Carlos Velasco : Citation Profile

Are you Carlos Velasco?

Universidad Carlos III de Madrid

17

H index

23

i10 index

1164

Citations

RESEARCH PRODUCTION:

48

Articles

48

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 44
   Journals where Carlos Velasco has often published
   Relations with other researchers
   Recent citing documents: 92.    Total self citations: 37 (3.08 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pve103
   Updated: 2023-03-25    RAS profile: 2023-01-15    
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Relations with other researchers

Works with:

Rachinger, Heiko (2)

Ibáñez, Alfredo (2)

Kheifets, Igor (2)

Dolado, Juan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Carlos Velasco.

Is cited by:

Gil-Alana, Luis (190)

Caporale, Guglielmo Maria (90)

Nielsen, Morten (59)

Plastun, Alex (28)

Phillips, Peter (26)

DE TRUCHIS, Gilles (24)

Mayoral, Laura (23)

Proietti, Tommaso (22)

Łasak, Katarzyna (20)

Gonzalo, Jesus (20)

YAYA, OLAOLUWA (19)

Cites to:

Phillips, Peter (24)

Robinson, Peter (21)

Hassler, Uwe (16)

Delgado, Miguel (16)

Lobato, Ignacio (15)

Nielsen, Morten (14)

Campbell, John (11)

Hualde, Javier (11)

Moon, Hyungsik (10)

Breitung, Jörg (10)

Chen, Xiaohong (9)

Main data

Where Carlos Velasco has published?

Journals with more than one article published# docs
Journal of Econometrics13
Journal of Time Series Analysis8
Econometric Theory6
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Journal of Business & Economic Statistics2
Econometrica2
Econometrics Journal2
Economics Letters2
The Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística5
Working Papers / Research Institute for Market Economy, Sogang University4
Publications of Darmstadt Technical University, Institute for Business Studies (BWL) / Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)3
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Carlos Velasco (2022 and 2021)

YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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2022Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2022Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2021Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060.

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2021Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2021Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2021Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling. (2021). Lee, Sokbae (Simon) ; Liao, Yuan ; Shin, Youngki ; Seo, Myung Hwan. In: Papers. RePEc:arx:papers:2106.03156.

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2021Nonparametric Tests of Conditional Independence for Time Series. (2021). Wei, Haoyu ; Song, Xiaojun. In: Papers. RePEc:arx:papers:2110.04847.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2022Spectral estimation for mixed causal-noncausal autoregressive models. (2022). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2211.13830.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2022Private sector debt and financial stability. (2022). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:67.

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2021WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407.

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2021Financial market spillovers of U.S. monetary policy shocks. (2021). Ha, Jongrim. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:5:p:1221-1274.

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2021Real Exchange Rate Dynamics in Model with Habit Formation. (2021). Mr, Yusuf. In: Bogazici Journal, Review of Social, Economic and Administrative Studies. RePEc:boz:journl:v:35:y:2021:i:1:p:26-49.

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2022Do consumption-based asset pricing models explain own-history predictability in stock market returns?. (2022). Ashby, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2259.

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2022.

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2021Discrete Fourier Transforms of Fractional Processes with Econometric Applications. (2021). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2303.

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2022Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2334.

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2021Remittances at record highs in Latin America: Time to revisit the Dutch disease. (2021). Ventosa-Santaulària, Daniel ; Ventosa-Santaulria, Daniel ; Rodrguez-Caballero, Carlos Vladimir ; Lpez-Marmolejo, Arnoldo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00615.

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2022A simple and efficient numerical method for pricing discretely monitored early-exercise options. (2022). Luo, Guo ; Huang, Min. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:422:y:2022:i:c:s0096300322000716.

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2022On the semi-varying coefficient dynamic panel data model with autocorrelated errors. (2022). Huang, Lei ; Jiang, Hui ; Zhang, Hongfan ; Wei, Honglei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:173:y:2022:i:c:s016794732200038x.

