Jesus Gonzalo : Citation Profile

Are you Jesus Gonzalo?

Universidad Carlos III de Madrid

19

H index

30

i10 index

3093

Citations

RESEARCH PRODUCTION:

39

Articles

81

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1992 - 2024). See details.
   Cites by year: 96
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 185.    Total self citations: 47 (1.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo192
   Updated: 2024-11-08    RAS profile: 2024-09-05    
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Relations with other researchers

Works with:

Pitarakis, Jean-Yves (8)

Dolado, Juan (6)

Sanz, Carlos (3)

Alloza, Mario (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 (41)

Nielsen, Morten (35)

Gallo, Giampiero (25)

Mayoral, Laura (24)

MORANA, CLAUDIO (22)

Teräsvirta, Timo (21)

Sephton, Peter (21)

Pereira, Alfredo (20)

Barigozzi, Matteo (17)

Pesaran, Mohammad (17)

Kouretas, Georgios (17)

Cites to:

Campbell, John (52)

Hansen, Bruce (39)

Phillips, Peter (32)

Watson, Mark (29)

Bai, Jushan (28)

Stock, James (23)

Perron, Pierre (21)

Pitarakis, Jean-Yves (20)

Ng, Serena (18)

Velasco, Carlos (17)

Diebold, Francis (16)

Main data

Where Jesus Gonzalo has published?

Journals with more than one article published# docs
Journal of Econometrics10
Economics Letters3
Studies in Nonlinear Dynamics & Econometrics2
Journal of Time Series Analysis2
Journal of Financial Econometrics2
Oxford Bulletin of Economics and Statistics2
International Journal of Forecasting2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía32
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística10
Papers / arXiv.org6
MPRA Paper / University Library of Munich, Germany2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Working Papers / Barcelona School of Economics2
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa2
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2
Econometrics / University Library of Munich, Germany2
Working Papers / Department of Economics, City University London2

Recent works citing Jesus Gonzalo (2024 and 2023)

YearTitle of citing document
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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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2023Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150.

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2023Likelihood 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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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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2024Matrix 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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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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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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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

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2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

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2023Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450.

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2023Fires and Local Labor Markets. (2023). Rao, Akhil ; Coulombe, Raphaelle G. In: Papers. RePEc:arx:papers:2308.02739.

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2024The Inflation Attention Threshold and Inflation Surges. (2023). Pfauti, Oliver. In: Papers. RePEc:arx:papers:2308.09480.

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2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data. (2023). Liu, Yujiang ; Zhang, Xulong ; Leng, Wan ; Zhou, Lichun ; Tang, Lihua ; Jiang, Guilin ; Gui, Zhaozhong. In: Papers. RePEc:arx:papers:2309.16196.

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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641.

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2023House Prices, Monetary Policy and Commodities: Evidence from Australia. (2023). Read, Alistair ; Graham, James. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:324:p:1-31.

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2024Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2023The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence. (2023). Keil, Sascha. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:5:p:1235-1263.

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2023Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116.

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2024Drivers of COVID-19 in U.S. counties: A wave-level analysis. (2024). Otero, Jesus ; HENRY, MIGUEL ; Garcia-Suaza, Andres ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1067.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2023On foreign drivers of emerging markets fluctuations. (2023). Lorca, Jorge ; Bajraj, Gent ; Wlasiuk, Juan M. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003450.

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2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335.

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2023Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution. (2023). Varga, Katalin ; Szendrei, Tibor. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000150.

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2023Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775.

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2023Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion. (2023). Wu, Jianhong ; Zhou, Ruichao. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003750.

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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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2023Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154.

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2023Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236.

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2023Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331.

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2023Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin ; Liu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679.

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2023Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892.

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2023Testing stochastic dominance with many conditioning variables. (2023). Whang, Yoon-Jae ; Seo, Myung Hwan ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:507-527.

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2024High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Partially one-sided semiparametric inference for trending persistent and antipersistent processes. (2024). Giraitis, Liudas ; Distaso, Walter ; Abadir, Karim M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:1-14.

