Daniel Peña : Citation Profile


Are you Daniel Peña?

Universidad Carlos III de Madrid (50% share)
Universidad Carlos III de Madrid (50% share)

12

H index

14

i10 index

440

Citations

RESEARCH PRODUCTION:

47

Articles

84

Papers

RESEARCH ACTIVITY:

   36 years (1980 - 2016). See details.
   Cites by year: 12
   Journals where Daniel Peña has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 33 (6.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe884
   Updated: 2021-02-20    RAS profile: 2019-03-03    
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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 Daniel Peña.

Is cited by:

Darné, Olivier (34)

CHARLES, Amelie (19)

Ruiz, Esther (16)

Veiga, Helena (15)

Caiado, Jorge (14)

Crato, Nuno (12)

Ferrara, Laurent (11)

Loperfido, Nicola (9)

Poncela, Pilar (9)

Maharaj, Elizabeth (6)

Rodríguez Caballero, Carlos (6)

Cites to:

Engle, Robert (22)

Bollerslev, Tim (20)

Lippi, Marco (10)

Granger, Clive (10)

Hallin, Marc (9)

Diebold, Francis (8)

Harvey, Andrew (8)

Forni, Mario (8)

Ruiz, Esther (7)

Zellner, Arnold (7)

Sentana, Enrique (7)

Main data


Where Daniel Peña has published?


Journals with more than one article published# docs
Statistics & Probability Letters6
Journal of Time Series Analysis5
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research5
Journal of Business & Economic Statistics4
Journal of the American Statistical Association4
Computational Statistics & Data Analysis4
International Journal of Forecasting3
Journal of Multivariate Analysis2
Journal of Econometrics2
Investigaciones Economicas2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística57
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía9
DES - Documentos de Trabajo. Estadística y Econometría. DS / Universidad Carlos III de Madrid. Departamento de Estadística4
MPRA Paper / University Library of Munich, Germany4
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)4

Recent works citing Daniel Peña (2021 and 2020)


YearTitle of citing document
2020Multivariate Circulant Singular Spectrum Analysis. (2020). Poncela, Pilar ; Senra, Eva. In: Papers. RePEc:arx:papers:2007.07561.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020Spurious relationships in high dimensional systems with strong or mild persistence. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31553.

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2020Model-free two-sample test for network-valued data. (2020). Vantini, Simone ; Stamm, Aymeric ; Pini, Alessia ; Lovato, Ilenia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302518.

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2020Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing. (2020). Choo, Wei-Chong ; Taylor, James W ; Liu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:651-659.

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2020A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:35-52.

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2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

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2020Error-correction factor models for high-dimensional cointegrated time series. (2020). Zhang, Rongmao ; Yao, Qiwei ; Tu, Yundong. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:106994.

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2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM. (2020). Ucan, Yasemen ; Bayazit, Nilgun Guler ; Bildirici, Melike. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2980-:d:369469.

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2020Time Series Clustering of Electricity Demand for Industrial Areas on Smart Grid. (2020). Kim, Sahm ; Son, Heung-Gu. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:9:p:2377-:d:355978.

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2020Copula Model Selection for Vehicle Component Failures Based on Warranty Claims. (2020). Shemyakin, Arkady ; Kumerow, John ; Wifvat, Kathryn. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:56-:d:365720.

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2020Forecasting Wastewater Temperature Based on Artificial Neural Network (ANN) Technique and Monte Carlo Sensitivity Analysis. (2020). Martin, Viktoria ; Nilsson, David ; Golzar, Farzin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6386-:d:396180.

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2020The General Concept of the Revenue Model for Sustainability Growth. (2020). Jankelova, Nadeda ; Kintler, Jakub ; Remeova, Katarina. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6635-:d:399909.

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2020The accuracy of asymmetric GARCH model estimation. (2020). Charles, Amelie ; Darne, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01943883.

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2020Estimating Non-stationary Common Factors: Implications for Risk Sharing. (2020). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9875-9.

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2021New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model. (2021). Badaoui, Mohammed ; Fatmi, Nadia Idrissi ; Settar, Abdeljalil. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:1:p:55-74.

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2020A fragmented-periodogram approach for clustering big data time series. (2020). Crato, Nuno ; Caiado, Jorge ; Poncela, Pilar. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:14:y:2020:i:1:d:10.1007_s11634-019-00365-8.

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2020Development of an efficient cluster-based portfolio optimization model under realistic market conditions. (2020). Khamseh, Alireza Arshadi ; Mahootchi, Masoud ; Massahi, Mahdi. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:5:d:10.1007_s00181-019-01802-5.

