Carlos Velasco : Citation Profile

Are you Carlos Velasco?

Universidad Carlos III de Madrid

16

H index

21

i10 index

1113

Citations

RESEARCH PRODUCTION:

45

Articles

49

Papers

RESEARCH ACTIVITY:

   27 years (1996 - 2023). See details.
   Cites by year: 41
   Journals where Carlos Velasco has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 37 (3.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve103
   Updated: 2024-11-08    RAS profile: 2024-11-06    
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Relations with other researchers

Works with:

Dolado, Juan (2)

Rachinger, Heiko (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 (149)

Caporale, Guglielmo Maria (69)

Nielsen, Morten (43)

Plastun, Alex (24)

Phillips, Peter (24)

Mayoral, Laura (23)

Proietti, Tommaso (22)

Gonzalo, Jesus (20)

Łasak, Katarzyna (19)

DE TRUCHIS, Gilles (18)

Dolado, Juan (18)

Cites to:

Phillips, Peter (26)

Robinson, Peter (21)

Lobato, Ignacio (17)

Hassler, Uwe (16)

Campbell, John (16)

Delgado, Miguel (16)

Bierens, Herman (14)

Nielsen, Morten (14)

Chen, Xiaohong (12)

Escanciano, Juan Carlos (12)

Hualde, Javier (11)

Main data

Where Carlos Velasco has published?

Journals with more than one article published# docs
Journal of Econometrics13
Econometric Theory6
Journal of Time Series Analysis4
Journal of Business & Economic Statistics3
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Journal of Financial Econometrics2
Economics Letters2
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 / Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)4
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 (2024 and 2023)

YearTitle of citing document
2023Indonesia’s forest management progress: empirical analysis of environmental Kuznets curve. (2023). Malahayati, Marissa. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:341536.

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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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2024Measuring 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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2024Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2024Theory 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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2024Theory 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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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Structured Multifractal Scaling of the Principal Cryptocurrencies: Examination using a Self-Explainable Machine Learning. (2023). Saadaoui, Foued. In: Papers. RePEc:arx:papers:2304.08440.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023SGMM: Stochastic Approximation to Generalized Method of Moments. (2023). Song, Myunghyun ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2308.13564.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543.

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2023Power law in Sandwiched Volterra Volatility model. (2023). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2311.01228.

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2023.

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2023University attendance and academic performance: Encouraging student engagement. (2023). Grydaki, Maria ; Lucey, Siobhan. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:70:y:2023:i:2:p:180-199.

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2023Monetary policy shocks and exchange rate dynamics in small open economies. (2023). Tchatoka, Firmin Doko ; Cross, Jamie L ; Haque, Qazi ; Terrell, Madison. In: Working Papers. RePEc:bny:wpaper:0121.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Testing the martingale difference hypothesis in high dimension. (2023). Shao, Xiaofeng ; Jiang, Qing ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:972-1000.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023A new generalized exponentially weighted moving average quantile model and its statistical inference. (2023). Zhu, KE. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002269.

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2024The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity. (2024). Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300341x.

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2024Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639.

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2024Is Newey–West optimal among first-order kernels?. (2024). Walker, Christopher D ; Stock, James H ; Kolokotrones, Thomas. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407623000301.

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2024Bootstrapping long memory time series: Application in low frequency estimators. (2024). Arteche, Josu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:1-15.

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2024Partially one-sided semiparametric inference for trending persistent and antipersistent processes. (2024). Giraitis, Liudas ; Distaso, Walter ; Abadir, Karim M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:1-14.

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2023Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities. (2023). Aun, Syed ; Islam, Muhammad Umar ; Ali, Mohsin ; Azmi, Wajahat ; Shahid, Muhammad Naeem. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001329.

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2023Multifractal cross-correlations between green bonds and financial assets. (2023). Tabak, Benjamin M. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007796.

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2024Permanent and temporary monetary policy shocks and the dynamics of exchange rates. (2024). Ribeiro, Pedro Pires ; Valle, Joo ; Carvalho, Alexandre. In: Journal of International Economics. RePEc:eee:inecon:v:147:y:2024:i:c:s0022199623001575.

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2024The effects of class attendance on academic performance: Evidence from synchronous courses during Covid-19 at a Chinese research university. (2024). Ha, Wei ; Ma, Liping ; Bu, Shangcong ; Feng, Qinxue ; Cao, Yulian. In: International Journal of Educational Development. RePEc:eee:injoed:v:104:y:2024:i:c:s0738059323002286.

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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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2024Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002248.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2024Matrix-valued isotropic covariance functions with local extrema. (2024). Emery, Xavier ; Alegria, Alfredo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23000969.

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2023Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis. (2023). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000357.

