Jesus Gonzalo : Citation Profile

Are you Jesus Gonzalo?

Universidad Carlos III de Madrid

18

H index

26

i10 index

2886

Citations

RESEARCH PRODUCTION:

38

Articles

77

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1992 - 2023). See details.
   Cites by year: 93
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 136.    Total self citations: 42 (1.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo192
   Updated: 2023-05-27    RAS profile: 2023-05-16    
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Relations with other researchers

Works with:

Pitarakis, Jean-Yves (7)

Dolado, Juan (5)

Alloza, Mario (3)

Sanz, Carlos (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jesus Gonzalo.

Is cited by:

GUPTA, RANGAN (35)

Nielsen, Morten (34)

Mayoral, Laura (24)

Gallo, Giampiero (23)

MORANA, CLAUDIO (22)

Sephton, Peter (21)

Teräsvirta, Timo (21)

Pereira, Alfredo (20)

Hecq, Alain (17)

Pesaran, Mohammad (17)

Kouretas, Georgios (17)

Cites to:

Campbell, John (51)

Hansen, Bruce (37)

Phillips, Peter (31)

Watson, Mark (28)

Bai, Jushan (25)

Stock, James (23)

Pitarakis, Jean-Yves (20)

Ng, Serena (17)

Velasco, Carlos (17)

Diebold, Francis (16)

Perron, Pierre (15)

Main data

Where Jesus Gonzalo has published?

Journals with more than one article published# docs
Journal of Econometrics10
Economics Letters3
Oxford Bulletin of Economics and Statistics3
Studies in Nonlinear Dynamics & Econometrics2
Journal of Business & Economic Statistics2
The Journal of Financial Econometrics2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía31
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística10
Papers / arXiv.org5
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2
MPRA Paper / University Library of Munich, Germany2
Working Papers / Barcelona School of Economics2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Econometrics / University Library of Munich, Germany2
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa2

Recent works citing Jesus Gonzalo (2023 and 2022)

YearTitle of citing document
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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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586.

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2022Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003.

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2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2022Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273.

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2022Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150.

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2022Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416.

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2022Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2022Testing for a Threshold in Models with Endogenous Regressors. (2022). Boldea, Otilia ; Rothfelder, Mario P. In: Papers. RePEc:arx:papers:2207.10076.

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2023Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632.

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2022Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2022Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2022Low-rank Panel Quantile Regression: Estimation and Inference. (2022). Zhang, Yichong ; Su, Liangjun ; Wang, Yiren. In: Papers. RePEc:arx:papers:2210.11062.

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2022Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2023Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843.

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2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

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2022Rural Structural Transformation and Agricultural Productivity in Nigeria. (2022). Abiola, Abidemi ; Adefabi, Rasak A. In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev8i2-2.

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2022Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046.

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2022Welfare impact of asymmetric price transmission on rice consumers in Bangladesh. (2022). Balie, Jean ; Pede, Valerien O ; Rahman, Mohammad Chhiddikur. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1600-1617.

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2022Identification and estimation of threshold matrix?variate factor models. (2022). Chen, Elynn Y ; Liu, Xialu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1383-1417.

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2022Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2022). Canepa, Alessandra ; Alessandra, Canepa. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:14:y:2022:i:1:p:51-85:n:1.

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2021A New Monetary Policy Shock with Text Analysis. (2021). Ochs, A. C. R., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2148.

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2022On Foreign Drivers of EMEs Fluctuations. (2022). Wlasiuk, Juan M ; Lorca, Jorge ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:951.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2022Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects. (2022). , Peter ; PEter, ; Hong, Shengjie ; Yu, Ping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2352.

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2022The effects of monetary policy across fiscal regimes. (2022). van der Veer, Koen ; Bonam, Dennis ; Kloosterman, Roben. In: Working Papers. RePEc:dnb:dnbwpp:755.

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2022EQUITY MARKET VOLATILITY IMPACT ON S&P 500 SECTOR INDEXES, 1989-2021. (2022). Sosa-Castro, Miriam. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:22:y:2022:i:1_3.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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2022Testing for no cointegration in vector autoregressions with estimated degree of fractional integration. (2022). Demetrescu, Matei ; Salish, Nazarii ; Kusin, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321002832.

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2022Estimation of high-dimensional factor models with multiple structural changes. (2022). Wu, Jianhong ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003321.

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2022Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217.

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2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

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2022Fractional cointegration and price discovery in Canadian commodities. (2022). Cao, Zeyang ; Stewart, Kenneth G ; Xu, KE. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001358.

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2022Safe flight to which haven when Russia invades Ukraine? A 48-hour story. (2022). Mohamad, Azhar. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001598.