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2020Robust fuzzy clustering based on quantile autocovariances. (2020). Vilar, J A ; Durso, P ; Lafuente-Rego, B. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1053-6.

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Works by Daniel Peña:


YearTitleTypeCited
1996Missing Observations and Additive Outliers in Time Series Models. In: Working Papers.
[Citation analysis]
paper5
1992Missing observations and additive outliers in time series models.(1992) In: UC3M Working papers. Economics.
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paper
2005Multifold Predictive Validation in ARMAX Time Series Models In: Journal of the American Statistical Association.
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article2
2006Outlier Detection in Multivariate Time Series by Projection Pursuit In: Journal of the American Statistical Association.
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article15
2001Cluster Identification Using Projections In: Journal of the American Statistical Association.
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article2
2002A Powerful Portmanteau Test of Lack of Fit for Time Series In: Journal of the American Statistical Association.
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article12
2000A powerful portmanteau test of lack of fit for time series.(2000) In: DES - Working Papers. Statistics and Econometrics. WS.
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paper
1998The Estimation of Food Expenditures from Household Budget Data in the Presence of Bulk Purchases. In: Journal of Business & Economic Statistics.
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article1
1998Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example. In: Journal of Business & Economic Statistics.
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article0
1997Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example.(1997) In: DES - Working Papers. Statistics and Econometrics. WS.
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paper
1984Robust Methods of Building Regression Models-An Application to the Housing Sector. In: Journal of Business & Economic Statistics.
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article1
1990Influential Observations in Time Series. In: Journal of Business & Economic Statistics.
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article11
1994COINTEGRATION AND COMMON FACTORS In: Journal of Time Series Analysis.
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article8
1993Cointegration and common factors.(1993) In: DES - Working Papers. Statistics and Econometrics. WS.
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paper
2001Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression In: Journal of Time Series Analysis.
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article1
1995Properties of predictors in overdifferenced nearly nonstationary autoregression.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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paper
1999PROPERTIES OF PREDICTORS IN OVERDIFFERENCED NEARLY NONSTATIONARY AUTOREGRESSION.(1999) In: Working Papers. Serie AD.
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paper
2007Effects of outliers on the identification and estimation of GARCH models In: Journal of Time Series Analysis.
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article50
2007Measuring the Advantages of Multivariate vs. Univariate Forecasts In: Journal of Time Series Analysis.
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article5
1984THE AUTOCORRELATION FUNCTION OF SEASONAL ARMA MODELS In: Journal of Time Series Analysis.
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1995Linear Combination of Information in Time Series Analysis In: Working Papers.
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1995Linear combination of information in time series analysis.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Bayesian Unmasking in Linear Models In: LIDAM Discussion Papers CORE.
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1996Bayesian unmasking in linear models.(1996) In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Bayesian unmasking in linear models.(2001) In: Computational Statistics & Data Analysis.
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article
2000La investigación internacional en TQM : análisis de tendencias (1994-1999) In: DEE - Documentos de Trabajo. Economía de la Empresa. DB.
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1992Reflexiones sobre la enseñanza experimental de la estadística In: DE - Documentos de Trabajo. Economía. DE.
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1994Grupos atípicos en modelos econométricos In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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1995Experiencias de mejora de la calidad en la universidad In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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1996El futuro de los métodos estadísticos In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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1997La mejora de la calidad en la educación: reflexiones y experiencias In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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1991A Note on likelihood estimation of missing values in time series In: UC3M Working papers. Economics.
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1990Measuring influence in dynamic regression models In: UC3M Working papers. Economics.
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1990Interpolation, outliers and inverse autocorrelations In: UC3M Working papers. Economics.
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1991The detection of influential subsets in linear regression using an influence matrix In: UC3M Working papers. Economics.
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1992A simple method to identify significant effects in unreplicated two-level factorial designs In: UC3M Working papers. Economics.
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paper1
1992A Bayesian look at diagnostics in the univariate linear model In: UC3M Working papers. Economics.
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paper0
1992Comparing probabilistic methods for outlier detection In: UC3M Working papers. Economics.
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paper0
1991Bayesian outliers functions for linear models In: UC3M Working papers. Economics.
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paper0
1996A simple diagnostic tool for local prior sensitivity In: DES - Working Papers. Statistics and Econometrics. WS.
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paper1
1997A simple diagnostic tool for local prior sensitivity.(1997) In: Statistics & Probability Letters.
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1997Robust covariance matrix estimation and multivariate outlier detection In: DES - Working Papers. Statistics and Econometrics. WS.