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2021Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach. (2021). Ogbonna, Ahamuefula ; Lakhani, Noman ; Adedeji, Abdulfatai A ; Oloko, Tirimisiyu F. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:259-275.

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2022Testing for no cointegration in vector autoregressions with estimated degree of fractional integration. (2022). Demetrescu, Matei ; Salish, Nazarii ; Kusin, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321002832.

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2021Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. (2021). Lin, Boqiang ; Okorie, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000322.

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2021Delayed overshooting can still be a puzzle after the 1980s. (2021). Kim, Soyoung ; Ahn, Jihye. In: Economics Letters. RePEc:eee:ecolet:v:199:y:2021:i:c:s0165176520304663.

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2022Adaptive testing using data-driven method selecting smoothing parameters. (2022). Wang, Luya. In: Economics Letters. RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001495.

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2021Testing constancy in varying coefficient models. (2021). Arteaga-Molina, Luis A ; Delgado, Miguel A. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:625-644.

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2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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2021Permutation test for heterogeneous treatment effects with a nuisance parameter. (2021). Olivares, Mauricio ; Chung, Eunyi. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:2:p:148-174.

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2022Quantile regression methods for first-price auctions. (2022). Guerre, Emmanuel ; Gimenes, Nathalie. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:224-247.

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2022Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence. (2022). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:128-146.

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2021How puzzling is the forward premium puzzle? A meta-analysis. (2021). Zigraiova, Diana ; Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas. In: European Economic Review. RePEc:eee:eecrev:v:134:y:2021:i:c:s0014292121000672.

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2022Overnight rate and signalling effects of central bank bills. (2022). Kaufmann, Daniel ; Canetg, Fabio. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000216.

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2022Generic improvements to least squares monte carlo methods with applications to optimal stopping problems. (2022). Zhu, Dan ; Wei, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1132-1144.

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2021Fundamental pricing laws and long memory effects in the day-ahead power market. (2021). Biskas, Pandelis N ; Thomaidis, Nikolaos S. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100116x.

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2021Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach. (2021). Ye, Jinqiang ; Urquhart, Andrew ; Li, Zeming ; Duan, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000685.

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2022Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369.

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2021Effects of monetary policy on the exchange rates: A Time-varying analysis. (2021). Zhang, Jiqiang ; Yang, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001951.

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2021Questioning the puzzle: Fiscal policy, real exchange rate and inflation. (2021). Siena, Daniele ; Natoli, Filippo ; Metelli, Luca ; Ferrara, Laurent. In: Journal of International Economics. RePEc:eee:inecon:v:133:y:2021:i:c:s0022199621001045.

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2022The effects of permanent monetary shocks on exchange rates and uncovered interest rate differentials. (2022). Uribe, Martin ; Schmitt-Grohe, Stephanie. In: Journal of International Economics. RePEc:eee:inecon:v:135:y:2022:i:c:s0022199621001409.

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2021Does all work and no play make elite students? Evidence from the China education panel survey. (2021). Zhao, Xinhui ; Yang, Juan. In: International Journal of Educational Development. RePEc:eee:injoed:v:80:y:2021:i:c:s0738059320304806.

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2021Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. (2021). Krištoufek, Ladislav ; Demir, Ender ; Mitra, Subrata Kumar ; Assaf, Ata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2021Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions. (2021). Baumeister, Christiane ; Hamilton, James D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:114:y:2021:i:c:s0261560621000541.

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2022The role of heterogeneity in price rigidities for delayed nominal exchange rate overshooting. (2022). Kara, Engin ; Cooke, Dudley. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001923.

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2021The impact of the term spread in US monetary policy from 1870 to 2013. (2021). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:230-251.

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2021Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach. (2021). YAYA, OLAOLUWA ; Olayinka, Hammed A ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000623.

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2022Revisiting the inflation-hedging properties of precious metals in Africa. (2022). Sephton, Peter S. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001830.

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2022Multivariate rescaled range analysis. (2022). Rodriguez, E ; Alvarez-Ramirez, J ; Meraz, M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008815.

