Viviana Fernandez : Citation Profile


Are you Viviana Fernandez?

Universidad Adolfo Ibáñez

10

H index

10

i10 index

270

Citations

RESEARCH PRODUCTION:

50

Articles

36

Papers

RESEARCH ACTIVITY:

   24 years (1993 - 2017). See details.
   Cites by year: 11
   Journals where Viviana Fernandez has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 19 (6.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe103
   Updated: 2017-11-18    RAS profile: 2017-10-24    
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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 Viviana Fernandez.

Is cited by:

Rua, António (13)

Masih, Abul (11)

Nunes, Luis (8)

Baruník, Jozef (7)

Vacha, Lukas (7)

GUPTA, RANGAN (5)

Darné, Olivier (5)

Palma, Alessandro (4)

Cifter, Atilla (4)

Marin, Giovanni (4)

Aloui, Chaker (4)

Cites to:

Engle, Robert (19)

Gencay, Ramazan (19)

Inclan, Carla (12)

Poon, Ser-Huang (11)

Selcuk, Faruk (10)

Granger, Clive (10)

lucey, brian (8)

French, Kenneth (7)

Tilton, John (7)

Jacks, David (7)

Ureche-Rangau, Loredana (7)

Main data


Where Viviana Fernandez has published?


Journals with more than one article published# docs
Resources Policy7
Emerging Markets Finance and Trade6
Emerging Markets Finance and Trade6
International Review of Financial Analysis5
Physica A: Statistical Mechanics and its Applications4
Latin American Journal of Economics-formerly Cuadernos de Economa3
Energy Economics2
The Quarterly Review of Economics and Finance2
Journal of Futures Markets2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo / Centro de Economa Aplicada, Universidad de Chile25
The Institute for International Integration Studies Discussion Paper Series / IIIS4
Documentos de Trabajo / Instituto de Economia. Pontificia Universidad Catlica de Chile.2

Recent works citing Viviana Fernandez (2017 and 2016)


YearTitle of citing document
2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2017WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan . In: Working Papers. RePEc:bli:wpaper:1704.

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2016Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes. (2016). George, Tzagkarakis ; Alin, Achim ; Thomas, Dionysopoulos . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:1:p:75-96:n:6.

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2016Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries. (2016). Gallegati, Marco ; Willi, Semmler ; James, Ramsey ; Marco, Gallegati . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:477-493:n:1.

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2016What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. (2016). Masih, Abul ; Mansur, A ; Dewandaru, Ginanjar . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:981-996.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Power, Gabriel J ; Vedenov, Dmitry ; Turvey, Calum ; Eaves, James . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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2016Contagion in CDS, banking and equity markets. (2016). Tabak, Benjamin ; da Silva, Mauricio ; de Castro, Rodrigo . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:1:p:120-134.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Zeitun, Rami ; Mensi, Walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Herrera, Rodrigo ; Pino, Gabriel ; Rodriguez, Alejandro . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Technology invention and adoption in residential energy consumption. (2017). Palma, Alessandro ; Marin, Giovanni. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:85-98.

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2016Switching from fossil fuel to renewables in residential heating systems: An empirical study of homeowners decisions in Germany. (2016). Madlener, Reinhard ; Michelsen, Carl Christian . In: Energy Policy. RePEc:eee:enepol:v:89:y:2016:i:c:p:95-105.

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2016Impact of speculation and economic uncertainty on commodity markets. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Andreasson, Pierre . In: International Review of Financial Analysis. RePEc:eee:finana:v:43:y:2016:i:c:p:115-127.

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2016Intraday risk management in International stock markets: A conditional EVT approach. (2016). Karmakar, Madhusudan ; Paul, Samit . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:34-55.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2017Real and complex wavelets in asset classification: An application to the US stock market. (2017). Bruzda, Joanna. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:115-125.

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2016Mineral resources: Geological scarcity, market price trends, and future generations. (2016). , ; Worrell, E ; van Ierland, E C. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:102-111.

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2016Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. (2016). Jain, Anshul ; Biswal, P C. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:179-185.

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2016Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. (2016). YAYA, OLAOLUWA ; Udomboso, Christopher G ; Tumala, Mohammed M. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:273-281.

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2016The set-up of an international agreement on the conservation and sustainable use of geologically scarce mineral resources. (2016). , ; Worrell, E ; Ryngaert, C. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:92-101.

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2016Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models. (2016). Rafiq, Shuddhasattwa ; Bloch, Harry. In: Resources Policy. RePEc:eee:jrpoli:v:50:y:2016:i:c:p:34-48.

