Jesus Gonzalo : Citation Profile


Are you Jesus Gonzalo?

Universidad Carlos III de Madrid

16

H index

23

i10 index

2222

Citations

RESEARCH PRODUCTION:

32

Articles

63

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 82
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 208.    Total self citations: 26 (1.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo192
   Updated: 2019-10-21    RAS profile: 2019-07-22    
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Relations with other researchers


Works with:

Olmo, Jose (3)

Dolado, Juan (3)

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 (30)

Mayoral, Laura (24)

Teräsvirta, Timo (20)

Gallo, Giampiero (18)

GUPTA, RANGAN (18)

KORAP, LEVENT (17)

Pereira, Alfredo (17)

Pesaran, M (17)

MORANA, CLAUDIO (17)

Hecq, Alain (17)

Sephton, Peter (16)

Cites to:

Campbell, John (47)

Hansen, Bruce (38)

Phillips, Peter (25)

Granger, Clive (20)

Shiller, Robert (13)

Pitarakis, Jean-Yves (13)

Bai, Jushan (12)

Watson, Mark (11)

Park, Joon (11)

Andrews, Donald (11)

Johansen, Soren (10)

Main data


Where Jesus Gonzalo has published?


Journals with more than one article published# docs
Journal of Econometrics9
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 Economía23
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística9
MPRA Paper / University Library of Munich, Germany2
Econometrics / University Library of Munich, Germany2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Working Papers / Department of Economics, City University London2
Working Papers / Barcelona Graduate School of Economics2
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa2

Recent works citing Jesus Gonzalo (2019 and 2018)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017The Information Content of the Limit Order Book. (2017). Frank, Julieta ; Arzandeh, Mehdi . In: 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON. RePEc:ags:cafp17:253251.

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2017Price discovery in the European wheat market. (2017). Vollmer, Teresa ; von Cramon-Taubadel, Stephan. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261135.

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2018Dynamic price discovery in the European wheat market based on the concept of partial cointegration. (2018). Vollmer, T ; von Cramon-Taubadel, S. 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). Valdes, R ; Engler, A ; von Cramon, S. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277064.

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2018The Dynamic Properties of Natural Resource Prices. (2018). Ghoshray, Atanu. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277210.

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

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2019State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1807.02248.

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2018Spanning Tests for Markowitz Stochastic Dominance. (2018). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800.

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

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2018Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement. (2018). Goldman, Elena ; Shen, Xiangjin . In: Staff Working Papers. RePEc:bca:bocawp:18-21.

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

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2018Impacts of shifting China¡¯s final energy consumption to electricity on CO2 emission reduction. (2018). Zhao, Weigang ; Wei, Yi-Ming ; Wang, Ke ; Miao, BO ; Cao, Yunfei. In: CEEP-BIT Working Papers. RePEc:biw:wpaper:115.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2018Testing the CVAR in the Fractional CVAR Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849.

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

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2017A Factor Analytical Approach to Price Discovery. (2017). , Joakimwesterlund ; Narayan, Paresh ; Reese, Simon ; Westerlund, Joakim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:366-394.

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2018On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy. (2018). Conti, Antonio ; Barigozzi, Matteo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:80:y:2018:i:4:p:755-787.

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2017Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks. (2017). Chou, Yu-Hsi. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:1:p:165-194.

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2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticit. (2019). Linton, O ; 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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2018The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis. (2018). Theodoridis, Konstantinos ; mumtaz, haroon. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/1.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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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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2017Estimating non-stationary common factors : Implications for risk sharing. (2017). Poncela, Pilar ; Corona, Francisco ; Ortega, Esther Ruiz . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24585.

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2018The Relation between Monetary Policy and the Stock Market in Europe. (2018). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1729.

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2018Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier. (2018). Tzavalis, Elias ; McAdam, Peter ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20182136.