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1997Missing observations in ARIMA models: skipping strategy versus additive outlier approach In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Pooling information and forecasting with dynamic factor analysis In: DES - Working Papers. Statistics and Econometrics. WS.
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1996A procedure for robust estimation and diagnostics in regression In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Measuring service quality by linear indicators In: DES - Working Papers. Statistics and Econometrics. WS.
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1993On bayesian robustness: an asymptotic approach In: DES - Working Papers. Statistics and Econometrics. WS.
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1993Computing missing values in time series In: DES - Working Papers. Statistics and Econometrics. WS.
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1993Forecasting growth with time series models In: DES - Working Papers. Statistics and Econometrics. WS.
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1995Gibbs sampling will fail in outlier problems with strong masking In: DES - Working Papers. Statistics and Econometrics. WS.
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1995Inflation and inequality bias in the presence of bulk purchases for food and drinks In: DES - Working Papers. Statistics and Econometrics. WS.
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1995Combining information in statistical modelling In: DES - Working Papers. Statistics and Econometrics. WS.
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1997The identification of multiple outliers in arima models In: DES - Working Papers. Statistics and Econometrics. WS.
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1997Eigenstructure of nonstationary factor models In: DES - Working Papers. Statistics and Econometrics. WS.
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1998Heterogeneity and model uncertainty in bayesian regression models In: DES - Working Papers. Statistics and Econometrics. WS.
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1998Outliers in multivariate time series In: DES - Working Papers. Statistics and Econometrics. WS.
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1999Trend in statistical research productivity by journal publications over the period 1985-1997 In: DES - Working Papers. Statistics and Econometrics. WS.
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1999Statiscal research in Europe:1985-1997 In: DES - Working Papers. Statistics and Econometrics. WS.
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2000Statistical research in Europe: 1985–1997.(2000) In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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1999The kurtosis coeficient and the linear discriminant function In: DES - Working Papers. Statistics and Econometrics. WS.
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2000The kurtosis coefficient and the linear discriminant function.(2000) In: Statistics & Probability Letters.
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1998Detection of outlier patches in autoregressive time series In: DES - Working Papers. Statistics and Econometrics. WS.
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2000Forecasting time series with sieve bootstrap In: DES - Working Papers. Statistics and Econometrics. WS.
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2000An interview to George Box In: DES - Working Papers. Statistics and Econometrics. WS.
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2000Resampling time series by missing values techniques In: DES - Working Papers. Statistics and Econometrics. WS.
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2000Forecasting with nostationary dynamic factor models In: DES - Working Papers. Statistics and Econometrics. WS.
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2004Forecasting with nonstationary dynamic factor models.(2004) In: Journal of Econometrics.
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2000Descriptive measures of multivariate scatter and linear dependence In: DES - Working Papers. Statistics and Econometrics. WS.
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2003Descriptive measures of multivariate scatter and linear dependence.(2003) In: Journal of Multivariate Analysis.
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2001Outliers and conditional autoregressive heteroscedasticity in time series In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Is stochastic volatility more flexible than garch? In: DES - Working Papers. Statistics and Econometrics. WS.
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2001New in-sample prediction errors in time series with applications In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Introducing model uncertainty in time series bootstrap In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Multivariate analysis in vector time series In: DES - Working Papers. Statistics and Econometrics. WS.
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2003A bayesian approach for predicting with polynomial regresión of unknown degree. In: DES - Working Papers. Statistics and Econometrics. WS.
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2003Bayesian curve estimation by model averaging In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Bayesian curve estimation by model averaging.(2006) In: Computational Statistics & Data Analysis.
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2003Detecting level shifts in the presence of conditional heteroscedasticity. In: DES - Working Papers. Statistics and Econometrics. WS.
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2004DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY.(2004) In: Working Papers. Serie AD.
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2004Dimensionality reduction with image data In: DES - Working Papers. Statistics and Econometrics. WS.
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2004Variance changes detection in multivariate time series In: DES - Working Papers. Statistics and Econometrics. WS.
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2004Model selection criteria and quadratic discrimination in ARMA and SETAR time series models In: DES - Working Papers. Statistics and Econometrics. WS.
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2004Spurious and hidden volatility In: DES - Working Papers. Statistics and Econometrics. WS.
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2004SPURIOUS AND HIDDEN VOLATILITY.(2004) In: Working Papers. Serie AD.
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2004A note on prediction and interpolation errors in time series In: DES - Working Papers. Statistics and Econometrics. WS.
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2005A note on prediction and interpolation errors in time series.(2005) In: Statistics & Probability Letters.
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2004Outlier detection in multivariate time series via projection pursuit In: DES - Working Papers. Statistics and Econometrics. WS.
