Carlos Velasco : Citation Profile

Are you Carlos Velasco?

Universidad Carlos III de Madrid

14

H index

18

i10 index

831

Citations

RESEARCH PRODUCTION:

46

Articles

48

Papers

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 34
   Journals where Carlos Velasco has often published
   Relations with other researchers
   Recent citing documents: 81.    Total self citations: 32 (3.71 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pve103
   Updated: 2020-11-21    RAS profile: 2020-11-02    
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Relations with other researchers

Works with:

Kheifets, Igor (2)

Ibáñez, Alfredo (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 (117)

Caporale, Guglielmo Maria (60)

Nielsen, Morten (36)

Rodríguez Caballero, Carlos (24)

DE TRUCHIS, Gilles (21)

Plastun, Alex (20)

Phillips, Peter (20)

Shimotsu, Katsumi (18)

Escanciano, Juan Carlos (16)

Hurvich, Clifford (14)

Łasak, Katarzyna (14)

Cites to:

Robinson, Peter (19)

Phillips, Peter (16)

Lobato, Ignacio (13)

Nielsen, Morten (12)

Campbell, John (11)

Hassler, Uwe (10)

Hualde, Javier (10)

Delgado, Miguel (9)

Johansen, Soren (9)

Escanciano, Juan Carlos (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
Econometrics Journal2
Journal of Financial Econometrics2
Econometrica2

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 (2020 and 2019)

YearTitle of citing document
2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019A simple and efficient numerical method for pricing discretely monitored early-exercise options. (2019). Luo, Guo ; Huang, Min. In: Papers. RePEc:arx:papers:1905.13407.

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2019Specification Testing in Nonparametric Instrumental Quantile Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10129.

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2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

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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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2019Shifts in Monetary Policy and Exchange Rate Dynamics: Is Dornbuschs Overshooting Hypothesis Intact, After all?. (2019). Ruth, Sebastian K. In: Working Papers. RePEc:awi:wpaper:0673.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2019From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1947.

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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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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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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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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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2019Exchange Rate Undershooting: Evidence and Theory. (2019). Müller, Gernot ; Wolf, Martin ; Muller, Gernot ; Hettig, Thomas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13597.

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

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

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

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

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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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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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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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2019Local Whittle estimation of long memory: Standard versus bias-reducing techniques. (2019). García Enríquez, Javier ; Hualde, Javier ; Garcia-Enriquez, Javier. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:66-77.

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

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2019A (negative) replication of ‘The relationship between energy consumption, energy prices, and economic growth: Time series evidence from Asian developing countries’ (Energy Economics, 2000). (2019). Sephton, Peter ; Mann, Janelle. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:78-84.

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2019El Niño, La Niña, and a cup of Joe. (2019). Sephton, Peter. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302841.

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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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2019Automobile components: Lithium and cobalt. Evidence of persistence. (2019). Gil-Alana, Luis A ; Monge, Manuel. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:489-495.

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2019Financial markets of the LAC region: Does the crisis influence the financial integration?. (2019). da Silva, Jacinto Vidigal ; Dias, Rui ; Dionisio, Andreia. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:160-173.

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2019The adaptive market hypothesis in the high frequency cryptocurrency market. (2019). Zhang, Yuanyuan ; Chu, Jeffrey ; Chan, Stephen. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:221-231.

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2019Does the introduction of futures improve the efficiency of Bitcoin?. (2019). Posch, Peter N ; Muller, Janis ; Kochling, Gerrit. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:367-370.

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2019Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. (2019). Ebrahimi, Seyed Babak ; Ghazani, Majid Mirzaee. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:60-68.

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2019An examination of trade-weighted real exchange rates based on fractional integration. (2019). , Tommasotrani ; Gil-Alana, Luis Alberiko ; Trani, Tommaso. In: International Economics. RePEc:eee:inteco:v:158:y:2019:i:c:p:64-76.

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2019Can structural changes in the persistence of the forward premium explain the forward premium anomaly?. (2019). Cho, Dooyeon ; Chun, Sungju. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:225-235.

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2019Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:19-33.

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2019Lithium: Production and estimated consumption. Evidence of persistence. (2019). Monge, Manuel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:198-202.

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2019New dynamics between volume and volatility. (2019). Qiao, Zhi ; Gui, Jun ; Zheng, Zeyu ; Li, Baowen ; Stanley, Eugene H ; Fu, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1343-1350.

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

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2019Spatial long memory. (2019). Robinson, Peter. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102182.

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2019Adaptive Market Hypothesis. (2019). Ergun, Zeliha Can ; Taskin, Dilvin F ; Mandaci, Pinar Evrim . In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:vii:y:2019:i:4:p:84-101.

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

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2019A Comparison of Semiparametric Tests for Fractional Cointegration. (2019). Sibbertsen, Philipp ; Voges, Michelle ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-651.

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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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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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2019Time Trends and Persistence in the Global CO2 Emissions Across Europe. (2019). , Tommasotrani ; Trani, Tommaso ; Gil-Alana, Luis A. In: Environmental & Resource Economics. RePEc:kap:enreec:v:73:y:2019:i:1:d:10.1007_s10640-018-0257-5.

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2019Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach. (2019). Poskitt, Donald ; Martin, Gael M ; Nadarajah, Kanchana. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-7.

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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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2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: Discussion Papers. RePEc:not:notgts:19/01.

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2019Inflation in Argentina: Analysis of Persistence Using Fractional Integration. (2019). Gil-Alana, Luis A ; Isoardi, Mateo. In: Eastern Economic Journal. RePEc:pal:easeco:v:45:y:2019:i:2:d:10.1057_s41302-019-00133-8.

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

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

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2019Exchange rate dynamics and monetary policy: Evidence from a non-linear DSGE-VAR approach. (2019). Rabitsch, Katrin ; Huber, Florian ; Rabithsc, Katrin. In: Working Papers in Economics. RePEc:ris:sbgwpe:2019_005.

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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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2019Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany. (2019). Sibbertsen, Philipp ; Nguyen, Duc Khuong ; Wegener, Christoph ; Basse, Tobias. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-019-03326-8.

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2019Can policy shifts explain the forward discount puzzle?. (2019). Nikolsko-Rzhevskyy, Alex ; Jetter, Michael ; Ogrokhina, Olena. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:6:d:10.1007_s00181-018-1534-4.

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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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2019Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends. (2019). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Amoateng, Acheampong Y. In: European Journal of Population. RePEc:spr:eurpop:v:35:y:2019:i:4:d:10.1007_s10680-018-9499-8.

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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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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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2019From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Ganics, Gergely ; Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1689.

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2019Exchange rate dynamics and monetary policy -- Evidence from a non-linear DSGE-VAR approach. (2019). Rabitsch, Katrin ; Huber, Florian. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp295.

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2020Central bank information shocks and exchange rates. (2020). Franz, Thorsten. In: Discussion Papers. RePEc:zbw:bubdps:132020.

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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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This paper has another version. Agregated cites: 7		article
2014Fractional Cointegration Rank Estimation.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 7		paper
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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This paper has another version. Agregated cites: 8		article
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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This paper has another version. Agregated cites: 0		article
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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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.
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2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
[Citation analysis]		article86
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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This paper has another version. Agregated cites: 15		paper
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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This paper has another version. Agregated cites: 0		paper
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.
[Full Text][Citation analysis]		article1
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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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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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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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2014Delayed Overshooting: It’s an 80s Puzzle..(2014) In: CDMA Working Paper Series.
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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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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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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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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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2015Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study In: The Journal of Economic Education.
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2017Delayed Overshooting: Is It an 80s Puzzle? In: Journal of Political Economy.
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