Ignacio N. Lobato : Citation Profile


Are you Ignacio N. Lobato?

Instituto Tecnólogico Autónomo de México (ITAM)

14

H index

16

i10 index

1026

Citations

RESEARCH PRODUCTION:

23

Articles

17

Papers

RESEARCH ACTIVITY:

   21 years (1994 - 2015). See details.
   Cites by year: 48
   Journals where Ignacio N. Lobato has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 11 (1.06 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo172
   Updated: 2019-09-14    RAS profile: 2015-10-15    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ignacio N. Lobato.

Is cited by:

Gil-Alana, Luis (131)

Caporale, Guglielmo Maria (49)

Kim, Jae (34)

Darné, Olivier (34)

Nielsen, Morten (32)

tansel, aysıt (29)

Ozdemir, Zeynel (27)

GUPTA, RANGAN (25)

MORANA, CLAUDIO (23)

Lux, Thomas (22)

Balcilar, Mehmet (22)

Cites to:

Robinson, Peter (8)

Chatterji, Shurojit (8)

Bierens, Herman (8)

White, Halbert (7)

Velasco, Carlos (7)

Hong, Yongmiao (6)

Horowitz, Joel (5)

Delgado, Miguel (5)

Andrews, Donald (5)

Escanciano, Juan Carlos (4)

Lavergne, Pascal (4)

Main data


Where Ignacio N. Lobato has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics4
Journal of Econometrics4
Econometric Theory3
Econometrica2

Working Papers Series with more than one paper published# docs
Working Papers / Centro de Investigacion Economica, ITAM7
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing Ignacio N. Lobato (2018 and 2017)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2018Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616.

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2018Change-Point Testing and Estimation for Risk Measures in Time Series. (2018). Fan, Lin ; Pelger, Markus ; Glynn, Peter W. In: Papers. RePEc:arx:papers:1809.02303.

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2019Covariate Distribution Balance via Propensity Scores. (2018). Sant'Anna, Pedro ; Xu, QI ; Song, Xiaojun. In: Papers. RePEc:arx:papers:1810.01370.

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2019Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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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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2018Foreign currency borrowing, balance sheet shocks and real outcomes. (2018). Hardy, Bryan . In: BIS Working Papers. RePEc:bis:biswps:758.

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2019From carry trades to trade credit: financial intermediation by non-financial corporations. (2019). Saffie, Felipe ; Hardy, Bryan. In: BIS Working Papers. RePEc:bis:biswps:773.

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2017High-order Corrected Estimator of Asymptotic Variance with Optimal Bandwidth. (2017). Chan, Kin Wai ; Yau, Chun Yip. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:4:p:866-898.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2018Commodity Prices Shocks and the Balance Sheet Effect in Latin America. (2018). Torres García, Alejandro ; Escobar, Laura Wberth ; Garcia, Alejandro Torres. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016362.

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2017Dynamic conditional score models with time-varying location, scale and shape parameters. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:25043.

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2018Seasonal quasi-vector autoregressive models for macroeconomic data. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:26316.

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2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

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2018On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1731.

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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2019An analysis of the Eurosystem/ECB projections. (2019). Lambrias, Kyriacos ; Kontogeorgos, Georgios. In: Working Paper Series. RePEc:ecb:ecbwps:20192291.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2019Testing the white noise hypothesis of stock returns. (2019). Hill, Jonathan B ; Motegi, Kaiji. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:231-242.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2017On the inefficiency of Bitcoin. (2017). Nadarajah, Saralees ; Chu, Jeffrey. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:6-9.

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2018Adaptive market hypothesis and evolving predictability of bitcoin. (2018). Khuntia, Sashikanta ; Pattanayak, J K. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:26-28.

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2017Efficient estimation in models with independence restrictions. (2017). Poirier, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:1-22.

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2017Inference in semiparametric conditional moment models with partial identification. (2017). Hong, Shengjie . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:156-179.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2017Minimum distance from independence estimation of nonseparable instrumental variables models. (2017). Torgovitsky, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:35-48.

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2017Tests of additional conditional moment restrictions. (2017). Parente, Paulo ; Smith, Richard J. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:1-16.

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2018A multivariate test against spurious long memory. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:33-49.

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2019Specification tests for the propensity score. (2019). Song, Xiaojun. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:379-404.

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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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2017A distance test of normality for a wide class of stationary processes. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:50-60.

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2019Robust analysis of the martingale hypothesis. (2019). Gourieroux, Christian ; Jasiak, Joann. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41.

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2018Oil price shocks and unemployment in Central and Eastern Europe. (2018). Gil-Alana, Luis ; Cuestas, Juan. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:1:p:164-173.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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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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2018Uncovering the nonlinear predictive causality between natural gas and electricity prices. (2018). Uribe, Jorge ; Mosquera-Lopez, Stephania ; Guillen, Montserrat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:904-916.