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2016Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market. (2016). Gong, PU ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:441:y:2016:i:c:p:173-191.

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2016Evenly spacing in Detrended Fluctuation Analysis. (2016). , Zainy ; Delignieres, Didier . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:451:y:2016:i:c:p:63-69.

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2017Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets. (2017). Xu, Wei ; Cao, Guangxi ; Li, Qingchen ; Han, Yan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:119-130.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Cross-correlations and influence in world gold markets. (2018). Stanley, Eugene H ; Wang, Gang-Jin ; Xie, Chi ; Lin, Min . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:504-512.

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2017Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach. (2017). Karmakar, Madhusudan . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:275-291.

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2016Gold, oil, and stocks: Dynamic correlations. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:186-201.

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2016Derivative markets in emerging economies: A survey. (2016). Atilgan, Yigit ; Simsek, Koray D ; Demirtas, Ozgur K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:88-102.

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2017Examining dynamic currency linkages amongst South Asian economies: An empirical study. (2017). Diesting, Florent ; Sehgal, Sanjay ; Pandey, Piyush . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:173-190.

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2016The effects of price, popularity, and technological sophistication on mobile handset replacement and unit lifetime. (2016). Riikonen, Antti ; Tyli, Juuso ; Smura, Timo . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:103:y:2016:i:c:p:313-323.

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2016Horizon heterogeneity, institutional constraint and managerial myopia: a multi-frequency perspective on ELSS. (2016). Chakrabarty, Anindya ; Bandyopadhyay, Gautam ; De, Anupam . In: International Journal of Business Excellence. RePEc:ids:ijbexc:v:9:y:2016:i:1:p:18-47.

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2017Wavelets Analysis on Structural Model for Default Prediction. (2017). Han, LU ; Ge, Ruihuan . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:1:d:10.1007_s10614-016-9584-1.

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2016The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis. (2016). GUPTA, RANGAN ; Cuñado, Juncal ; Chang, Tsangyao ; Antonakakis, Nikolaos ; Cunado, Juncal . In: Working Papers. RePEc:pre:wpaper:201619.

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2016Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach. (2016). GUPTA, RANGAN ; Apergis, Nicholas ; Bonato, Matteo ; Kyei, Clement . In: Working Papers. RePEc:pre:wpaper:201671.

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2017The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Bahloul, Walid ; Cunado, Juncal . In: Working Papers. RePEc:pre:wpaper:201725.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria ; Bille, Anna Gloria . In: CEIS Research Paper. RePEc:rtv:ceisrp:375.

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2017An economic analysis of the “Home Appliance Eco-Point System” in Japan. (2017). Akao, Ken-Ichi. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:19:y:2017:i:3:d:10.1007_s10018-016-0156-3.

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2016Stock markets and effective exchange rates in European countries: threshold cointegration findings. (2016). Papadamou, Stephanos ; Kollias, Christos ; SIRIOPOULOS, COSTAS. In: Eurasian Economic Review. RePEc:spr:eurase:v:6:y:2016:i:2:d:10.1007_s40822-015-0040-7.

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2016Wavelet decomposition of heterogeneous investment horizon. (2016). Li, H C ; Chen, W D. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:4:d:10.1007_s12197-015-9321-y.

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2017Multiscale correlation networks analysis of the US stock market: a wavelet analysis. (2017). Wang, Gang-Jin ; Chen, Shou ; Xie, Chi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:3:d:10.1007_s11403-016-0176-x.

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2016The new hybrid value at risk approach based on the extreme value theory. (2016). Cvjetkovic, Milena ; Stepanov, Saa ; Radivojevic, Nikola . In: Estudios de Economia. RePEc:udc:esteco:v:43:y:2016:i:1:p:17-43.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:55.

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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification. (2017). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:166.