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2021Impulse response analysis for structural dynamic models with nonlinear regressors. (2021). Kilian, Lutz ; Pesavento, Elena ; Herrera, Ana Maria ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:107-130.

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2022Simultaneous inference for time-varying models. (2022). Wu, Wei Biao ; Richter, Stefan ; Karmakar, Sayar. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:408-428.

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2022Nonparametric inference for quantile cointegrations with stationary covariates. (2022). Wang, Qiying ; Liang, Han-Ying ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:453-482.

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2023A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213.

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2023Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (2023). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:300-319.

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2022The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk. (2022). Li, Leon. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006009.

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2022Price discovery under model uncertainty. (2022). Linn, Scott ; Kim, Jaeho. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000202.

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2022Forecasting volatility of EUA futures: New evidence. (2022). Umar, Muhammad ; Liang, Chao ; Huang, Yisu ; Guo, Xiaozhu. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001918.

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2022Price discovery efficiency of Chinas crude oil futures: Evidence from the Shanghai crude oil futures market. (2022). Hua, Yongjun ; Shao, Mingao. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003255.

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2022The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters. (2022). Corbet, Shaen ; Oxley, Les ; Larkin, Charles ; Hu, Yang ; Hou, Yang ; Collings, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000229.

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2022Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic. (2022). Sharma, Abhijit ; Ozkan, Aydin ; Grillini, Stefano. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002307.

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2023The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124.

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2022Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond. (2022). Pradhan, H K ; Banerjee, Ameet Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002166.

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2022Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004128.

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2022Oil futures volatility predictability: Evidence based on Twitter-based uncertainty. (2022). Huang, Dengshi ; Ma, Feng ; Lu, Xinjie ; Lang, Qiaoqi. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004992.

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2022Price discovery in fiat currency and cryptocurrency markets. (2022). Wu, Zhen-Xing ; Gau, Yin-Feng ; Huang, Guan-Ying. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005535.

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2022Policy uncertainty and carbon neutrality: Evidence from China. (2022). Xu, Weiju ; Lu, Xinjie ; Ma, Feng ; Zeng, Qing. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000848.

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2022Price discovery between forward-looking SOFR and LIBOR. (2022). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s154461232200109x.

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2022How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Tran, Thien Duy ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200232x.

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2022U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?. (2022). Mei, Dexiang ; Xie, Yutang. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002689.

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2022Comparisons of Alternative Information Share Measures. (2022). Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200472x.

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2023How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079.

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2021Measurement of common risks in tails: A panel quantile regression model for financial returns. (2021). Baruník, Jozef ; Ech, Frantiek ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318.

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2022Jumps in stock prices: New insights from old data. (2022). Paye, Bradley S ; Medeiros, Marcelo C ; Johnson, James A. In: Journal of Financial Markets. RePEc:eee:finmar:v:60:y:2022:i:c:s1386418122000039.

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2022Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange. (2022). Nguyen, James ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028320302933.

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2022Financial turbulence, systemic risk and the predictability of stock market volatility. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028322000011.

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2022The information content of ETF options. (2022). Yang, Dongxiao ; Ramchander, Sanjay ; Miao, Hong ; Lockwood, Larry . In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000278.

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2023Informational linkage and price discovery between Chinas futures and spot markets: Evidence from the US–China trade dispute. (2023). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000527.

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2022On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138.

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2022Does something change in the oil market with the COVID-19 crisis?. (2022). Lantz, Frederic ; Farnoosh, Arash ; Zhang, Dan. In: International Economics. RePEc:eee:inteco:v:169:y:2022:i:c:p:252-268.

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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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2022Listed real estate futures trading, market efficiency, and direct real estate linkages: International evidence. (2022). Cho, Hyunbum ; Stevenson, Simon ; Lee, Chyi Lin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:127:y:2022:i:c:s0261560622000961.

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2022The impact of economic policy uncertainties on the volatility of European carbon market. (2022). Wang, Jiqiang ; Duc, Toan Luu ; Xiong, Xiong ; Dai, Peng-Fei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000416.

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2022Economic drivers of volatility and correlation in precious metal markets. (2022). Nguyen, Duc Khuong ; Goutte, Stéphane ; Walther, Thomas ; Dinh, Theu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132100074x.

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2022Arbitrage breakdown in WTI crude oil futures: An analysis of the events on April 20, 2020. (2022). Kane, Stephen ; Burns, Christopher B. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s030142072200054x.

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2022Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises. (2022). Kang, Sanghoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000940.

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2022Forecasting the Chinese low-carbon index volatility. (2022). Li, Yan ; Luo, Qin ; Zhao, Chenchen ; Mei, Dexiang. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001805.

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2022The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2022). Dai, Peng-Fei ; Xiong, Xiong ; Zhang, Jin ; Zhou, Wei-Xing. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002951.

