Jesus Gonzalo : Citation Profile


Are you Jesus Gonzalo?

Universidad Carlos III de Madrid

17

H index

24

i10 index

2387

Citations

RESEARCH PRODUCTION:

34

Articles

66

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 88
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 207.    Total self citations: 27 (1.12 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo192
   Updated: 2020-08-09    RAS profile: 2020-02-15    
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Relations with other researchers


Works with:

Dolado, Juan (3)

Taamouti, Abderrahim (2)

Sanz, Carlos (2)

Alloza, Mario (2)

Pitarakis, Jean-Yves (2)

Olmo, Jose (2)

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

Is cited by:

Nielsen, Morten (31)

Mayoral, Laura (24)

GUPTA, RANGAN (22)

Gallo, Giampiero (20)

Teräsvirta, Timo (20)

Olmo, Jose (19)

Sephton, Peter (18)

Pereira, Alfredo (17)

Pesaran, M (17)

MORANA, CLAUDIO (17)

KORAP, LEVENT (17)

Cites to:

Campbell, John (47)

Hansen, Bruce (38)

Phillips, Peter (25)

Granger, Clive (20)

Shiller, Robert (13)

Pitarakis, Jean-Yves (13)

Bai, Jushan (13)

Watson, Mark (11)

Park, Joon (11)

Andrews, Donald (11)

Diebold, Francis (10)

Main data


Where Jesus Gonzalo has published?


Journals with more than one article published# docs
Journal of Econometrics10
Economics Letters3
Journal of Financial Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
Oxford Bulletin of Economics and Statistics2
Journal of Time Series Analysis2
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 Economía24
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística9
Working Papers / Barcelona Graduate School of Economics2
Working Papers / Department of Economics, City University London2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Econometrics / University Library of Munich, Germany2
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2
MPRA Paper / 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 (2020 and 2019)


YearTitle of citing document
2018Dynamic price discovery in the European wheat market based on the concept of partial cointegration. (2018). von Cramon-Taubadel, S ; Vollmer, T. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:276031.

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2018The role of fuel prices on the wholesale price relationships between horticultural markets. (2018). Engler, A ; von Cramon, S ; Valdes, R. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277064.

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2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2019Estimating a Large Covariance Matrix in Time-varying Factor Models. (2019). Jung, Jaeheon. In: Papers. RePEc:arx:papers:1910.11965.

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2019High 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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2020New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020The Shanghai- Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH. (2020). Gilroy, Bernard ; Stoeckmann, Nico ; Feng, Yuanhua ; Peitz, Christian. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:427-438.

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2020Price Risks and the Lead-Lag Relationship between the Futures and Spot Prices of Soybean, Wheat and Corn. (2020). Mu, Yueying ; Koike, Atsushi ; Liu, Kai. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2020:p:76-88.

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2019Time-Varying Price Discovery in Sovereign Credit Markets. (2019). Guidolin, Massimo ; Tosi, Alessandra ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19120.

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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle. (2019). Guidolin, Massimo ; Pedio, Manuela ; Melloni, Francesco. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19121.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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2018Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model. (2018). Urban, Jorg ; Ters, Kristyna. In: BIS Working Papers. RePEc:bis:biswps:689.

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2020A similarity‐based approach for macroeconomic forecasting. (2020). Marcellino, Massimiliano ; Kapetanios, G ; Dendramis, Y. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity. (2019). LINTON, OLIVER ; Xiao, Z. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1907.

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2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1916.

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2020Testing Stochastic Dominance with Many Conditioning Variables. (2020). Whang, Y-J., ; Seo, M ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2004.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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

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2019INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET. (2019). Bag, Dinabandhu. In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:8:y:2019:i:4:p:113-132.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2018Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896. (2018). Siklos, Pierre ; Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:7618.

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2019Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models. (2019). Yi, Yanping ; Huang, Zhuo ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2215.

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2020The Effects of External Uncertainties against Monetary Policy Uncertainty on IRANIAN Stock Return Volatility Using GARCH-MIDAS Approach. (2020). Oroumieh, Kiana Baensaf ; Javad, Seyed Mohammad ; Bajgiran, Bahareh Ramezanian ; Razmi, Seyedeh Fatemeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-35.

