and urban spatial structure in Barcelona. (2020). Nicolini, Rosella ; Roig, Jose Luis ; Garcialopez, Miquelangel. In: Papers in Regional Science. RePEc:bla:presci:v:99:y:2020:i:3:p:749-772.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2019Bayesian deep learning based method for probabilistic forecast of day-ahead electricity prices. (2019). Portolani, Pietro ; Matteucci, Matteo ; Brusaferri, Alessandro ; Vitali, Andrea. In: Applied Energy. RePEc:eee:appene:v:250:y:2019:i:c:p:1158-1175.

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2019Capturing deep tail risk via sequential learning of quantile dynamics. (2019). Yan, Xing ; Wu, QI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s016518891930168x.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

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2020Comparing the forecasting performances of linear models for electricity prices with high RES penetration. (2020). Gianfreda, Angelica ; Rossini, Luca ; Ravazzolo, Francesco. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:974-986.

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2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. (2020). Ruiz, Esther ; Moura, Guilherme V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485.

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2019Intermediation and discrimination in an investment game: An experimental study. (2019). Peterle, Emmanuel ; Flage, Alexandre ; Cochard, Franois. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:168:y:2019:i:c:p:196-208.

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2020The finite sample behavior of the 0–1 test for chaos. (2020). Belaire-Franch, Jorge. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303666.

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2019Strategic investment decisions under the nuclear power debate in Belgium. (2019). Buysse, J ; Willeghems, G ; de Frutos, J. In: Resource and Energy Economics. RePEc:eee:resene:v:57:y:2019:i:c:p:156-184.

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2019Trois évaluations d’actions de lutte contre les discriminations. (2019). Mbaye, Souleymane. In: Erudite Ph.D Dissertations. RePEc:eru:erudph:ph19-01.

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2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM. (2020). Ucan, Yasemen ; Bayazit, Nilgun Guler ; Bildirici, Melike. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2980-:d:369469.

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2020Comparison of Electricity Spot Price Modelling and Risk Management Applications. (2020). Adiyeke, Esra ; Anakolu, Ethem . In: Energies. RePEc:gam:jeners:v:13:y:2020:i:18:p:4698-:d:411305.

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2019Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models. (2019). Rossini, Luca ; Bohte, Rick. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:150-:d:268406.

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2019Mesurer l’impact d’un courrier d’alerte sur les discriminations liées à l’origine. (2019). L'Horty, Yannick ; Chareyron, Sylvain ; Mbaye, Souleymane ; Petit, Pascale. In: Working Papers. RePEc:hal:wpaper:hal-02333840.

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2020Causal Relationships Between Inflation and Inflation Uncertainty. (2020). Barnett, William ; Ftiti, Zied ; Jawadi, Fredj. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202010.

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2019Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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2020A Testing Procedure for Constant Parameters in Stochastic Volatility Models. (2020). Hoyo, Juan ; Rivero, Carlos ; Llorente, Guillermo. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09892-0.

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2020Causal Relationships between Inflation and Inflation Uncertainty. (2020). Barnett, William ; Ftiti, Zied ; Jawadi, Fredj. In: MPRA Paper. RePEc:pra:mprapa:101682.

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2020Forecasting daily spot prices in the Russian electricity market with the ARFIMA model. (2020). Balagula, Yuri. In: Applied Econometrics. RePEc:ris:apltrx:0389.

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2019Market integration and the persistence of electricity prices. (2019). Rua, António ; Rodrigues, Paulo ; Pereira, Joo Pedro ; Pesquita, Vasco . In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1520-x.

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2019Correcting outliers in GARCH models: a weighted forward approach. (2019). Grossi, Luigi ; Crosato, Lisa. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0903-y.

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2019Mesurer l’impact d’un courrier d’alerte sur les discriminations liées à l’origine. (2019). L'Horty, Yannick ; Chareyron, Sylvain ; Mbaye, Souleymane ; Petit, Pascale. In: TEPP Research Report. RePEc:tep:tepprr:rr19-05.