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2018Does investor attention to energy stocks exhibit power law?. (2018). Ranjan, Ravi Prakash ; Bhattachharyya, Malay. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:573-582.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2017Shocks affecting electricity prices in Kenya, a fractional integration study. (2017). Gil-Alana, Luis ; Carcel, Hector ; Mudida, Robert. In: Energy. RePEc:eee:energy:v:124:y:2017:i:c:p:521-530.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2017Persistence and cycles in the us federal funds rate. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:1-8.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2017CPI and inflation in Kenya. Structural breaks, non-linearities and dependence. (2017). Gil-Alana, Luis ; Mudida, Robert. In: International Economics. RePEc:eee:inteco:v:150:y:2017:i:c:p:72-79.

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2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:eee:inteco:v:151:y:2017:i:c:p:100-112.

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2017On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning. (2017). Keddad, Benjamin ; DE TRUCHIS, Gilles ; Delleva, Cyril . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:82-98.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2017Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. (2017). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Awe, Olushina. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:117-124.

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2017Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Carcel, Hector ; Aye, Goodness C. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:53-57.

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2018Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations. (2018). Reisen, Valderio Anselmo ; Abraham, Bovas ; Ziegelmann, Flavio Augusto ; Bondon, Pascal ; Fajardo, Fabio Alexander ; Sgrancio, Adriano Marcio ; da Conceio, Glaura ; Monte, Edson Zambon. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:146:y:2018:i:c:p:27-43.

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2017Record length requirement of long-range dependent teletraffic. (2017). Li, Ming. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:164-187.

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2017Generalized Cauchy model of sea level fluctuations with long-range dependence. (2017). Li, Ming. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:309-335.

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2018Market efficiency of Baltic stock markets: A fractional integration approach. (2018). YAYA, OLAOLUWA ; GUPTA, RANGAN ; Gil-Alana, Luis ; Shittu, Olanrewaju I. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:251-262.

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2018Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. (2018). Wang, Shixuan ; Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:297-307.

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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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2019Nassim Taleb heads international banking’s first Grey/Black Swan Committee. (2019). Phillips, Emir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:117-122.

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2017Assessing financial and housing wealth effects through the lens of a nonlinear framework. (2017). Sousa, Ricardo ; JAWADI, Fredj ; Soparnot, Richard. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:840-850.

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2018Subsampling based inference for U statistics under thick tails using self-normalization. (2018). Chen, Willa W ; Deo, Rohit S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:95-103.

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2017Testing for high-dimensional white noise using maximum cross correlations. (2017). Chang, Jinyuan ; Zhou, Wen ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68531.

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2018Identfication, data combination and the risk of disclosure. (2017). Komarova, Tatiana ; Yakovlev, Evgeny ; Nekipelov, Denis. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:79384.

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2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211.

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2019Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature. (2019). Rastogi, Shailesh ; Patil, Ashok Chanabasangouda. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:105-:d:242195.

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2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets. (2019). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:67-:d:224155.

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2019Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market. (2019). Quang, Hung Pham ; Tran, Dzung Phan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:81-:d:229435.

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2018Is the Bitcoin Rush Over?. (2018). Guegan, Dominique ; Frunza, Marius. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01822992.

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2017Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01526483.

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2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01579718.

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2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae Paul ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01598139.

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2017The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-613.

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2017The Long Memory of Equity Volatility: International Evidence. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-614.

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2018The Periodogram of Spurious Long-Memory Processes. (2018). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-632.

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2017Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve. (2017). Escanciano, Juan Carlos ; Choi, Jinho ; Guo, Junjie . In: Caepr Working Papers. RePEc:inu:caeprp:2017014.

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2017Long Memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Ozdemir, Zeynel ; Gil-Alana, Luis. In: IZA Discussion Papers. RePEc:iza:izadps:dp11053.

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2017Currency Matching and Carry Trade by Non-Financial Corporations. (2017). Katay, Gabor ; Harasztosi, Péter ; Peter, Harasztosi . In: Working Papers. RePEc:jrs:wpaper:201702.

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2017The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence. (2017). Payne, James ; Mervar, Andrea ; Gil-Alana, Luis. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:1:d:10.1007_s10644-016-9181-2.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2018Rate Optimal Specification Test When the Number of Instruments is Large. (2018). Hitomi, Kohtaro ; Nishiyama, Yoshihiko ; Iwasawa, Masamune . In: KIER Working Papers. RePEc:kyo:wpaper:986.

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2017Long Memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Ozdemir, Zeynel ; Gil-Alana, Luis. In: ERC Working Papers. RePEc:met:wpaper:1709.

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2018Is the Bitcoin Rush Over?. (2018). Guegan, Dominique ; Frunza, Marius Cristian. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:18014.

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2017Adaptive Market Hypothesis: Evidence from three centuries of UK data. (2017). Almail, Ali ; Almudhaf, Fahad. In: Economics and Business Letters. RePEc:ove:journl:aid:11556.

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2017Long memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Ozdemir, Zeynel ; Gil-Alana, Luis. In: MPRA Paper. RePEc:pra:mprapa:81571.

