Daniel Peña : Citation Profile


Are you Daniel Peña?

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

11

H index

13

i10 index

362

Citations

RESEARCH PRODUCTION:

47

Articles

84

Papers

RESEARCH ACTIVITY:

   36 years (1980 - 2016). See details.
   Cites by year: 10
   Journals where Daniel Peña has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 33 (8.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe884
   Updated: 2019-03-16    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 (32)

CHARLES, Amelie (19)

Ruiz, Esther (15)

Veiga, Helena (15)

Caiado, Jorge (12)

Crato, Nuno (10)

Ferrara, Laurent (9)

Loperfido, Nicola (7)

Maharaj, Elizabeth (6)

Manera, Matteo (6)

Rodríguez Caballero, Carlos (6)

Cites to:

Engle, Robert (22)

Bollerslev, Tim (20)

Granger, Clive (10)

Lippi, Marco (10)

Hallin, Marc (9)

Harvey, Andrew (8)

Diebold, Francis (8)

Forni, Mario (8)

Sentana, Enrique (7)

Ruiz, Esther (7)

Zellner, Arnold (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
Computational Statistics & Data Analysis4
Journal of the American Statistical Association4
Journal of Business & Economic Statistics4
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
MPRA Paper / University Library of Munich, Germany4
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)4
DES - Documentos de Trabajo. Estadística y Econometría. DS / Universidad Carlos III de Madrid. Departamento de Estadística4

Recent works citing Daniel Peña (2018 and 2017)


YearTitle of citing document
2018New Proposals of a Stress Measure in a Capital and its Robust Estimator. (2018). Klecha, Tadeusz ; Rydlewski, Jerzy P ; Mielczarek, Dominik ; Kosiorowski, Daniel. In: Papers. RePEc:arx:papers:1802.03756.

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2018On the Measure of Private Rental Market Regulation Index and its Effect on Housing Rents: Cross Country Evidence. (2018). Weber, Jan Philip ; Lee, Gabriel. In: Beiträge zur Immobilienwirtschaft. RePEc:bay:birebs:21.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2018Retropolating some relevant series of Mexicos System of National Accounts at constant prices: The case of Mexico Citys GDP. (2018). Corona, Francisco ; Guerrero, Victor M. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:4:p:495-519.

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2017Electricity prices forecasting by averaging dynamic factor models. (2017). Alonso, Andres Modesto ; Garcia-Martos, Carolina ; Bastos, Guadalupe . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24028.

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2017BIAS correction for dynamic factor models. (2017). Alonso, Andres Modesto ; Bastos, Guadalupe ; Garcia-Martos, Carolina . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24029.

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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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2018Estimation of the common component in Dynamic Factor Models. (2018). Sanchez, Daniel Pea ; Navarro, Angela Caro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

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2017Robust and efficient estimation of multivariate scatter and location. (2017). Yohai, Victor J ; Maronna, Ricardo A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:64-75.

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2017Robust estimators under a functional common principal components model. (2017). Bali, Juan Lucas ; Boente, Graciela. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:113:y:2017:i:c:p:424-440.

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2018Skewness-based projection pursuit: A computational approach. (2018). Loperfido, Nicola . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:120:y:2018:i:c:p:42-57.

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2019Robust depth-based estimation of the functional autoregressive model. (2019). Martinez-Hernandez, Israel ; Gonzalez-Farias, Graciela ; Genton, Marc G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:66-79.

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2018A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621.

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2018Robust and sparse banking network estimation. (2018). Torri, Gabriele ; Paterlini, Sandra ; Giacometti, Rosella. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:51-65.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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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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2017Renewable energy, coal as a baseload power source, and greenhouse gas emissions: Evidence from U.S. state-level data. (2017). Squalli, Jay. In: Energy. RePEc:eee:energy:v:127:y:2017:i:c:p:479-488.

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2018Portfolio management with targeted constant market volatility. (2018). Doan, Bao ; Sherris, Michael ; Reeves, Jonathan J ; Papageorgiou, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:134-147.

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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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2018Analysing long-term interactions between demand response and different electricity markets using a stochastic market equilibrium model. (2018). Bertsch, Valentin ; Parnell, Andrew C ; Sweeney, Conor ; Devine, Mel. In: Papers. RePEc:esr:wpaper:wp585.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2018Does the Great Recession imply the end of the Great Moderation? International evidence. (2018). Darné, Olivier ; Ferrara, Laurent ; Darne, Olivier ; Charles, Amelie. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01757081.

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2018Forecasting and risk management in the Vietnam Stock Exchange. (2018). Darné, Olivier ; Ha, Manh. In: Working Papers. RePEc:hal:wpaper:halshs-01679456.

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2018Outliers and misleading leverage effect in asymmetric GARCH-type models. (2018). Carnero, M. Angeles ; Espartero, Ana Perez. In: Working Papers. Serie AD. RePEc:ivi:wpasad:2018-01.

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2018An innovative risk management methodology for trading equity indices based on change points. (2018). Gosmann, Josua ; Ziggel, Daniel. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0062-7.

