Jesus Gonzalo : Citation Profile


Are you Jesus Gonzalo?

Universidad Carlos III de Madrid

17

H index

23

i10 index

2560

Citations

RESEARCH PRODUCTION:

34

Articles

72

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1992 - 2021). See details.
   Cites by year: 88
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 210.    Total self citations: 31 (1.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo192
   Updated: 2021-10-16    RAS profile: 2021-06-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Dolado, Juan (5)

Pitarakis, Jean-Yves (5)

Sanz, Carlos (3)

Alloza, Mario (3)

Olmo, Jose (2)

Taamouti, Abderrahim (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 (32)

GUPTA, RANGAN (28)

Mayoral, Laura (24)

Gallo, Giampiero (22)

Guillén, Osmani (21)

Teräsvirta, Timo (20)

Pereira, Alfredo (18)

Sephton, Peter (18)

KORAP, LEVENT (17)

Pesaran, M (17)

MORANA, CLAUDIO (17)

Cites to:

Campbell, John (49)

Hansen, Bruce (36)

Phillips, Peter (28)

Granger, Clive (22)

Watson, Mark (22)

Pitarakis, Jean-Yves (19)

Stock, James (19)

Bai, Jushan (14)

Shiller, Robert (13)

Diebold, Francis (12)

Johansen, Soren (12)

Main data


Where Jesus Gonzalo has published?


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

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía28
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística9
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa2
Papers / arXiv.org2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Working Papers / Barcelona Graduate School of Economics2
Working Papers / Department of Economics, City University London2
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2
MPRA Paper / University Library of Munich, Germany2
Econometrics / University Library of Munich, Germany2

Recent works citing Jesus Gonzalo (2021 and 2020)


YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021The risk spillover from economic policy uncertainties to the European Union Emission Trading Scheme. (2020). Fan, Ying ; Liu, Yinpeng ; Dai, Peng-Fei ; Guo, Jianfeng ; Wang, Jiqiang. In: Papers. RePEc:arx:papers:2007.10564.

Full description at Econpapers || Download paper

2020The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838.

Full description at Econpapers || Download paper

2021Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2021). Han, XU ; Bai, Jushan ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:2102.12666.

Full description at Econpapers || Download paper

2021Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894.

Full description at Econpapers || Download paper

2021Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems. (2021). , Peter ; PEter, ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:2108.03486.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Is there a nexus between China outward foreign direct investment and welfare in Côte d?Ivoire? Empirical evidence from the Toda–Yamamoto procedure. (2020). Abdul, Rehman ; Cheng, Jianhua ; Adeleye, Bosede Ngozi ; Allou, Ehouma Jacques. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:3:p:499-510.

Full description at Econpapers || Download paper

2020Nudging farmers in crop choice using price information: Evidence from Ethiopian Commodity Exchange. (2020). Belay, Dagim ; Ayalew, Hailemariam. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:5:p:793-808.

Full description at Econpapers || Download paper

2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020A threshold mixed count time series model: estimation and application. (2020). Tremayne, Andrew ; Tang, Chrismin ; Andrew, Tremayne ; Chrismin, Tang ; Vance, Martin ; Mardi, Dungey . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:18:n:7.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Capital Flows and Emerging Markets Fluctuations. (2021). Lorca, Jorge. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:898.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

Full description at Econpapers || Download paper

2020Tax multipliers across the business cycle. (2020). Konietschke, Paul ; Bonam, Dennis. In: DNB Working Papers. RePEc:dnb:dnbwpp:699.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021When lightning strikes twice: The tragedy-induced demise and attempted corporate resuscitation of Malaysia airlines. (2021). Corbet, Shaen ; O'Connell, John F ; Lucey, Brian ; Efthymiou, Marina. In: Annals of Tourism Research. RePEc:eee:anture:v:87:y:2021:i:c:s016073832030253x.

Full description at Econpapers || Download paper

2020Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000.

Full description at Econpapers || Download paper

2020A multilevel index of heterogeneous short-term and long-term debt dynamics. (2020). Golinelli, Roberto ; Bottazzi, Laura ; Bontempi, Maria. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301103.