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2018Integration of ASEAN banking sector stocks. (2018). Mensah, Jones Odei ; Premaratne, Gamini. In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:48-60.

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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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2018Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. (2018). Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:205-222.

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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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2018Permanent shocks, signal extraction, and portfolio selection. (2018). Nazliben, Korhan K ; Rodriguez, Juan Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:47-68.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2018The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:543-560.

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2018The dynamics and determinants of Kuwaits long-run economic growth. (2018). Mohaddes, Kamiar ; Al-Musallam, Marwa ; Alawadhi, Ahmad ; Burney, Nadeem A. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:289-304.

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2018Multi-horizon wealth effects across the G7 economies. (2018). Apergis, Nicholas ; Hassapis, Christis ; Christou, Christina ; Bouras, Christos. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:165-176.

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2018Forecasting gold futures market volatility using macroeconomic variables in the United States. (2018). Fang, Libing ; Xiao, Wen ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:249-259.

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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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2018Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆. (2018). Wohar, Mark ; Selmi, Refk ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:87-96.

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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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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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2018Threshold regression with endogeneity. (2018). Phillips, Peter ; PEter, ; Yu, Ping . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:50-68.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran . In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:187-225.

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2018Estimation of large dimensional factor models with an unknown number of breaks. (2018). Su, Liangjun ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:1-29.

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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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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2018Macroeconomic determinants of stock market betas. (2018). Gonzalez, Mariano ; Rubio, Gonzalo ; Nave, Juan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:26-44.

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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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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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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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2018Gold and crude oil prices after the great moderation. (2018). Sephton, Peter ; Mann, Janelle. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:273-281.

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2018Impacts of shifting Chinas final energy consumption to electricity on CO2 emission reduction. (2018). Zhao, Weigang ; Wei, Yi-Ming ; Wang, Ke ; Miao, BO ; Cao, Yunfei. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:359-369.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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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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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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2017Intraday price discovery in fragmented markets. (2017). van der Wel, Michel ; Ozturk, Sait ; van Dijk, Dick. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48.

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2017Price discovery in equity and CDS markets. (2017). Perrakis, Stylianos ; Zhong, Rui ; Kryzanowski, Lawrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:21-46.

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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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2018Financial stress and equilibrium dynamics in term interbank funding markets. (2018). Yoldas, Emre ; Senyuz, Zeynep. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:136-149.

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2017An international examination of the economic effectiveness of banking recapitalization. (2017). Guney, Yilmaz ; Adegbite, Emmanuel ; Tahir, Suleiman . In: International Business Review. RePEc:eee:iburev:v:26:y:2017:i:3:p:417-434.

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2018Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Robert, ; Sewraj, Deeya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240.

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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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2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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2017Dutch disease, real effective exchange rate misalignments and their effect on GDP growth in EU. (2017). Comunale, Mariarosaria. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:350-370.

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2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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2018Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market. (2018). Stillwagon, Josh ; juselius, katarina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:93-105.

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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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2017Price discovery in agricultural commodity markets in the presence of futures speculation. (2017). Jung, Robert ; Flad, Michael ; Dimpfl, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:5:y:2017:i:c:p:50-62.

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2017Agricultural price transmission: China relationships with world commodity markets. (2017). Gale, Fred ; Cooke, Bryce ; Arnade, Carlos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:28-40.

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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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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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2017An empirical analysis of algorithmic trading around earnings announcements. (2017). Zheng, Hui ; Prodromou, Tina ; Westerholm, Joakim P ; Frino, Alex. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:34-51.

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2018Price discovery in Chinas inter-bank bond market. (2018). Wu, Lei ; Zeng, Hongchao ; Meng, Qingbin ; Liu, Chunlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:84-98.

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2018Some preliminary evidence of price discovery in Islamic banks. (2018). Narayan, Paresh Kumar ; Westerlund, Joakim ; Thuraisamy, Kannan Sivananthan ; Sharma, Susan Sunila. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:52:y:2018:i:c:p:107-122.

