Carlos Velasco : Citation Profile


Are you Carlos Velasco?

Universidad Carlos III de Madrid

15

H index

22

i10 index

935

Citations

RESEARCH PRODUCTION:

46

Articles

48

Papers

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 38
   Journals where Carlos Velasco has often published
   Relations with other researchers
   Recent citing documents: 107.    Total self citations: 32 (3.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve103
   Updated: 2022-05-21    RAS profile: 2022-03-11    
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Relations with other researchers


Works with:

Ibáñez, Alfredo (2)

Kheifets, Igor (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 (124)

Caporale, Guglielmo Maria (59)

Nielsen, Morten (47)

Rodríguez Caballero, Carlos (33)

DE TRUCHIS, Gilles (21)

Plastun, Alex (20)

Phillips, Peter (20)

Shimotsu, Katsumi (18)

Escanciano, Juan Carlos (17)

Łasak, Katarzyna (17)

Sibbertsen, Philipp (16)

Cites to:

Robinson, Peter (19)

Phillips, Peter (17)

Lobato, Ignacio (13)

Nielsen, Morten (12)

Campbell, John (11)

Hassler, Uwe (10)

Hualde, Javier (10)

Escanciano, Juan Carlos (9)

Johansen, Soren (9)

Delgado, Miguel (9)

Bierens, Herman (8)

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
Economics Letters2
Journal of Financial Econometrics2
Econometrics Journal2
Econometrica2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística5
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
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 (2021 and 2020)


YearTitle of citing document
2020Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?. (2020). Vera-Valdes, Eduardo J ; Rodriguez-Caballero, Carlos Vladimir. In: CREATES Research Papers. RePEc:aah:create:2020-15.

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2020Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16.

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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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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550.

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2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2020Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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

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2020Monetary policy gradualism and the nonlinear effects of monetary shocks. (2020). Rossi, Luca ; Natoli, Filippo ; Metelli, Luca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1275_20.

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2020Questioning the puzzle: Fiscal policy, exchange rate and inflation. (2020). Siena, Daniele ; Natoli, Filippo ; Metelli, Luca ; Ferrara, Laurent. In: Working papers. RePEc:bfr:banfra:752.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2020Tests of Normality of Functional Data. (2020). Horvath, Lajos ; Kokoszka, Piotr ; Gorecki, Tomasz. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:677-697.

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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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2020A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series. (2020). Lin, Shang Han. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:39:n:3.

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2020Economic Policy Uncertainty: Persistence and Cross-Country Linkages. (2020). Caporale, Guglielmo Maria ; Gil-Alana, Luis A ; Aikins, Emmanuel Joel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8289.

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2020Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8674.

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2020From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267.

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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14271.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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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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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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2020A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques. (2020). Salisu, Afees ; Ebuh, Godday U ; Tule, Moses K. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:225-237.

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2020A fractional cointegration var analysis of exchange rate dynamics. (2020). Gil-Alana, Luis ; Carcel, Hector. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302547.

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2020A fractional cointegration VAR analysis of Islamic stocks: A global perspective. (2020). Salisu, Afees ; Ndako, Umar ; Adediran, Idris ; Swaray, Raymond. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306636.

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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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2020Nonstationarity-extended Whittle estimation with discontinuity: A correction. (2020). Cheung, Ying Lun. In: Economics Letters. RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304641.

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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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2020Trends in distributional characteristics: Existence of global warming. (2020). Gonzalo, Jesus ; Gadea, Maria Dolores. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:153-174.

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2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

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2020Asymptotic theory for time series with changing mean and variance. (2020). Robinson, Peter M ; Giraitis, Liudas ; Dalla, Violetta. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:281-313.

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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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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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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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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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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020Persistence in per capita energy consumption: A fractional integration approach with a Fourier function. (2020). yilanci, Veli ; Görüş, Muhammed ; Gorus, Muhammed Sehid ; Bozoklu, Seref. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302668.

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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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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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2020Shifts in monetary policy and exchange rate dynamics: Is Dornbuschs overshooting hypothesis intact, after all?. (2020). Rüth, Sebastian ; Ruth, Sebastian K. In: Journal of International Economics. RePEc:eee:inecon:v:126:y:2020:i:c:s002219962030060x.

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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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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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2020Not for want of trying: Effort and Success of women in principles of microeconomics. (2020). Hadsell, Lester. In: International Review of Economics Education. RePEc:eee:ireced:v:35:y:2020:i:c:s1477388020300165.

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2020Monetary policy shocks and exchange rates in Asian countries. (2020). Kim, Soyoung ; Park, Donghyun. In: Japan and the World Economy. RePEc:eee:japwor:v:56:y:2020:i:c:s0922142520300426.

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2020Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620302060.