Full description at Econpapers || Download paper

2020The impact of blockchain related name changes on corporate performance. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Yarovaya, Larisa ; Akyildirim, Erdinc. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302030.

Full description at Econpapers || Download paper

2021Resources, conflict, and economic development in Africa. (2021). Nyshadham, Anant ; Khanna, Gaurav ; Fenske, James ; Adhvaryu, Achyuta. In: Journal of Development Economics. RePEc:eee:deveco:v:149:y:2021:i:c:s0304387820301735.

Full description at Econpapers || Download paper

2021The role of the leverage effect in the price discovery process of credit markets. (2021). Zimmermann, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302013.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Testing linear relationships between non-constant variances of economic variables. (2020). RAÏSSI, HAMDI ; Raissi, Hamdi ; Hirukawa, Junichi. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:182-189.

Full description at Econpapers || Download paper

2020Cross market predictions for commodity prices. (2020). Zhang, Yongmin ; Ding, Shusheng. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:455-462.

Full description at Econpapers || Download paper

2020Threshold effect of economic openness on bank risk-taking: Evidence from emerging markets. (2020). Mai, Hoai Thi ; Bui, Tung Duy. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:790-803.

Full description at Econpapers || Download paper

2020Determining the information share of liquidity and order flows in extreme price movements. (2020). Long, Yunshen ; Liu, Chang ; Wu, Liang. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:559-575.

Full description at Econpapers || Download paper

2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

Full description at Econpapers || Download paper

2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

Full description at Econpapers || Download paper

2021Is the assumption of constant factor loadings too strong in practice?. (2021). Hartigan, Luke ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:100-108.

Full description at Econpapers || Download paper

2021Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks. (2021). Anghel, Dan Gabriel ; Cepoi, Cosmin-Octavian ; Pop, Ionu Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:302-318.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020The destabilising effects of cryptocurrency cybercriminality. (2020). lucey, brian ; Cumming, Douglas ; Corbet, Shaen ; Vigne, Samuel A ; Peat, Maurice. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303714.

Full description at Econpapers || Download paper

2021Price discovery in US money market benchmarks: LIBOR vs. SOFR. (2021). Fassas, Athanasios P. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001592.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

Full description at Econpapers || Download paper

2020Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:66-100.

Full description at Econpapers || Download paper

2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

Full description at Econpapers || Download paper

2021Estimating and testing high dimensional factor models with multiple structural changes. (2021). Baltagi, Badi ; Wang, FA ; Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:349-365.

Full description at Econpapers || Download paper

2021Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

Full description at Econpapers || Download paper

2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:455-482.

Full description at Econpapers || Download paper

2021Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models. (2021). Yi, Yanping ; Huang, Zhuo ; Chen, Xiao Hong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:484-501.

Full description at Econpapers || Download paper

2021Indirect inference for locally stationary models. (2021). Koo, Bonsoo ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:1-27.

Full description at Econpapers || Download paper

2021Nonparametric estimation of large covariance matrices with conditional sparsity. (2021). Leng, Chenlei ; Li, Degui ; Peng, Bin ; Wang, Hanchao. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:53-72.

Full description at Econpapers || Download paper

2021Bootstrapping non-stationary stochastic volatility. (2021). Rahbek, Anders ; Cavaliere, Giuseppe ; Georgiev, Iliyan ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:161-180.

Full description at Econpapers || Download paper

2020Linear and nonlinear growth determinants: The case of Mongolia and its connection to China. (2020). Wong, Wing-Keung ; Wagner, Niklas ; Lv, Zhihui. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s156601411830428x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49.

Full description at Econpapers || Download paper

2021Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205.

Full description at Econpapers || Download paper

2021New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets. (2021). Barabanov, Nikita ; Miljkovic, Dragan ; Goetz, Cole. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002784.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Mild explosivity in recent crude oil prices. (2020). Paraskevopoulos, Ioannis ; McCrorie, Roderick J ; Figuerola-Ferretti, Isabel. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319301471.