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2018Islamic spot and index futures markets: Where is the price discovery?. (2018). Karabiyik, Hande ; Westerlund, Joakim ; Bach, Dinh Hoang ; Narayan, Paresh Kumar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:52:y:2018:i:c:p:123-133.

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2018How does stock market volatility react to NVIX? Evidence from developed countries. (2018). Fang, Libing ; Yu, Honghai ; Chen, Ying ; Qian, Yichuo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:490-499.

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

Works by Jesus Gonzalo:


YearTitleTypeCited
1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
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article521
1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
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paper
2005What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks In: Working Papers.
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2005What is what?: A simple time-domain test of long-memory vs. structural breaks.(2005) In: Economics Working Papers.
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paper
2003Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers.
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paper6
1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
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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.
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article15
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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This paper has another version. Agregated cites: 15
paper
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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This paper has another version. Agregated cites: 15
paper
2006Threshold Effects in Cointegrating Relationships In: Oxford Bulletin of Economics and Statistics.
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article40
2006Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 40
paper
2019Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
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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.
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article3
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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This paper has another version. Agregated cites: 3
paper
2017The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2017The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 0
paper
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
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paper31
1994Comovements in Large Systems In: CORE Discussion Papers.
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paper6
1995Comovements in large systems.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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This paper has another version. Agregated cites: 6
paper
1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: CORE Discussion Papers.
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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.
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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.
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This paper has another version. Agregated cites: 0
paper
2018Quantile Factor Models In: CEPR Discussion Papers.
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paper0
2017Quantile Factor Models.(2017) In: UC3M Working papers. Economics.
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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.
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paper3
2004Threshold Integrated Moving Average Models (Does Size Matter? Maybe So).(2004) In: Econometric Society 2004 North American Winter Meetings.
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This paper has another version. Agregated cites: 3
paper
2000Econometric implications of non-exact present value models In: DE - Documentos de Trabajo. Economía. DE.
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paper0
2008Modelling and Measuring Price Discovery in Commodity Markets In: DEE - Working Papers. Business Economics. WB.
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paper44
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: 44
paper
2010Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 44
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.
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paper0
2019Predictive Regressions In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2005Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics.
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paper12
2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
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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.
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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.
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paper7
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
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This paper has another version. Agregated cites: 7
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]
paper13
2011Detecting big structural breaks in large factor models In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper45
2014Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
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: 45
paper
2011Detecting big structural breaks in large factor models.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2011The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper1
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: 1
paper
2012Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics.
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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.
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paper14
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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paper4
2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
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paper0
2007The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers.
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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.
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paper1
2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
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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.
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paper7
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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This paper has another version. Agregated cites: 7
paper
2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
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This paper has another version. Agregated cites: 7
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.
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paper117
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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article
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 117
paper
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 117
paper
1997Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS.
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paper15
2002A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica.
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article58
2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
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paper17
2004Which Extreme Values Are Really Extreme?.(2004) In: Journal of Financial Econometrics.
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article
1997Testing for multicointegration In: Economics Letters.
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article32
1998Specification via model selection in vector error correction models In: Economics Letters.
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article40
2002Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics.
[Full Text][Citation analysis]
article87
2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
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article39
2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
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This paper has another version. Agregated cites: 39
paper
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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article2
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]
article14
1994Five alternative methods of estimating long-run equilibrium relationships In: Journal of Econometrics.
[Full Text][Citation analysis]
article544
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]
article116
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
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This paper has another version. Agregated cites: 116
paper
1993Cointegration and aggregation In: Ricerche Economiche.
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article9
1992Cointegration and Aggregation..(1992) In: Boston University - Department of Economics.
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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.
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article0
2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies.
[Full Text][Citation analysis]
article289
2017Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics.
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article0
2005Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers.
[Full Text][Citation analysis]
paper6

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