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2020Different samples, different results? How sampling techniques affect the results of field experiments on ethnic discrimination. (2020). Thiel, Fabian ; Schneck, Andreas ; Auspurg, Katrin. In: EconStor Open Access Articles. RePEc:zbw:espost:213856.

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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.
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article115
2005Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 115
paper
2007Effects of outliers on the identification and estimation of GARCH models In: Journal of Time Series Analysis.
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article44
2014Estimating VAR-MGARCH models in multiple steps In: Studies in Nonlinear Dynamics & Econometrics.
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article10
2012Estimating VAR-MGARCH models in multiple steps.(2012) In: Working Papers. Serie AD.
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This paper has another version. Agregated cites: 10
paper
2001Outliers and conditional autoregressive heteroscedasticity in time series In: DES - Working Papers. Statistics and Econometrics. WS.
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paper18
2001Is stochastic volatility more flexible than garch? In: DES - Working Papers. Statistics and Econometrics. WS.
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paper4
2003Detecting level shifts in the presence of conditional heteroscedasticity. In: DES - Working Papers. Statistics and Econometrics. WS.
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paper3
2004DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY.(2004) In: Working Papers. Serie AD.
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This paper has another version. Agregated cites: 3
paper
2004Spurious and hidden volatility In: DES - Working Papers. Statistics and Econometrics. WS.
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paper2
2004SPURIOUS AND HIDDEN VOLATILITY.(2004) In: Working Papers. Serie AD.
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This paper has another version. Agregated cites: 2
paper
2014Identification of asymmetric conditional heteroscedasticity in the presence of outliers In: DES - Working Papers. Statistics and Econometrics. WS.
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paper2
2016Identification of asymmetric conditional heteroscedasticity in the presence of outliers.(2016) In: SERIEs: Journal of the Spanish Economic Association.
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This paper has another version. Agregated cites: 2
article
2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
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paper21
2003Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 21
paper
2004Effects of Level Outliers on the Identification and Estimation of GARCH Models In: Econometric Society 2004 Australasian Meetings.
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paper1
2012Estimating GARCH volatility in the presence of outliers In: Economics Letters.
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article21
2019Leverage effect in energy futures revisited In: Energy Economics.
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article0
2010Information and discrimination in the rental housing market: Evidence from a field experiment In: Regional Science and Urban Economics.
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article62
2009Information and discrimination in the rental housing market: evidence from a field experiment.(2009) In: Working Papers. Serie AD.
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This paper has another version. Agregated cites: 62
paper
2012Mobbing and workers’ health: empirical analysis for Spain In: International Journal of Manpower.
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article5
2010Mobbing and workers health: an empirical analysis for Spain.(2010) In: Working Papers. Serie AD.
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This paper has another version. Agregated cites: 5
paper
2018Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS In: Energies.
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article0
2008Estimating and Forecasting GARCH Volatility in the Presence of Outiers In: Working Papers. Serie AD.
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paper3
2011Rental housing discrimination and the persistence of ethnic enclaves In: Working Papers. Serie AD.
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paper11
2011Rental Housing Discrimination and the Persistence of Ethnic Enclaves.(2011) In: IZA Discussion Papers.
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This paper has another version. Agregated cites: 11
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2015Rental housing discrimination and the persistence of ethnic enclaves.(2015) In: SERIEs: Journal of the Spanish Economic Association.
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This paper has another version. Agregated cites: 11
article
2018Outliers and misleading leverage effect in asymmetric GARCH-type models In: Working Papers. Serie AD.
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paper0
2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models In: Journal of Financial Econometrics.
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article71
2015Explaining transactions in time banks in economic crisis In: Applied Economics Letters.
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article0
2010Mobbing and its determinants: the case of Spain In: Applied Economics.
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article0

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