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2019Industrial growth and consumer goods inflation in Mexico: an econometric analysis. (2019). Villarreal, Cuauhtemoc Calderon ; Cuevas, Victor M. In: Revista CEPAL. RePEc:ecr:col070:45414.

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2019Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions. (2019). Kurita, Takamitsu ; Almaas, Synne S. In: Journal of Asian Economics. RePEc:eee:asieco:v:61:y:2019:i:c:p:51-64.

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2018Perpetual learning and apparent long memory. (2018). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:343-365.

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2018Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019Exchange rates and fundamentals: A bootstrap panel data analysis. (2019). Chen, Shyh-Wei ; Xie, Zixiong. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:209-224.

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2019Evidence of price discovery on the Indonesian stock exchange. (2019). Laila, Nisful ; Madyan, Muhammad ; Thuraisamy, Kannan ; Sharma, Susan Sunila. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:2-7.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2018The impact of funding liquidity on market quality. (2018). Chen, Wei-Peng ; Wu, Chih-Chiang ; Lu, Jun ; Lin, Shu Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:153-166.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2019Financial contagion and flight to quality between emerging markets and U.S. bond market. (2019). Gulolu, Bulent ; Soylu, Pinar Kaya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304042.

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2019Returns spillovers between tourism ETFs. (2019). Lee, Yun-Huan ; Chang, Shu-Lien. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305898.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Efficient predictability of stock return volatility: The role of stock market implied volatility. (2020). He, Shaoyi ; Wen, Fenghua ; Zhou, Huiting ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300711.

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2018Bitcoin Futures—What use are they?. (2018). Corbet, Shaen ; Vigne, Samuel ; Peat, Maurice ; Lucey, Brian. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:23-27.

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2019An analysis of price discovery between Bitcoin futures and spot markets. (2019). Kapar, Burcu ; Olmo, Jose. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:62-64.

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2020Testing for the null of block zero restrictions in common factor models. (2020). Kim, Dukpa ; Han, Chirok. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176519304550.

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2020Estimating the mean under strong persistence. (2020). Hassler, Uwe ; Hosseinkouchack, Mehdi. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176520300069.

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2020London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS. (2020). Wellenreuther, Claudia ; Stefan, Martin. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s016517652030029x.

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2019Robust inference for threshold regression models. (2019). Lee, Jungyoon ; Hidalgo, Javier ; Seo, Myung Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:291-309.

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2019Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity. (2019). Xiao, Zhijie ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:608-631.

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2020A multicointegration model of global climate change. (2020). Stern, David ; Csereklyei, Zsuzsanna ; Bruns, Stephan B. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:175-197.

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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2019Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42.

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2020On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty. (2020). Stengos, Thanasis ; Pinar, Mehmet ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:2:p:415-427.

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2018Trading places: Price leadership and the competition for order flow. (2018). Ibikunle, Gbenga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:178-200.

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2020Global investigation on the country-level idiosyncratic volatility and its determinants. (2020). Caglayan, Mustafa Onur ; Zhang, Liwen ; Xue, Wenjun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:143-160.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2019Does OPEC news sentiment influence stock returns of energy firms in the United States?. (2019). Banerjee, Rajabrata ; Gupta, Kartick. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:34-45.

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2019El Niño, La Niña, and a cup of Joe. (2019). Sephton, Peter. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302841.

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2019Geopolitical risk and oil volatility: A new insight. (2019). Liu, Jing ; Zhang, Yaojie ; Tang, Yingkai ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303433.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020Citation-based systematic literature review of energy-growth nexus: An overview of the field and content analysis of the top 50 influential papers. (2020). Aghdam, Reza Fathollahzadeh ; Ahmad, Nisar ; Naveed, Amjad ; Butt, Irfan. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304396.

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2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438.

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2018Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets. (2018). Chau, Frankie ; Shi, Shimeng ; Han, Chulwoo. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:156-169.

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2018The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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2018An analysis of time-varying commodity market price discovery. (2018). Narayan, Paresh Kumar ; Sharma, Susan Sunila. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:122-133.

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2018Do ETFs lead the price moves? Evidence from the major US markets. (2018). Buckle, Mike ; Tong, Chen ; Guo, Qian ; Chen, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:91-103.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2019Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. (2019). Zhang, Hanxiong ; Urquhart, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:49-57.

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2018Comovements of gold futures markets and the spot market: A wavelet analysis. (2018). Tiwari, Aviral ; Roubaud, David ; Jena, Sangram Keshari. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:19-24.