Full description at Econpapers || Download paper

2020Persistence in per capita energy consumption: A fractional integration approach with a Fourier function. (2020). yilanci, Veli ; Görüş, Muhammed ; Gorus, Muhammed Sehid ; Bozoklu, Seref. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302668.

Full description at Econpapers || Download paper

2020Commodity price pass-through and inflation regimes. (2020). Lan, Hao ; Abbas, Syed. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303170.

Full description at Econpapers || Download paper

2020The financial market effects of international aviation disasters. (2020). Sensoy, Ahmet ; Corbet, Shaen ; O'Connell, John F ; Guiomard, Cathal ; Efthymiou, Marina ; Akyildirim, Erdinc. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301125.

Full description at Econpapers || Download paper

2020Information-based trading and information propagation: Evidence from the exchange traded fund market. (2020). Zhao, Yang ; Xu, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301393.

Full description at Econpapers || Download paper

2020Price discovery and microstructure in ether spot and derivative markets. (2020). Choi, Jaehyuk ; Alexander, Carol ; Sohn, Sungbin. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502.

Full description at Econpapers || Download paper

2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

Full description at Econpapers || Download paper

2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

Full description at Econpapers || Download paper

2021Intraday indirect arbitrage between European index ETFs. (2021). Tooma, Eskandar ; Bassiouny, Aliaa. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000806.

Full description at Econpapers || Download paper

2020Financial integration in the United Arab Emirates Stock Markets. (2020). Ghalayini, Rim ; Olmo, Jose ; Kapar, Burcu. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300492.

Full description at Econpapers || Download paper

2020The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Akyildirim, Erdinc ; Kellard, Neil ; Katsiampa, Paraskevi. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304714.

Full description at Econpapers || Download paper

2021Time-varying price discovery in sovereign credit markets. (2021). Guidolin, Massimo ; Tosi, Alessandra ; Pedio, Manuela. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319307640.

Full description at Econpapers || Download paper

2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

Full description at Econpapers || Download paper

2021Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis. (2021). Ziegelmann, Flavio A ; Gavronski, Pedro Gerhardt. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320301082.

Full description at Econpapers || Download paper

2021Time domain and frequency domain Granger causality networks: Application to China’s financial institutions. (2021). Chevallier, Julien ; Xie, Chi ; Chen, Yang-Yang ; Si, Hui-Bin ; Wang, Gang-Jin. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311419.

Full description at Econpapers || Download paper

2021Where was the global price of silver established? Evidence from London and New York (1878–1953). (2021). O'Connor, Fergal ; Corbet, Shaen ; Oconnor, Fergal. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303780.

Full description at Econpapers || Download paper

2021Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. (2021). Zhang, Songyun ; Li, Xiafei ; Wei, Guiwu ; Bai, Lan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320308266.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Cash conversion cycle and aggregate stock returns. (2021). Lin, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030029x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Information processing on equity prices and exchange rate for cross-listed stocks. (2021). Scherrer, Cristina Mabel. In: Journal of Financial Markets. RePEc:eee:finmar:v:54:y:2021:i:c:s1386418121000161.

Full description at Econpapers || Download paper

2020Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020The welfare effect of co-payment adjustments on emergency department visits in medical centers: Evidence from Taiwan. (2020). Chen, Wen-Yi. In: Health Policy. RePEc:eee:hepoli:v:124:y:2020:i:11:p:1192-1199.

Full description at Econpapers || Download paper

2021Cause-specific mortality rates: Common trends and differences. (2021). Glushko, Viktoriya ; Arnold, Severine. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:294-308.

Full description at Econpapers || Download paper

2020Tracking fiscal discipline. Looking for a PIIGS on the wing. (2020). Neto, David. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:147-154.

Full description at Econpapers || Download paper

2021Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes. (2021). Ndubuisi, Gideon ; Ozor, Jude ; Urom, Christian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:51-66.

Full description at Econpapers || Download paper

2021Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Predicting default risk under asymmetric binary link functions. (2020). Varthalitis, Petros ; Tzavalis, Elias ; Athanasiou, E ; Dendramis, Y. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1039-1056.