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Works by Viviana Fernandez:


YearTitleTypeCited
2011Alternative Estimators of Long-Range Dependence In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2005The International CAPM and a Wavelet-Based Decomposition of Value at Risk In: Studies in Nonlinear Dynamics & Econometrics.
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article34
2005The International CAPM and a wavelet-based decomposition of Value at Risk.(2005) In: Documentos de Trabajo.
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paper
2005The International CAPM and a wavelet-based decomposition of Value at Risk.(2005) In: The Institute for International Integration Studies Discussion Paper Series.
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paper
2006The International CAPM and a Wavelet-Based Decomposition of Value at Risk.(2006) In: NBER Working Papers.
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paper
2006Extremal dependence in European capital markets In: Journal of Applied Economics.
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article2
2005Adjustment of the WACC with Subsidized Debt in the Presence of Corporate Taxes: the N-Period Case In: PROYECCIONES FINANCIERAS Y VALORACION.
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2005Adjustment of the WACC with Subsidized Debt in the Presence of Corporate Taxes: The N-Period Case.(2005) In: Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016).
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2005Adjustment of the WACC with Subsidized Debt in the Presence of Corporate Taxes: the N-Period Case.(2005) In: Finance.
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2004EXTREMAL DEPENDENCE IN EXCHANGE RATE MARKETS In: Econometric Society 2004 Latin American Meetings.
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2001A Liquidity Premium Puzzle?: Evidence from Chile In: Documentos de Trabajo.
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2002What Drives Replacement of Durable Goods at the Micro Level? In: Documentos de Trabajo.
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2002The Derivatives Markets in Latin America with an Emphasis on Chile In: Documentos de Trabajo.
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2002How Sensitive is Volatility to Exchange Rate Regimes? In: Documentos de Trabajo.
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2003Interest Rate Volatility and Nominalization In: Documentos de Trabajo.
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2003Extreme Value Theory and Value at Risk In: Documentos de Trabajo.
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paper7
2003Extreme Value Theory and Value at Risk.(2003) In: Revista de Analisis Economico – Economic Analysis Review.
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2003Extreme Value Theory: Value at Risk and Returns Dependence Around the World In: Documentos de Trabajo.
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2003Extremal Dependence in Exchange Markets In: Documentos de Trabajo.
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2004The Credit Channel in an Emerging Economy In: Documentos de Trabajo.
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2004Time-Scale Decomposition of Price Transmission in International Markets In: Documentos de Trabajo.
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2005Time-Scale Decomposition of Price Transmission in International Markets.(2005) In: Emerging Markets Finance and Trade.
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2005Time-Scale Decomposition of Price Transmission in International Markets.(2005) In: Emerging Markets Finance and Trade.
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2004Detection of Breakpoints in Volatility In: Documentos de Trabajo.
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2005What Drives Capital Structure? Evidence from Chilean Panel Data In: Documentos de Trabajo.
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2005Do Regional Integration Agreements Increase Business-Cycle Convergence? Evidence from Apec and Nafta In: Documentos de Trabajo.
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2005Do Regional Integration Agreements Increase Business-Cycle Convergence? Evidence From APEC and NAFTA.(2005) In: William Davidson Institute Working Papers Series.
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2005Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts In: Documentos de Trabajo.
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2007Stock Market Turmoil: Worldwide Effects of Middle East Conflicts.(2007) In: Emerging Markets Finance and Trade.
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2007Stock Market Turmoil: Worldwide Effects of Middle East Conflicts.(2007) In: Emerging Markets Finance and Trade.
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2006Portfolio management implications of volatility shifts: Evidence from simulated data In: Documentos de Trabajo.
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2006Portfolio management implications of volatility shifts: Evidence from simulated data.(2006) In: The Institute for International Integration Studies Discussion Paper Series.
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2006Copula-based measures of dependence structure in assets returns In: Documentos de Trabajo.
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2008Copula-based measures of dependence structure in assets returns.(2008) In: Physica A: Statistical Mechanics and its Applications.
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2006Forecasting crude oil and natural gas spot prices by classification methods In: Documentos de Trabajo.
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2007Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement In: Documentos de Trabajo.
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2008Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement.(2008) In: Journal of Futures Markets.
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2007The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war In: Documentos de Trabajo.
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2008Emerging Markets Variance Shocks: Local or International in Origin? In: Documentos de Trabajo.
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2000Decisions to Replace Consumer Durables Goods: An Econometric Application of Wiener and Renewal Processes In: Documentos de Trabajo.
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2000Decisions To Replace Consumer Durables Goods: An Econometric Application Of Wiener And Renewal Processes.(2000) In: The Review of Economics and Statistics.
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2000Estructura de tasas de interés en Chile: ¿Qué tan buen predictor de crecimiento e inflación? In: Documentos de Trabajo.
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2000Estructura de Tasas de Interés en Chile: ¿Qué tan Buen Predictor de Crecimiento e Inflación?.(2000) In: Latin American Journal of Economics-formerly Cuadernos de Economía.