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2007A robust partial least squares method with applications In: DES - Working Papers. Statistics and Econometrics. WS.
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2008A methodology for population projections: an application to Spain In: DES - Working Papers. Statistics and Econometrics. WS.
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2008A multivariate generalized independent factor GARCH model with an application to financial stock returns In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Graphical identification of TAR models In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Recombining dependent data: an Order Statistics In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Robust estimation in linear regression models with fixed effects In: DES - Working Papers. Statistics and Econometrics. WS.
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2011Exploring ICA for time series decomposition In: DES - Working Papers. Statistics and Econometrics. WS.
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2011Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica In: DES - Working Papers. Statistics and Econometrics. WS.
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2011Robust Henderson III estimators of variance components in the nested error model In: DES - Working Papers. Statistics and Econometrics. WS.
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2013Recombining partitions via unimodality tests In: DES - Working Papers. Statistics and Econometrics. WS.
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2014Recombining partitions from multivariate data: a clustering method on Bayes factors In: DES - Working Papers. Statistics and Econometrics. WS.
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2014Independent components techniques based on kurtosis for functional data analysis In: DES - Working Papers. Statistics and Econometrics. WS.
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2000Sebastián Coll y Marta Guijarro: Estadística aplicada a las ciencias sociales, Madrid, Pirámide, 1998. In: Revista de Historia Económica / Journal of Iberian and Latin American Economic History.
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2006A periodogram-based metric for time series classification In: Computational Statistics & Data Analysis.
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2007Detecting defects with image data In: Computational Statistics & Data Analysis.
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2012Estimating GARCH volatility in the presence of outliers In: Economics Letters.
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1998Missing observations in ARIMA models: Skipping approach versus additive outlier approach In: Journal of Econometrics.
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2001George Box: An interview with the International Journal of Forecasting In: International Journal of Forecasting.
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2005Detecting nonlinearity in time series by model selection criteria In: International Journal of Forecasting.
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2012A conditionally heteroskedastic independent factor model with an application to financial stock returns In: International Journal of Forecasting.
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2010Eigenvectors of a kurtosis matrix as interesting directions to reveal cluster structure In: Journal of Multivariate Analysis.
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1984Distributional aspects of public rental housing and rent control policies in Spain In: Journal of Urban Economics.
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1997A multivariate Kolmogorov-Smirnov test of goodness of fit In: Statistics & Probability Letters.
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2003On sieve bootstrap prediction intervals In: Statistics & Probability Letters.
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2007On the connection between model selection criteria and quadratic discrimination in ARMA time series models In: Statistics & Probability Letters.
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2007Proyecciones de demanda de educación en España In: Working Papers.
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1987Observaciones influyentes en modelos econométricos In: Investigaciones Economicas.
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1990Los modelos Arima, el estado de equilibrio en variables económicas y su estimación In: Investigaciones Economicas.
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2008Estimating and Forecasting GARCH Volatility in the Presence of Outiers In: Working Papers. Serie AD.
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2011Identification of TAR models using recursive estimation In: Journal of Forecasting.
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2009Dimension reduction in time series and the dynamic factor model In: Biometrika.
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1980The relationship between farm and retail prices in the Spanish broiler chicken industry: An application of the Box-Jenkins approach In: European Review of Agricultural Economics.
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2009Comparison of time series with unequal length in the frequency domain In: MPRA Paper.
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2007Is there an identity within international stock market volatilities? In: MPRA Paper.
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2006An interpolated periodogram-based metric for comparison of time series with unequal lengths In: MPRA Paper.
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2007Comparison of time series with unequal length In: MPRA Paper.
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2003Resampling time series using missing values techniques In: Annals of the Institute of Statistical Mathematics.
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2006Introducing model uncertainty by moving blocks bootstrap In: Statistical Papers.
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1993Several Bayesians: A review In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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1996Statistical inference and Monte Carlo algorithms In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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1998The stochastic control of process capability indices In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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1999Robust principal component analysis for functional data In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2011Temporal disaggregation and restricted forecasting of multiple population time series In: Journal of Applied Statistics.
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article1
2016Generalized Dynamic Principal Components In: Journal of the American Statistical Association.
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