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2023Exchange rate volatility and the effectiveness of FX interventions: The case of Chile. (2023). Pia, Marco ; Jara, Alejandro. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000030.

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2024NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict. (2024). Okorie, David ; Mazur, Mieszko ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:126-151.

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2024Adaptive market hypothesis: A comparison of Islamic and conventional stock indices. (2024). Ali, Shahid ; Ullah, Ihsan ; Akbar, Muhammad ; Rehman, Naser. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:460-477.

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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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2023.

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2023.

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2024.

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2023Social Media and Influencer Marketing for Promoting Sustainable Tourism Destinations: The Instagram Case. (2023). Kotzaivazoglou, Iordanis ; Papaioannou, Eugenia ; Kilipiri, Eleni. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6374-:d:1118416.

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2023Which Monetary Shocks Matter in Small Open Economies? Evidence from Canada. (2023). Ha, Jongrim ; So, Inhwan. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:2:a:8.

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2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

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2023Bootstrapping Whittle estimators. (2023). Paparoditis, E ; J -P Kreiss, . In: Biometrika. RePEc:oup:biomet:v:110:y:2023:i:2:p:499-518..

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2023Forecasting highly persistent time series with bounded spectrum processes. (2023). Maddanu, Federico. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:1:d:10.1007_s00362-022-01321-z.

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2023Homogeneity tests for one-way models with dependent errors under correlated groups. (2023). Taniguchi, Masanobu ; Liu, Yan ; Arakaki, Koichi ; Goto, Yuichi. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00828-9.

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2024Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Zhai, Jia ; Shi, Shimeng. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667.

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2023Dornbusch’s overshooting and the systematic component of monetary policy in SOE-SVARs. (2023). Javed, Naveed ; Groshenny, Nicolas. In: TEPP Working Paper. RePEc:tep:teppwp:wp23-08.

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2023Gaussian semiparametric estimation Gaussian semiparametric estimation of two-dimensional intrinsically stationary random fields. (2023). Matsuda, Yasumasa ; Yajima, Yoshihiro. In: DSSR Discussion Papers. RePEc:toh:dssraa:136.

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2024The 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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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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This paper has nother 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]		paper22
2017Estimation of fractionally integrated panels with fixed effects and cross-section dependence.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 22		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.
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This paper has nother 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 nother 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]		article8
2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
[Citation analysis]		article106
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]		article3
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.
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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.
[Full Text][Citation analysis]		paper85
2005Distribution Free Goodness-of-Fit Tests for Linear Processes In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper29
2005Distribution free goodness-of-fit tests for linear processes.(2005) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 29		paper
2013Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper10
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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This paper has nother version. Agregated cites: 10		paper
2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 10		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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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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2007A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper1
2009A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper1
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]		paper0
1998Non-stationary log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
1998Gaussian semiparametric estimation of non-stationary time series In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1998Local cross validation for spectrum bandwidth choice In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper8
2000NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article52
2001EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN In: Econometric Theory.
[Full Text][Citation analysis]		article32
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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This paper has nother version. Agregated cites: 32		paper
2004A SIMPLE TEST OF NORMALITY FOR TIME SERIES In: Econometric Theory.
[Full Text][Citation analysis]		article21
2008DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]		article13
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.
[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.
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This paper has nother version. Agregated cites: 5		paper
2017New goodness-of-fit diagnostics for conditional discrete response models.(2017) In: Journal of Econometrics.
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This paper has nother 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]		paper35
2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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This paper has nother version. Agregated cites: 35		paper
2009Residual Log-Periodogram Inference for Long-Run-Relationships.(2009) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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This paper has nother version. Agregated cites: 35		paper
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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This paper has nother version. Agregated cites: 35		paper
2004Consistent Testing of Cointegrating Relationships In: Econometrica.
[Full Text][Citation analysis]		article26
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]		article14
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.
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This paper has nother version. Agregated cites: 4		paper
2018Efficiency improvements for minimum distance estimation of causal and invertible ARMA models In: Economics Letters.
[Full Text][Citation analysis]		article1
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
2006Generalized spectral tests for the martingale difference hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article100
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.
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This paper has nother version. Agregated cites: 13		paper
2010Distribution-free tests for time series models specification In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
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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This paper has nother version. Agregated cites: 1		paper
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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1999Non-stationary log-periodogram regression In: Journal of Econometrics.
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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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2022Single step estimation of ARMA roots for nonfundamental nonstationary fractional models In: The Econometrics Journal.
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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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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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2023Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics In: Journal of Business & Economic Statistics.
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2017Delayed Overshooting: Is It an 80s Puzzle? In: Journal of Political Economy.
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2021Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption In: Working Papers.
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