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2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Can inflation predict energy price volatility?. (2024). Batten, Jonathan ; Mo, DI ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006564.

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2024Predicting tail risks and the evolution of temperatures. (2024). Martins, Luis F ; Gabriel, Vasco J ; Phella, Anthoulla. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007843.

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2023Exploring 200 years of U.S. commodity market integration: A structural time series model approach. (2023). Harrison, James M. In: Explorations in Economic History. RePEc:eee:exehis:v:88:y:2023:i:c:s0014498323000086.

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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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2023Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173.

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2023Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307.

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2023Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market. (2023). Yang, Jimmy J ; Chen, Yu-Lun ; Xu, KE. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300412x.

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2024Crude oil prices in times of crisis: The role of Covid-19 and historical events. (2024). Bouazizi, Tarek ; Guesmi, Khaled ; Vigne, Samuel A ; Galariotis, Emilios. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004714.

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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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2023Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures. (2023). Yang, Jimmy J ; Chang, Yung Ting ; Chen, Yu-Lun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003276.

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2023Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis. (2023). Todorova, Neda ; Nekhili, Ramzi ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003689.

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2023Crude oil volatility forecasting: New evidence from world uncertainty index. (2023). Liu, Yao ; Yao, Zhigang. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323004014.

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2023Threshold cointegration and asymmetries between dividends and earnings news. (2023). Sephton, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008061.

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2024Price discovery of the Chinese crude oil options and futures markets. (2024). Yang, Zhini ; Han, Lin ; Zou, MI. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011819.

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2024Transportation sector and Chinese stock volatility forecasting: Evidence from freight and passenger traffic. (2024). Zhong, Juandan ; Zhang, Lili. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301334x.

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2023The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave. (2023). Steffen, Tom ; Ibikunle, Gbenga ; Rzayev, Khaladdin. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000514.

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2024The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496.

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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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2024Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?. (2024). Strauss, Jack ; Mekelburg, Erik ; Bennett, Donyetta ; Williams, T H. In: Global Finance Journal. RePEc:eee:glofin:v:60:y:2024:i:c:s1044028324000176.

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2023The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719.

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2023International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495.

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2023Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA. (2023). Lawal, Rodiat ; Johan, Sofia ; Sakariyahu, Rilwan ; Chatzivgeri, Eleni ; Paterson, Audrey. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001348.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

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2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

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

Works by Jesus Gonzalo:

YearTitleTypeCited
2020Quantile Factor Models In: Papers.
[Full Text][Citation analysis]		paper33
2018Quantile Factor Models.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2017Quantile Factor Models.(2017) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2020Quantile Factor Models.(2020) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2021Quantile Factor Models.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2020Dynamic Effects of Persistent Shocks In: Papers.
[Full Text][Citation analysis]		paper12
2019Dynamic effects of persistent shocks.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2019Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2023Climate change heterogeneity: A new quantitative approach In: Papers.
[Full Text][Citation analysis]		paper0
2022Climate change heterogeneity: a new quantitative approach.(2022) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates In: Papers.
[Full Text][Citation analysis]		paper1
2020Out of sample predictability in predictive regressions with many predictor candidates.(2020) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2024Out-of-sample predictability in predictive regressions with many predictor candidates.(2024) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Trends in Temperature Data: Micro-foundations of Their Nature In: Papers.
[Full Text][Citation analysis]		paper1
2023Trends in temperature data: micro-foundations of their nature.(2023) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
[Citation analysis]		article699
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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2003Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers.
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2023Heterogeneous predictive association of CO2 with global warming In: Economica.
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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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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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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.
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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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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 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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2017The Reaction of Stock Market Returns to Unemployment 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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2005Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics.
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2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
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2008Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers.
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2009Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics.
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2010Regime specific predictability in predictive regressions In: UC3M Working papers. Economics.
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2010Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper.
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2011Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics.
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2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
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2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
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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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2011Detecting big structural breaks in large factor models.(2011) In: MPRA Paper.
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2011The reaction of stock market returns to anticipated unemployment 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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2012The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
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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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2007The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers.
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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: 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: Journal of Financial Econometrics.
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2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: The 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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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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