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2022Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks. (2022). Tripathy, Trilochan ; Aikins, Emmanuel Joel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003543.

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2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

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2023Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678.

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2021Monetary policy and production networks: an empirical investigation. (2021). Ghassibe, Mishel. In: Journal of Monetary Economics. RePEc:eee:moneco:v:119:y:2021:i:c:p:21-39.

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2022Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index. (2022). Li, Tao ; Ma, Feng ; Guo, Qiang ; Ghani, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:1180-1189.

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2022Resolution of financial market uncertainty around the release of unemployment rate announcements. (2022). Stan, Raluca ; Chen, Denghui ; Gu, Chen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:586-596.

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2023Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility. (2023). Wang, LU ; Su, Yuquan ; Yu, Jize ; Hong, Yanran. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:358-368.

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2023Risk spillover from international financial markets and Chinas macro-economy: A MIDAS-CoVaR-QR model. (2023). Yang, Lu ; Hamori, Shigeyuki ; Cui, Xue ; Cai, Xiaojing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:55-69.

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2023Does smile help detect the UKs price leadership change after MiFID?. (2023). Li, Xiaoxi ; Guo, Qian ; Chen, Jing ; Buckle, Mike. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:756-769.

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2022The intraday dynamics and intraday price discovery of bitcoin. (2022). Yuan, Yulin ; Wang, Xinyi ; Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000137.

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2022Climate policy uncertainty and world renewable energy index volatility forecasting. (2022). , Toan ; Ma, Feng ; Umar, Muhammad ; Liang, Chao. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:182:y:2022:i:c:s0040162522003341.

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2022Decarbonized energies and the wealth of three European nations: a comparative nexus study using Granger and Toda-Yamamoto approaches. (2022). Gavurova, Beata ; Schneider, Nicolas ; Simionescu, Mihaela. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:113688.

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2022Deterministic Effects of Volatility on Mixed Frequency GARCH in Means MIDAS Model: Evidence from Turkey. (2022). Ozsoy, Fehmi ; Doan, Nukhet. In: International Econometric Review (IER). RePEc:erh:journl:v:14:y:2022:i:1:p:1-20.

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2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

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2022Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842.

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2022Influences of Power Structure Evolution on Coffee Commodity Markets: Insights from Price Discovery and Volatility Spillovers. (2022). Reed, Michael ; Saghaian, Sayed ; Zhang, Wei. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:22:p:15268-:d:975998.

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2022Environmental Regulation, Roundabout Production, and Industrial Structure Transformation and Upgrading: Evidence from China. (2022). Yao, Huiqin ; Wei, Hanxiao. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:7:p:3810-:d:778066.

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2022Economic drivers of volatility and correlation in precious metal markets. (2022). Walther, Thomas ; Nguyen, Khuong ; Goutte, Stephane ; Dinh, Theu. In: Working Papers. RePEc:hal:wpaper:halshs-03672469.

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2022Estimation and Testing in a Perturbed Multivariate Long Memory Framework. (2022). Sibbertsen, Philipp ; Less, Vivien. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-704.

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2023Determinants of Food Prices in Türkiye: Fourier Engle-Granger Cointegration Test. (2023). Kirca, Mustafa ; Canbay, Serif ; Inal, Veysel. In: Journal of Economic Policy Researches. RePEc:ist:iujepr:v:10:y:2023:i:1:p:133-156.

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2022Are the East African Communitys Countries Ready for a Common Currency?. (2022). Heshmati, Almas ; Kigabo-Rusuhuzwa, Thomas. In: IZA Discussion Papers. RePEc:iza:izadps:dp15210.

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More than 100 citations found, this list is not complete...

Works by Jesus Gonzalo:

YearTitleTypeCited
2020Quantile Factor Models In: Papers.
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2018Quantile Factor Models.(2018) In: CEPR Discussion Papers.
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2017Quantile Factor Models.(2017) In: UC3M Working papers. Economics.
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2020Quantile Factor Models.(2020) In: IZA Discussion Papers.
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2021Quantile Factor Models.(2021) In: Econometrica.
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2020Dynamic Effects of Persistent Shocks In: Papers.
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2019Dynamic effects of persistent shocks.(2019) In: Working Papers.
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2019Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics.
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2023Climate change heterogeneity: A new quantitative approach In: Papers.
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2022Climate change heterogeneity: a new quantitative approach.(2022) In: UC3M Working papers. Economics.
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2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates In: Papers.
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2020Out of sample predictability in predictive regressions with many predictor candidates.(2020) In: UC3M Working papers. Economics.
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2023Estimation of Characteristics-based Quantile Factor Models In: Papers.
[Full Text][Citation analysis]		paper0
2023Estimation of characteristics-based quantile factor models.(2023) In: UC3M Working papers. Economics.
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1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
[Citation analysis]		article663
1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
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2005What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks In: Working Papers.
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2005What is what?: A simple time-domain test of long-memory vs. structural breaks.(2005) In: Economics Working Papers.
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2003Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers.
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1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
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1995Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics.
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2002Lag length estimation in large dimensional systems In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article19
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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2006Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics.
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2006Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics.
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2019Differences Between Short? and Long?Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
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2021Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions In: Oxford Bulletin of Economics and Statistics.
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2020Uncovering regimes in out of sample forecast errors from predictive regressions.(2020) In: UC3M Working papers. Economics.
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2008Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article8
2007Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components.(2007) In: UC3M Working papers. Economics.
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2017The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics.
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2017The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics.
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2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
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1994Comovements in Large Systems In: LIDAM Discussion Papers CORE.
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1995Comovements in large systems.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: LIDAM Discussion Papers CORE.
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1995On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors..(1995) In: Boston University - Department of Economics.
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2003Threshold integrated moving average models: does size matter? maybe so In: DE - Documentos de Trabajo. Economía. DE.
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2004Threshold Integrated Moving Average Models (Does Size Matter? Maybe So).(2004) In: Econometric Society 2004 North American Winter Meetings.
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2000Econometric implications of non-exact present value models In: DE - Documentos de Trabajo. Economía. DE.
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2008Modelling and Measuring Price Discovery in Commodity Markets In: DEE - Working Papers. Business Economics. WB.
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2007Modelling and measuring price discovery in commodity markets.(2007) In: DEE - Working Papers. Business Economics. WB.
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2010Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics.
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2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
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2017Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics.
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2020Trends in distributional characteristics: Existence of global warming.(2020) In: Journal of Econometrics.
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2019Predictive Regressions In: UC3M Working papers. Economics.
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2020Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics.
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2021Spurious relationships in high-dimensional systems with strong or mild persistence.(2021) In: International Journal of Forecasting.
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2021A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) In: UC3M Working papers. Economics.
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2023Heterogeneous Predictive Association of CO2 with Global Warming In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2005Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper18
2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2009Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2010Regime specific predictability in predictive regressions In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper5
2010Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 5		paper
2011Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 5		article
2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper5
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 5		paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
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2011Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes In: UC3M Working papers. Economics.
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2011Detecting big structural breaks in large factor models In: UC3M Working papers. Economics.
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2014Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics.
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2013Detecting Big Structural Breaks in Large Factor Models.(2013) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 77		paper
2011Detecting big structural breaks in large factor models.(2011) In: MPRA Paper.
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This paper has another version. Agregated cites: 77		paper
2011The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
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2012The reaction of stock market returns to anticipated unemployment.(2012) In: UC3M Working papers. Economics.
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2012Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics.
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2013Estimation and inference in threshold type regime switching models.(2013) In: Chapters.
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2013Co-summability from linear to non-linear cointegration In: UC3M Working papers. Economics.
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2006Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components In: UC3M Working papers. Economics.
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2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
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2007Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics.
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2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
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2008Simple Wald tests of the fractional integration parameter : an overview of new results In: UC3M Working papers. Economics.
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2013Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach In: DES - Working Papers. Statistics and Econometrics. WS.
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1995No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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1996P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS.
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1996P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters.
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1995P-Values for Non-Standard Distributions with an Application to the DF Test.(1995) In: Boston University - Institute for Economic Development.
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1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
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1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management.
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2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
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1996Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
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2001A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1997Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS.
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2002A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica.
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2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
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2004Which Extreme Values Are Really Extreme?.(2004) In: The Journal of Financial Econometrics.
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1997Testing for multicointegration In: Economics Letters.
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1998Specification via model selection in vector error correction models In: Economics Letters.
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2002Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics.
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2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
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2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
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2006Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics.
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2006Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics.
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2014Summability of stochastic processes—A generalization of integration for non-linear processes In: Journal of Econometrics.
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1994Five alternative methods of estimating long-run equilibrium relationships In: Journal of Econometrics.
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1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
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1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
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1993Cointegration and aggregation In: Ricerche Economiche.
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1992Cointegration and Aggregation..(1992) In: Boston University - Department of Economics.
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1998On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors. In: International Economic Review.
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2003Long-range dependence in Spanish political opinion poll series In: Journal of Applied Econometrics.
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2010The Making of Estimation of Common Long-Memory Components in Cointegrated Systems In: The Journal of Financial Econometrics.
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2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies.
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2022A tale of three cities: climate heterogeneity In: SERIEs: Journal of the Spanish Economic Association.
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2022Nonparametric estimation of functional dynamic factor model In: Journal of Nonparametric Statistics.
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2017Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics.
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2005Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers.
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