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2001A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile In: Documentos de Trabajo.
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2001A nonparametric approach to model the term structure of interest rates: The case of Chile.(2001) In: International Review of Financial Analysis.
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2001Un análisis del mercado de cobertura de riesgo en Chile y el mundo In: Documentos de Trabajo.
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2006The impact of major global events on volatility shifts: Evidence from the Asian crisis and 9/11 In: Economic Systems.
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2001Observable and unobservable determinants of replacement of home appliances In: Energy Economics.
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2015Commodity price excess co-movement from a historical perspective: 1900–2010 In: Energy Economics.
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2005Risk management under extreme events In: International Review of Financial Analysis.
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2006The CAPM and value at risk at different time-scales In: International Review of Financial Analysis.
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2008The war on terror and its impact on the long-term volatility of financial markets In: International Review of Financial Analysis.
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2016Futures markets and fundamentals of base metals In: International Review of Financial Analysis.
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2014Stock volatility and pension funds under an individual capitalization-based system In: Journal of Business Research.
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2003What determines market development?: Lessons from Latin American derivatives markets with an emphasis on Chile In: Journal of Financial Intermediation.
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2007Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry In: Resources Policy.
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2010Commodity futures and market efficiency: A fractional integrated approach In: Resources Policy.
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2012Trends in real commodity prices: How real is real? In: Resources Policy.
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2014Linear and non-linear causality between price indices and commodity prices In: Resources Policy.
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2015Influence in commodity markets: Measuring co‐movement globally In: Resources Policy.
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2016Further evidence on the relationship between spot and futures prices In: Resources Policy.
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2017A historical perspective of the informational content of commodity futures In: Resources Policy.
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2007Portfolio management under sudden changes in volatility and heterogeneous investment horizons In: Physica A: Statistical Mechanics and its Applications.
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2007Extreme-value dependence: An application to exchange rate markets In: Physica A: Statistical Mechanics and its Applications.
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2007A postcard from the past: The behavior of U.S. stock markets during 1871–1938 In: Physica A: Statistical Mechanics and its Applications.
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2004Interest rate risk in an emerging economy In: The Quarterly Review of Economics and Finance.
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2006Does domestic cooperation lead to business-cycle convergence and financial linkages? In: The Quarterly Review of Economics and Finance.
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2009The behavior of stock returns in the mining industry following the Iraq war In: Research in International Business and Finance.
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2005Structural Breakpoints in Volatility in International Markets In: The Institute for International Integration Studies Discussion Paper Series.
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2007Spatial Linkages in International Financial Markets In: The Institute for International Integration Studies Discussion Paper Series.
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2011Spatial linkages in international financial markets.(2011) In: Quantitative Finance.
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1993Los Costos de Despido: el Efecto de las Indemnizaciones por Años de Servicio In: Latin American Journal of Economics-formerly Cuadernos de Economía.
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1999Estructura de Tasas de Interés en Chile: La Vía No Paramétrica In: Latin American Journal of Economics-formerly Cuadernos de Economía.
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Los Costos de Despido: El Rol de las Indemnizaciones por A–os de Servicio In: Documentos de Trabajo.
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La Estructura de Tasas de Interés, Crecimiento e Inflación: Un Análisis para Chile In: Documentos de Trabajo.
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2008Traditional versus novel forecasting techniques: how much do we gain? In: Journal of Forecasting.
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2005Monetary Policy and the Banking Sector in Chile In: Emerging Markets Finance and Trade.
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2005Monetary Policy and the Banking Sector in Chile.(2005) In: Emerging Markets Finance and Trade.
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2006Emerging Derivatives Markets: The Case of Chile In: Emerging Markets Finance and Trade.
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2006Emerging Derivatives Markets: The Case of Chile.(2006) In: Emerging Markets Finance and Trade.
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2011The Driving Factors of Firm Investment: Latin American Evidence In: Emerging Markets Finance and Trade.
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2011The Driving Factors of Firm Investment: Latin American Evidence.(2011) In: Emerging Markets Finance and Trade.
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2013Profitability of Chiles Defined-Contribution-Based Pension System During the Multifund Era In: Emerging Markets Finance and Trade.
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2013Profitability of Chiles Defined-Contribution-Based Pension System During the Multifund Era.(2013) In: Emerging Markets Finance and Trade.
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2006Specification tests for a parsimonious random-effects model In: Applied Economics Letters.
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2016Spot and Futures Markets Linkages: Does Contango Differ from Backwardation? In: Journal of Futures Markets.
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