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2018How do Stocks in BRICS co-move with REITs?. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis. In: MPRA Paper. RePEc:pra:mprapa:88753.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2017Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles. (2017). Wang, Shixuan ; Roubaud, David ; Lau, Chi Keung ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201750.

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2017Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Carcel, Hector ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201753.

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2019Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States. (2019). Sheng, Xin ; Cunado, Juncal ; Gupta, Rangan ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201952.

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2017The Chicago Climate Exchange and market efficiency: an empirical analysis. (2017). Sabbaghi, Omid . In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:19:y:2017:i:4:d:10.1007_s10018-016-0171-4.

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2018Serial independence tests for innovations of conditional mean and variance models. (2018). Ghoudi, Kilani ; Remillard, Bruno. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0521-3.

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2017Normality Tests for Dependent Data. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Working and Discussion Papers. RePEc:svk:wpaper:1053.

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

Works by Ignacio N. Lobato:


YearTitleTypeCited
2001Testing That a Dependent Process Is Uncorrelated In: Journal of the American Statistical Association.
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article45
1998Real and Spurious Long-Memory Properties of Stock-Market Data. In: Journal of Business & Economic Statistics.
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article247
1996Real and Spurious Long Memory Properties of Stock Market Data..(1996) In: Working Papers.
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This paper has another version. Agregated cites: 247
paper
1996Real and Spurious Long Memory Properties of Stock Market Data.(1996) In: Econometrics.
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This paper has another version. Agregated cites: 247
paper
1998Real and Spurious Long-Memory Properties of Stock-Market Data: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article131
2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
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article85
2003Testing for Nonlinear Autoregression. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
2010Transformations of the state variable and learning dynamics In: International Journal of Economic Theory.
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article0
2007Transformations of the State Variable and Learning Dynamics.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2009Transformations of the State Variable and Learning Dynamics.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
1997A Nonparametric Test for I(0) - (Now published in Review of Economic Studies, 65 (1998), pp.475-495.) In: STICERD - Econometrics Paper Series.
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paper0
2001A Consistent Test for the Martingale Difference Hypothesis In: Working Papers.
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paper12
2001Size Corrected Power for Bootstrap Tests In: Working Papers.
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paper1
2004Optimal Fractional Dickey-Fuller Tests for Unit Roots In: Working Papers.
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paper2
2004Debt Composition and Balance Sheet Effects of Exchange Rate Volatility in Mexico: A Firm Level Analysis In: Working Papers.
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paper47
2003Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis.(2003) In: Emerging Markets Review.
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This paper has another version. Agregated cites: 47
article
2010Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM In: Working Papers.
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paper0
2005Efficient wald tests for fractional unit roots In: UC3M Working papers. Economics.
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paper71
2007Efficient Wald Tests for Fractional Unit Roots.(2007) In: Econometrica.
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This paper has another version. Agregated cites: 71
article
2006A consistent specification test for models defined by conditional moment restrictions In: UC3M Working papers. Economics.
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paper1
2002TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE In: Econometric Theory.
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article29
2004A SIMPLE TEST OF NORMALITY FOR TIME SERIES In: Econometric Theory.
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article9
2015A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS In: Econometric Theory.
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article1
2004Consistent Estimation of Models Defined by Conditional Moment Restrictions In: Econometrica.
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article60
2004A simple and general test for white noise In: Econometric Society 2004 Latin American Meetings.
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paper0
2000A Consistent Test for the Martingale Difference Assumption In: Econometric Society World Congress 2000 Contributed Papers.
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paper0
2006Optimal Fractional Dickey-Fuller tests In: Econometrics Journal.
[Full Text][Citation analysis]
article10
2008Power comparison among tests for fractional unit roots In: Economics Letters.
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article2
2006Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness In: Journal of Econometrics.
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article24
2009An automatic Portmanteau test for serial correlation In: Journal of Econometrics.
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article69
1996Averaged periodogram estimation of long memory In: Journal of Econometrics.
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article47
1999A semiparametric two-step estimator in a multivariate long memory model In: Journal of Econometrics.
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article71
2015On divergent dynamics with ordinary least squares learning In: Journal of Economic Behavior & Organization.
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article0
1997Semiparametric estimation of seasonal long memory models: theory and an application to the modeling of exchange rates In: Investigaciones Economicas.
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article1
2001Testing for Autocorrelation Using a Modified Box-Pierce Q Test. In: International Economic Review.
[Citation analysis]
article39
2003Testing the Martingale Difference Hypothesis In: Econometric Reviews.
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article19
2013Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models In: Journal of Business & Economic Statistics.
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article2
1994Cartel Stability and the Joint Executive Committee, 1880-1886 In: Economics Technical Papers.
[Citation analysis]
paper0
1997Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test. In: Working Papers.
[Citation analysis]
paper0
1999A Robust Test For Autocorrelation in the Presence of Statistical Dependence In: Working Papers.
[Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team