Full description at Econpapers || Download paper

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

Works by Jesus Gonzalo:


YearTitleTypeCited
2020Quantile Factor Models In: Papers.
[Full Text][Citation analysis]
paper3
2018Quantile Factor Models.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2017Quantile Factor Models.(2017) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2020Quantile Factor Models.(2020) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2021Quantile Factor Models.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2020Dynamic Effects of Persistent Shocks In: Papers.
[Full Text][Citation analysis]
paper6
2019Dynamic effects of persistent shocks.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2019Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
[Citation analysis]
article595
1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 595
paper
2005What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks In: Working Papers.
[Full Text][Citation analysis]
paper20
2005What is what?: A simple time-domain test of long-memory vs. structural breaks.(2005) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2003Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers.
[Full Text][Citation analysis]
paper6
1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article1
1995Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2002Lag length estimation in large dimensional systems In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article14
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2006Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article43
2006Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43
paper
2019Differences Between Short? and Long?Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article0
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]
article5
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2017The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article0
2017The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
[Full Text][Citation analysis]
paper31
1994Comovements in Large Systems In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper8
1995Comovements in large systems.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2003Threshold integrated moving average models: does size matter? maybe so In: DE - Documentos de Trabajo. Economía. DE.
[Full Text][Citation analysis]
paper3
2004Threshold Integrated Moving Average Models (Does Size Matter? Maybe So).(2004) In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2000Econometric implications of non-exact present value models In: DE - Documentos de Trabajo. Economía. DE.
[Full Text][Citation analysis]
paper0
2008Modelling and Measuring Price Discovery in Commodity Markets In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]
paper72
2007Modelling and measuring price discovery in commodity markets.(2007) In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72
paper
2010Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72
article
2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2017Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper1
2020Trends in distributional characteristics: Existence of global warming.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2019Predictive Regressions In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2020Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2020Out of sample predictability in predictive regressions with many predictor candidates In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2020Uncovering regimes in out of sample forecast errors from predictive regressions In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2021A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) 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]
paper13
2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2008Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2011Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
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]
paper3
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2011Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper10
2011Detecting big structural breaks in large factor models In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper69
2014Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
article
2013Detecting Big Structural Breaks in Large Factor Models.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2011Detecting big structural breaks in large factor models.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2011The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper2
2012The reaction of stock market returns to anticipated unemployment.(2012) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2012Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper3
2013Estimation and inference in threshold type regime switching models.(2013) In: Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
chapter
2013Co-summability from linear to non-linear cointegration In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper17
2006Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper4
2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2007The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper1
2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2008Simple Wald tests of the fractional integration parameter : an overview of new results In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
1995No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
1996P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper6
1996P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
1995P-Values for Non-Standard Distributions with an Application to the DF Test.(1995) In: Boston University - Institute for Economic Development.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper9
1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
1996Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper127
2001A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
article
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 127
paper
1997Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper14
2002A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica.
[Citation analysis]
article60
2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
paper18
2004Which Extreme Values Are Really Extreme?.(2004) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
1997Testing for multicointegration In: Economics Letters.
[Full Text][Citation analysis]
article37
1998Specification via model selection in vector error correction models In: Economics Letters.
[Full Text][Citation analysis]
article47
2002Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics.
[Full Text][Citation analysis]
article107
2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
[Full Text][Citation analysis]
article49
2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2006Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2006Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
2014Summability of stochastic processes—A generalization of integration for non-linear processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
1994Five alternative methods of estimating long-run equilibrium relationships In: Journal of Econometrics.
[Full Text][Citation analysis]
article580
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]
article122
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 122
paper
1993Cointegration and aggregation In: Ricerche Economiche.
[Full Text][Citation analysis]
article9
1992Cointegration and Aggregation..(1992) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
1998On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors. In: International Economic Review.
[Citation analysis]
article6
2003Long-range dependence in Spanish political opinion poll series In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article16
2010The Making of Estimation of Common Long-Memory Components in Cointegrated Systems In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies.
[Full Text][Citation analysis]
article381
2017Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article3
2005Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers.
[Full Text][Citation analysis]
paper6

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team