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2022Testing Long memory in exchange rates and its implications for the adaptive market hypothesis. (2022). Frommel, Michael ; Asif, Raheel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000140.

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2021GDP per capita IN SUB-SAHARAN Africa: A time series approach using long memory. (2021). Mudida, Robert ; Gil-Alana, Luis ; Zerbo, Eleazar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:175-190.

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2021Economic policy uncertainty: Persistence and cross-country linkages. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Aikins, Emmanuel Joel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000635.

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2021Gender Diversity Index. Measuring persistence. (2021). Gil-Alana, Luis ; Infante, Juan ; del Rio, Marta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000957.

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2023Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators. (2023). Gannaz, Irene. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:485-534.

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2021.

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2021Integration and Disintegration of EMU Government Bond Markets. (2021). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:13-:d:517289.

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2021Temperature Anomalies, Long Memory, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:9-:d:509830.

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2021Air Pollution and Mobility, What Carries COVID-19?. (2021). Vera-Valdés, J. Eduardo ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Vera-Valdes, Eduardo J ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:37-:d:653517.

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2021.

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2021.

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2022Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression. (2022). Yang, Tinggan ; Wang, Yihong ; Cheng, Hong. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10107-8.

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2022Comparing Past and Present Inflation*. (2022). Summers, Lawrence H ; Bolhuis, Marijn A. In: Review of Finance. RePEc:oup:revfin:v:26:y:2022:i:5:p:1073-1100..

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2022COVID-19 and adaptive behavior of returns: evidence from commodity markets. (2022). Shahid, Muhammad Naeem. In: Palgrave Communications. RePEc:pal:palcom:v:9:y:2022:i:1:d:10.1057_s41599-022-01332-z.

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2021Gold and Silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach. (2021). YAYA, OLAOLUWA ; Olayinka, Hammed Abiola ; Vo, Xuan Vinh. In: MPRA Paper. RePEc:pra:mprapa:109830.

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2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

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2021Target Price Achievement and Target Price Accuracy Models: An Analysis of Advisory Firms’ Recommendation for the Indian Banking Stocks. (2021). Patel, Hiren. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:2:p:459-473.

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2021Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data. (2021). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio. In: Urban Studies. RePEc:sae:urbstu:v:58:y:2021:i:1:p:53-72.

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2022A harmonically weighted filter for cyclical long memory processes. (2022). Maddanu, Federico. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:1:d:10.1007_s10182-021-00394-9.

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2021Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01784-4.

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2021Comparative evaluation of spatio-temporal attributes of precipitation and streamflow in Buffalo and Tyume Catchments, Eastern Cape, South Africa. (2021). Kalumba, Ahmed Mukalazi ; Madi, Kakaba ; Owolabi, Solomon Temidayo. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:23:y:2021:i:3:d:10.1007_s10668-020-00769-z.

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2021Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis. (2021). Jafari, Mohammad Ali ; Ghazani, Majid Mirzaee. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00246-0.

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2022Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan ; Li, Lingbo ; Wu, Fan ; Martinez-Rego, David. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00321-6.

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2021Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach. (2021). Kamaiah, Bandi ; Bhandari, Avishek. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-020-00220-0.

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2021Estimating FARIMA models with uncorrelated but non-independent error terms. (2021). Saussereau, Bruno ; Esstafa, Youssef ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09243-7.

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2021A comparison of semiparametric tests for fractional cointegration. (2021). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-020-01169-1.

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2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices. (2021). Einmahl, John ; Laeven, Roger ; Can, S U. In: Discussion Paper. RePEc:tiu:tiucen:65a9e694-665d-4671-aaf1-4e2093fcec17.

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2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices. (2021). Laeven, Roger ; Einmahl, John ; Can, S U. In: Other publications TiSEM. RePEc:tiu:tiutis:65a9e694-665d-4671-aaf1-4e2093fcec17.

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2021The Size?Power Tradeoff in HAR Inference. (2021). Lewis, Daniel ; Stock, James H ; Lazarus, Eben. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:5:p:2497-2516.