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2018Machine Learning Macroeconometrics: A Primer. (2018). Korobilis, Dimitris. In: Working Paper series. RePEc:rim:rimwps:18-30.

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2018Temporal clustering of time series via threshold autoregressive models: application to commodity prices. (2018). Aslan, Sipan ; Iyigun, Cem ; Yozgatligil, Ceylan . In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2659-0.

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2018Clustering of short time-course gene expression data with dissimilar replicates. (2018). Cinar, Ozan ; Iyigun, Cem ; Ilk, Ozlem . In: Annals of Operations Research. RePEc:spr:annopr:v:263:y:2018:i:1:d:10.1007_s10479-017-2583-3.

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2018The Hierarchical Spectral Merger Algorithm: A New Time Series Clustering Procedure. (2018). Euan, Carolina ; Ortega, Joaquin ; Ombao, Hernando. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:1:d:10.1007_s00357-018-9250-5.

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2018Modeling Binary Time Series Using Gaussian Processes with Application to Predicting Sleep States. (2018). Gao, XU ; Ombao, Hernando ; Shahbaba, Babak. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:3:d:10.1007_s00357-018-9268-8.

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2018Nonlinear Time Series Clustering Based on Kolmogorov-Smirnov 2D Statistic. (2018). Zhang, Beibei ; Chen, Rong. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:3:d:10.1007_s00357-018-9271-0.

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2017A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?. (2017). Corona, Francisco ; Orraca, Pedro ; Gonzalez-Farias, Graciela. In: Latin American Economic Review. RePEc:spr:laecrv:v:26:y:2017:i:1:d:10.1007_s40503-017-0044-7.

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2017Estimation of the Parameters of a Selected Multivariate Population. (2017). Amini, Morteza ; Nematollahi, Nader . In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:79:y:2017:i:1:d:10.1007_s13171-016-0093-z.

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2018Optimal dimension reduction for high-dimensional and functional time series. (2018). Lippi, Marco ; Hallin, Marc ; Hormann, Siegfried. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:2:d:10.1007_s11203-018-9172-1.

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2017Dynamic tail dependence clustering of financial time series. (2017). de Luca, Giovanni ; Zuccolotto, Paola . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0718-7.

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2017Periodically correlated modeling by means of the periodograms asymptotic distributions. (2017). Nematollahi, A R ; Mahmoudi, M R ; Soltani, A R. In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0748-9.

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2017Dating multiple change points in the correlation matrix. (2017). Wied, Dominik ; Galeano, Pedro . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3.

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2017Fast estimation of the median covariation matrix with application to online robust principal components analysis. (2017). Cardot, Herve ; Godichon-Baggioni, Antoine . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:3:d:10.1007_s11749-016-0519-x.

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2017A Novel Multi-Scalar Drought Index for Monitoring Drought: the Standardized Precipitation Temperature Index. (2017). Ali, Zuliqar ; Shamsuddin, Sadaf ; Hussain, Tajammal ; Moemen, Mitwali Abd-El ; Nazir, Hafiza Mamona ; Faisal, Muhammad. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:31:y:2017:i:15:d:10.1007_s11269-017-1788-1.

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2017A nonparametric test for a constant correlation matrix. (2017). Wied, Dominik. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:10:p:1157-1172.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

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Works by Daniel Peña:


YearTitleTypeCited
1996Missing Observations and Additive Outliers in Time Series Models. In: Working Papers.
[Citation analysis]
paper1
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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article13
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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article11
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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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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article10
1994COINTEGRATION AND COMMON FACTORS In: Journal of Time Series Analysis.
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article6
1993Cointegration and common factors.(1993) In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression In: Journal of Time Series Analysis.
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2007Effects of outliers on the identification and estimation of GARCH models In: Journal of Time Series Analysis.
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article41
2007Measuring the Advantages of Multivariate vs. Univariate Forecasts In: Journal of Time Series Analysis.
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article4
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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1996Bayesian Unmasking in Linear Models In: CORE Discussion Papers.
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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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1992A Bayesian look at diagnostics in the univariate linear model In: UC3M Working papers. Economics.
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1992Comparing probabilistic methods for outlier detection In: UC3M Working papers. Economics.
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1992Missing observations and additive outliers in time series models In: UC3M Working papers. Economics.
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1991Bayesian outliers functions for linear models In: UC3M Working papers. Economics.
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paper0
2000A powerful portmanteau test of lack of fit for time series In: DES - Working Papers. Statistics and Econometrics. WS.
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1995Linear combination of information in time series analysis In: DES - Working Papers. Statistics and Econometrics. WS.
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1995Properties of predictors in overdifferenced nearly nonstationary autoregression In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Bayesian unmasking in linear models In: DES - Working Papers. Statistics and Econometrics. WS.
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1996A simple diagnostic tool for local prior sensitivity In: DES - Working Papers. Statistics and Econometrics. WS.
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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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1999The kurtosis coeficient and the linear discriminant function In: DES - Working Papers. Statistics and Econometrics. WS.
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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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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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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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