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2019What determines bitcoin exchange prices? A network VAR approach. (2019). Abu-Hashish, Iman ; Giudici, Paolo. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:309-318.

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2019The impact of tick-size reductions in foreign currency futures markets. (2019). Tse, Yiuman ; Martinez, Valeria. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:32-38.

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2018Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange. (2018). Ødegaard, Bernt ; Jorgensen, Kjell ; Skjeltorp, Johannes . In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:1-16.

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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

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2020Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model. (2020). Urban, Jorg ; Ters, Kristyna. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119300084.

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2020Price discovery in stock and options markets. (2020). Putnins, Talis ; Michayluk, David ; Patel, Vinay ; Foley, Sean. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303544.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2020Dynamics of global roundwood prices – Cointegration analysis. (2020). Hagler, R W ; Chudy, R P. In: Forest Policy and Economics. RePEc:eee:forpol:v:115:y:2020:i:c:s1389934119302126.

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2019Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting. (2019). Walther, Thomas ; Bouri, Elie ; Klein, Tony. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302446.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2018Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets. (2018). Lin, Chu-Bin ; Chou, Robin K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:17-31.

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2018Price discovery in euro area sovereign credit markets and the ban on naked CDS. (2018). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:106-125.

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2019Exploring the impact of strategic emphasis on advertising versus R&D during stock market downturns and upturns. (2019). Sung, Jin Kyung ; Yoo, Shijin ; Park, Jimi. In: Journal of Business Research. RePEc:eee:jbrese:v:94:y:2019:i:c:p:56-64.

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2020Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265.

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2019A tale of two volatilities: Sectoral uncertainty, growth, and asset prices. (2019). Segal, Gill . In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:110-140.

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2019The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.

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2019Price discovery in commodity futures and cash markets with heterogeneous agents. (2019). van Huellen, Sophie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:95:y:2019:i:c:p:1-13.

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2019Testing for news and noise in non-stationary time series subject to multiple historical revisions. (2019). Hecq, Alain ; Stamatogiannis, Michalis P. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:396-407.

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2019Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models. (2019). Horvath, Lajos ; Rice, Gregory. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:138-165.

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2019Characteristics of petroleum product prices: A survey. (2019). Linn, Scott ; Ederington, Louis H ; Lee, Thomas K ; Hoelscher, Seth A ; Fernando, Chitru S. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:14:y:2019:i:c:p:1-15.

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2019Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors. (2019). Idume, Gabriel ; Yuni, Denis ; Anochiwa, Lasbrey ; Urom, Christian. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300246.

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2019U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility. (2019). el Ghini, Ahmed ; Belcaid, Karim. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300672.

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2018The effects of wage flexibility on activity and employment in Spain. (2018). Domenech, Rafael ; Ulloa, Camilo ; Garcia, Juan Ramon. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:6:p:1200-1220.

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2019Resource rents, economic growth, and the role of institutional quality: A panel threshold analysis. (2019). Khan, Muhammad Asif ; Shu, Yang ; Abdulahi, Mohamued Elyas. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:293-303.

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2020Stationarity of prices of precious and industrial metals using recent unit root methods: Implications for markets’ efficiency. (2020). Wahab, Bashir ; Adewuyi, Adeolu O ; Adeboye, Olusegun S. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305987.

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2018Forward contracts in electricity markets and capacity investment: A simulation study. (2018). Alvarez-Uribe, Karla C ; Larsen, Erik R ; Arango-Aramburo, Santiago. In: Utilities Policy. RePEc:eee:juipol:v:54:y:2018:i:c:p:1-10.

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

Works by Jesus Gonzalo:


YearTitleTypeCited
2019Quantile 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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2019Dynamic effects of persistent shocks In: Working Papers.
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2019Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics.
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1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
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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.(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.
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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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2019Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
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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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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: CORE Discussion Papers.
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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: CORE Discussion Papers.
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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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2010Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics.
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2007Modelling and measuring price discovery in commodity markets.(2007) In: DEE - Working Papers. Business Economics. WB.
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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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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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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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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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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: Review of Financial Studies.
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2019Leptospirosis as a risk factor for chronic kidney disease: A systematic review of observational studies In: PLOS Neglected Tropical Diseases.
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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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