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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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2020An analysis of the OPEC and non-OPEC position in the World Oil Market: A fractionally integrated approach. (2020). Gil-Alana, Luis ; Nazari, Rouhollah ; Dadgar, Yadollah. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s037843711932062x.

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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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2020The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137.

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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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2021Integration and Disintegration of EMU Government Bond Markets. (2021). Sibbertsen, Philipp ; Voges, Michelle ; Leschinski, Christian. 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-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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2020Growth, War, and Pandemics: Europe in the Very Long-run. (2020). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Prados de la Escosura, Leandro ; Rodriguez-Caballero, Carlos-Vladimir. In: Working Papers. RePEc:hes:wpaper:0185.

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2020Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk. (2020). Wei, Jun. In: Complexity. RePEc:hin:complx:8816382.

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2020Observation Driven Long Run Equilibria. (2020). Lont, Johannes ; Asak, Katarzyna. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09903-0.

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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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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: NBER Working Papers. RePEc:nbr:nberwo:26606.

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2020Testing the white noise hypothesis in high-frequency housing returns of the United States. (2020). GUPTA, RANGAN ; Tiwari, Aviral Kumar ; Sheng, Xin ; Cunado, Juncal. In: Economics and Business Letters. RePEc:ove:journl:aid:14521.

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2020Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks. (2020). Bhandari, Avishek. In: MPRA Paper. RePEc:pra:mprapa:101946.

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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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2020Long memory and fractality among global equity markets: A multivariate wavelet approach. (2020). Bhandari, Avishek. In: MPRA Paper. RePEc:pra:mprapa:99653.

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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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2020Does Trading Volume explain the Information Flow of Crude Palm Oil Futures Returns?. (2020). Lau, Wee-Yeap ; Go, You-How. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:115-136.

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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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2020The effect of monetary policy on the Swiss franc: an SVAR approach. (2020). Grisse, Christian. In: Working Papers. RePEc:snb:snbwpa:2020-02.

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2020Whittle-type estimation under long memory and nonstationarity. (2020). Hassler, Uwe ; Cheung, Ying Lun. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:3:d:10.1007_s10182-019-00358-0.

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2020Dynamic long-range dependences in the Swiss stock market. (2020). Ferreira, Paulo. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1549-x.

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2020Modeling US historical time-series prices and inflation using alternative long-memory approaches. (2020). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1597-2.

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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). Li, Lingbo ; Wu, Fan ; Martinez-Rego, David ; Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. 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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2020Persistence of the Misery Index in African Countries. (2020). solarin, sakiru ; Gil-Alana, Luis ; Lafuente, Carmen. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:147:y:2020:i:3:d:10.1007_s11205-019-02184-y.

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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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2020Goodness-of-fit testing for copulas: a distribution-free approach. (2020). Laeven, Roger ; Laeven, R. J. A., ; Einmahl, John ; Can, S U. In: Other publications TiSEM. RePEc:tiu:tiutis:211b2be9-b46e-41e2-9b95-18fa92cfda8c.

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

Works by Carlos Velasco:


YearTitleTypeCited
2013Fractional cointegration rank estimation In: CREATES Research Papers.
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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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2015Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence In: CREATES Research Papers.
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2017Estimation of fractionally integrated panels with fixed effects and cross-section dependence.(2017) In: Journal of Econometrics.
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2018Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects In: CREATES Research Papers.
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2019Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects.(2019) In: Journal of Time Series Analysis.
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2012Model Adequacy Checks for Discrete Choice Dynamic Models In: Working Papers.
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2012Model Adequacy Checks for Discrete Choice Dynamic Models.(2012) In: Working Papers.
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2011An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking In: Journal of the American Statistical Association.
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2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
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1999Gaussian Semiparametric Estimation of Non?stationary Time Series In: Journal of Time Series Analysis.
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1998Gaussian semiparametric estimation of non-stationary time series.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
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2000Local Cross?validation for Spectrum Bandwidth Choice In: Journal of Time Series Analysis.
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1998Local cross validation for spectrum bandwidth choice.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
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2003Gaussian Semi?parametric Estimation of Fractional Cointegration In: Journal of Time Series Analysis.
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2005Trimming and Tapering Semi?Parametric Estimates in Asymmetric Long Memory Time Series In: Journal of Time Series Analysis.
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2007The Periodogram of fractional processes1 In: Journal of Time Series Analysis.
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2008Fractional cointegration in the presence of linear trends In: Journal of Time Series Analysis.
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2015A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS In: Journal of Time Series Analysis.
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2018The optimal method for pricing Bermudan options by simulation In: Mathematical Finance.
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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.
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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.
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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.
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2005Distribution Free Goodness-of-Fit Tests for Linear Processes In: STICERD - Econometrics Paper Series.
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2005Distribution free goodness-of-fit tests for linear processes.(2005) In: LSE Research Online Documents on Economics.
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2013Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects In: STICERD - Econometrics Paper Series.
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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.
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2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: LSE Research Online Documents on Economics.
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2004Optimal Fractional Dickey-Fuller Tests for Unit Roots In: Working Papers.
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2020LM tests for joint breaks in the dynamics and level of a long-memory time series In: CEPR Discussion Papers.
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2005Efficient wald tests for fractional unit roots In: UC3M Working papers. Economics.
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2007Efficient Wald Tests for Fractional Unit Roots.(2007) In: Econometrica.
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2007A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics.
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2009A new class of distribution-free tests for time series models specification.(2009) In: UC3M Working papers. Economics.
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2008Class Attendance and Academic Performance among Spanish Economics Students In: UC3M Working papers. Economics.
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2010A distribution-free transform of the residuals sample autocorrelations with application to model checking In: UC3M Working papers. Economics.
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1998Non-Gaussian log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
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2000NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION.(2000) In: Econometric Theory.
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1998Non-stationary log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
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1999Non-stationary log-periodogram regression.(1999) In: Journal of Econometrics.
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2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
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2001EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN In: Econometric Theory.
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2000Edgeworth expansions for spectral density estimates and studentized sample mean.(2000) In: LSE Research Online Documents on Economics.
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2001Edgeworth expansions for spectral density estimates and studentized sample mean.(2001) In: LSE Research Online Documents on Economics.
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2004A SIMPLE TEST OF NORMALITY FOR TIME SERIES In: Econometric Theory.
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2008DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION In: Econometric Theory.
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2006Distribution-free Tests of Fractional Cointegration.(2006) In: Faculty Working Papers.
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2011BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL In: Econometric Theory.
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2020ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS In: Econometric Theory.
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2013New Goodness-of-fit Diagnostics for Conditional Discrete Response Models In: Cowles Foundation Discussion Papers.
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2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models.(2017) In: Cowles Foundation Discussion Papers.
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2017New goodness-of-fit diagnostics for conditional discrete response models.(2017) In: Journal of Econometrics.
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2002Residual log-periodogram inference for long-run relationships In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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2006Residual log-periodogram inference for long-run relationships.(2006) In: Journal of Econometrics.
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2002Residual Log-Periodogram Inference for Long-Run Relationships.(2002) In: Darmstadt Discussion Papers in Economics.
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2004Consistent Testing of Cointegrating Relationships In: Econometrica.
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2004A simple and general test for white noise In: Econometric Society 2004 Latin American Meetings.
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2009Distribution-free specification tests for dynamic linear models In: Econometrics Journal.
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2006Optimal Fractional Dickey-Fuller tests In: Econometrics Journal.
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2006Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis.
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2006Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers.
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2018Efficiency improvements for minimum distance estimation of causal and invertible ARMA models In: Economics Letters.
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2008Power comparison among tests for fractional unit roots In: Economics Letters.
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2002Trend stationarity versus long-range dependence in time series analysis In: Journal of Econometrics.
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2005Sign tests for long-memory time series In: Journal of Econometrics.
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2009A Wald test for the cointegration rank in nonstationary fractional systems In: Journal of Econometrics.
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2008A wald test for the cointegration rank in nonstationary fractional systems.(2008) In: Research Memorandum.
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2010Distribution-free tests for time series models specification In: Journal of Econometrics.
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2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
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2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
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2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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2013Tests for m-dependence based on sample splitting methods In: Journal of Econometrics.
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2011Tests for m-dependence Based on Sample Splitting Methods.(2011) In: Working Papers.
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2018Inference on trending panel data In: Journal of Econometrics.
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2018Inference on trending panel data.(2018) In: LSE Research Online Documents on Economics.
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2020Recursive lower and dual upper bounds for Bermudan-style options In: European Journal of Operational Research.
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article2
2000Whittle pseudo-maximum likelihood estimation for nonstationary time series In: LSE Research Online Documents on Economics.
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2013On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios In: Journal of Financial Econometrics.
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2014On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios.(2014) In: Journal of Financial Econometrics.
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2014Delayed Overshooting: Its an 80s Puzzle In: Staff Papers.
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2000FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS In: Computing in Economics and Finance 2000.
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paper2
2011Do Foreign Excess Return Regressions Convey Valid Information? In: Working Papers.
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2011On the Properties of Regression Tests of Asset Return Predictability In: Working Papers.
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2011The Forward Discount Puzzle: Identi cation of Economic Assumptions In: Working Papers.
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2009Comments on: A review on empirical likelihood methods for regression In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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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.
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article0
2013Comments on: Model-free model-fitting and predictive distributions In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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article0
2015Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study In: The Journal of Economic Education.
[Full Text][Citation analysis]
article4
2017Delayed Overshooting: Is It an 80s Puzzle? In: Journal of Political Economy.
[Full Text][Citation analysis]
article21

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