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2022A nonstationary and non?Gaussian moving average model for solar irradiance. (2022). Mather, Barry ; Hodge, Brimathias ; Kleiber, William ; Zhang, Wenqi. In: Environmetrics. RePEc:wly:envmet:v:33:y:2022:i:3:n:e2712.

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2021The role of financial stress in the economic activity: Fresh evidence from a Granger?causality in quantiles analysis for the UK and Germany. (2021). Bahramian, Pejman ; Saliminezhad, Andisheh. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1670-1680.

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2021Mapping US presidential terms with S&P500 index: Time series analysis approach. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Mudida, Robert ; Osuolale, Kazeem A ; Gilalana, Luis A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1938-1954.

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2022On the persistence of UK inflation: A long?range dependence approach. (2022). Gil-Alana, Luis ; Trani, Tommaso ; Gilalana, Luis Alberiko ; Caporale, Guglielmo Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:439-454.

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2022Generalized band spectrum estimation with an application to the New Keynesian Phillips curve. (2022). Choi, Jinho ; Guo, Junjie ; Escanciano, Juan Carlos. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1055-1078.

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2022Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years. (2022). Lambrias, Kyriacos ; Kontogeorgos, G. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:213-229.

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2022The Term Structure of Currency Futures Risk Premia. (2022). Bernoth, Kerstin ; de Vries, Casper ; von Hagen, Jurgen ; Vonhagen, Jurgen. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:5-38.

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2022A consistent specification test for dynamic quantile models. (2022). Patton, Andrew ; Liao, Zhipeng ; Horvath, Peter. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:125-151.

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2021Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses. (2021). Wang, Xuexin. In: Working Papers. RePEc:wyi:wpaper:002596.

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Works by Carlos Velasco:

YearTitleTypeCited
2013Fractional cointegration rank estimation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2015Fractional Cointegration Rank Estimation.(2015) In: Journal of Business & Economic Statistics.
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2014Fractional Cointegration Rank Estimation.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 8		paper
2015Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper17
2017Estimation of fractionally integrated panels with fixed effects and cross-section dependence.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 17		article
2018Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2019Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects.(2019) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2012Model Adequacy Checks for Discrete Choice Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2012Model Adequacy Checks for Discrete Choice Dynamic Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2011An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article7
2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
[Citation analysis]		article101
1999Gaussian Semiparametric Estimation of Non?stationary Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article65
1998Gaussian semiparametric estimation of non-stationary time series.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2000Local Cross?validation for Spectrum Bandwidth Choice In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
1998Local cross validation for spectrum bandwidth choice.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2003Gaussian Semi?parametric Estimation of Fractional Cointegration In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article54
2005Trimming and Tapering Semi?Parametric Estimates in Asymmetric Long Memory Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2007The Periodogram of fractional processes1 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2008Fractional cointegration in the presence of linear trends In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2015A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018The optimal method for pricing Bermudan options by simulation In: Mathematical Finance.
[Full Text][Citation analysis]		article2
1996Autocorrelation-Robust Inference - (Now published in Handbook of Statistics, vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
2000Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539. In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper0
2000Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper85
2005Distribution Free Goodness-of-Fit Tests for Linear Processes In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper27
2005Distribution free goodness-of-fit tests for linear processes.(2005) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2013Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper7
2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: Journal of Econometrics.
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2013Efficient inference on fractionally integrated panel data models with fixed effects.(2013) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2004Optimal Fractional Dickey-Fuller Tests for Unit Roots In: Working Papers.
[Full Text][Citation analysis]		paper2
2020LM tests for joint breaks in the dynamics and level of a long-memory time series In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2022LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series.(2022) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 0		article
2005Efficient wald tests for fractional unit roots In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper83
2007Efficient Wald Tests for Fractional Unit Roots.(2007) In: Econometrica.
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This paper has another version. Agregated cites: 83		article
2007A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
2009A new class of distribution-free tests for time series models specification.(2009) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2008Class Attendance and Academic Performance among Spanish Economics Students In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper1
2010A distribution-free transform of the residuals sample autocorrelations with application to model checking In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
1998Non-Gaussian log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper51
2000NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
1998Non-stationary log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper168
1999Non-stationary log-periodogram regression.(1999) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 168		article
2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper96
2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
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2001EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN In: Econometric Theory.
[Full Text][Citation analysis]		article29
2000Edgeworth expansions for spectral density estimates and studentized sample mean.(2000) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2001Edgeworth expansions for spectral density estimates and studentized sample mean.(2001) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2004A SIMPLE TEST OF NORMALITY FOR TIME SERIES In: Econometric Theory.
[Full Text][Citation analysis]		article14
2008DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]		article12
2006Distribution-free Tests of Fractional Cointegration.(2006) In: Faculty Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2011BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article2
2020ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS In: Econometric Theory.
[Full Text][Citation analysis]		article0
2013New Goodness-of-fit Diagnostics for Conditional Discrete Response Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models.(2017) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2017New goodness-of-fit diagnostics for conditional discrete response models.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2002Residual log-periodogram inference for long-run relationships In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Citation analysis]		paper34
2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2006Residual log-periodogram inference for long-run relationships.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		article
2002Residual Log-Periodogram Inference for Long-Run Relationships.(2002) In: Darmstadt Discussion Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2004Consistent Testing of Cointegrating Relationships In: Econometrica.
[Full Text][Citation analysis]		article24
2004A simple and general test for white noise In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper0
2009Distribution-free specification tests for dynamic linear models In: Econometrics Journal.
[Full Text][Citation analysis]		article0
2006Optimal Fractional Dickey-Fuller tests In: Econometrics Journal.
[Full Text][Citation analysis]		article13
2006Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
2006Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2018Efficiency improvements for minimum distance estimation of causal and invertible ARMA models In: Economics Letters.
[Full Text][Citation analysis]		article0
2008Power comparison among tests for fractional unit roots In: Economics Letters.
[Full Text][Citation analysis]		article2
2002Trend stationarity versus long-range dependence in time series analysis In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2005Sign tests for long-memory time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2009A Wald test for the cointegration rank in nonstationary fractional systems In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2008A wald test for the cointegration rank in nonstationary fractional systems.(2008) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2010Distribution-free tests for time series models specification In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 23		paper
2013Tests for m-dependence based on sample splitting methods In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2011Tests for m-dependence Based on Sample Splitting Methods.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2018Inference on trending panel data In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2018Inference on trending panel data.(2018) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Recursive lower and dual upper bounds for Bermudan-style options In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
2000Whittle pseudo-maximum likelihood estimation for nonstationary time series In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper112
2022Single step estimation of ARMA roots for nonfundamental nonstationary fractional models In: The Econometrics Journal.
[Full Text][Citation analysis]		article1
2013On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2014On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios.(2014) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2014Delayed Overshooting: Its an 80s Puzzle In: Staff Papers.
[Full Text][Citation analysis]		paper24
2000FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS In: Computing in Economics and Finance 2000.
[Citation analysis]		paper2
2011Do Foreign Excess Return Regressions Convey Valid Information? In: Working Papers.
[Full Text][Citation analysis]		paper0
2011On the Properties of Regression Tests of Asset Return Predictability In: Working Papers.
[Full Text][Citation analysis]		paper0
2011The Forward Discount Puzzle: Identi cation of Economic Assumptions In: Working Papers.
[Full Text][Citation analysis]		paper5
2009Comments on: A review on empirical likelihood methods for regression In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article1
2011Comments on: Subsampling weakly dependent time series and application to extremes In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article0
2013Comments on: Model-free model-fitting and predictive distributions In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article0
2015Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study In: The Journal of Economic Education.
[Full Text][Citation analysis]		article6
2017Delayed Overshooting: Is It an 80s Puzzle? In: Journal of Political Economy.
[Full Text][Citation analysis]		article30

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