Helena Veiga : Citation Profile


Are you Helena Veiga?

Universidad Carlos III de Madrid

9

H index

7

i10 index

286

Citations

RESEARCH PRODUCTION:

22

Articles

42

Papers

RESEARCH ACTIVITY:

   18 years (2003 - 2021). See details.
   Cites by year: 15
   Journals where Helena Veiga has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 27 (8.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve141
   Updated: 2021-10-16    RAS profile: 2021-04-08    
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Relations with other researchers


Works with:

Ruiz, Esther (6)

Casas, Isabel (3)

Ramos, Sofia (2)

Gonzalez-Rivera, Gloria (2)

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

Is cited by:

Galan, Jorge (19)

Porter, David (17)

Corgnet, Brice (14)

Sarmiento, Miguel (14)

Chang, Chia-Lin (9)

McAleer, Michael (9)

Deck, Cary (9)

Tansuchat, Roengchai (7)

Salisu, Afees (6)

Ruiz, Esther (5)

Omori, Yasuhiro (5)

Cites to:

Bollerslev, Tim (65)

Ruiz, Esther (46)

Shephard, Neil (37)

McAleer, Michael (34)

Yu, Jun (33)

Diebold, Francis (32)

Asai, Manabu (32)

Andersen, Torben (27)

Harvey, Andrew (25)

Steel, Mark (24)

Tauchen, George (18)

Main data


Where Helena Veiga has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Econometric Reviews2
Energy Economics2
Economic Modelling2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística33

Recent works citing Helena Veiga (2021 and 2020)


YearTitle of citing document
2021.

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2020Value relevance of the components of oil and gas reserve quantity change disclosures of upstream oil and gas companies in the london stock exchange. (2020). Anighoro, Tega. In: Papers. RePEc:arx:papers:2005.14659.

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2020MANIPULATION AND (MIS)TRUST IN PREDICTION MARKETS. (2020). Zultan, Ro'i ; Kaplan, Todd ; Choo, Lawrence. In: Working Papers. RePEc:bgu:wpaper:2012.

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2021A dynamic stochastic frontier approach with persistent and transient inefficiency and unobserved heterogeneity. (2021). Sipilainen, Timo ; Minviel, Jean Joseph. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:4:p:575-589.

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2021Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence. (2021). Shobande, Olatunji Abdul ; Shodipe, Oladimeji Tomiwa. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:1:p:203-226.

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2020Information Aggregation and the Cognitive Make-up of Traders. (2020). Porter, David ; Corgnet, Brice ; Desantis, Mark. In: Working Papers. RePEc:chu:wpaper:20-18.

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2021How to explain the cross-section of equity returns through Common Principal Components. (2021). Cueto, Jose Manuel ; Chavez, Aurea Grane ; Fernandez, Ignacio Cascos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32258.

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2021Trend of Oil Prices, Gold, GCC Stocks Market during Covid-19 Pandemic: A Wavelet Approach. (2021). Sisodia, Gyanendra Singh ; Tellez, Jesus Cuauhtemoc ; Daffodils, Jennifer ; Rafiuddin, Aqila. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-64.

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2020The distribution of information and the price efficiency of markets. (2020). Porter, David ; Corgnet, Brice ; Desantis, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919300314.

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2021Investigating the asymmetric impact of oil prices on GCC stock markets. (2021). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Kanaan, Oussama ; ben Naceur, Sami ; Bennaceur, Sami . In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001784.

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2020Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?. (2020). Yoon, Seong-Min ; Sadorsky, Perry ; Hernandez, Jose Arreola ; Hanif, Waqas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302335.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Deviance information criterion for latent variable models and misspecified models. (2020). Yu, Jun ; Zeng, Tao ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:450-493.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021Information aggregation and the cognitive make-up of market participants. (2021). Porter, David ; Corgnet, Brice ; Desantis, Mark. In: European Economic Review. RePEc:eee:eecrev:v:133:y:2021:i:c:s0014292121000209.

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2020On a High-Dimensional Model Representation method based on Copulas. (2020). Andrikopoulos, Athanasios ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:967-979.

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2020A spatial stochastic frontier model with endogenous frontier and environmental variables. (2020). Tran, Kien ; Tsionas, Mike G ; Kutlu, Levent. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:1:p:389-399.

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2020Retail investor attention and herding behavior. (2020). Wang, Ming-Chun ; Chan, Chia-Ying ; Hsieh, Shu-Fan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:109-132.

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2021What drives volatility of the U.S. oil and gas firms?. (2021). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

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2020Multi-dimensional interactions in the oilfield market: A jackknife model averaging approach of spatial productivity analysis. (2020). Gong, Binlei. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988317302992.

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2020Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis. (2020). Yoon, Seong-Min ; Jiang, Zhuhua. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301754.

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2021Asymmetric between oil prices and renewable energy consumption in the G7 countries. (2021). Cheng, Hui ; Zhang, Hongwei ; Xiyu, Chen ; Guo, Yaoqi. In: Energy. RePEc:eee:energy:v:226:y:2021:i:c:s0360544221005685.

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2020Three-level network analysis of the North American natural gas price: A multiscale perspective. (2020). Liu, Shuyu ; Sun, Qingru ; Feng, Sida ; Chi, Yuxi ; Huang, Shupei. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919302200.

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2021The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Sivaprasad, Sheeja ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000144.

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2020How has the relationship between oil and the US stock market changed after the Covid-19 crisis?. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612320315877.

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2021Google search and stock returns: A study on BIST 100 stocks. (2021). Ekinci, Cumhur ; Bulut, Ali Eray. In: Global Finance Journal. RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319302017.

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2021Audit fees, non-audit fees and access to finance: Evidence from India. (2021). Arun, Thankom ; Baboukardos, Diogenis ; Alrashidi, Rasheed. In: Journal of International Accounting, Auditing and Taxation. RePEc:eee:jiaata:v:43:y:2021:i:c:s1061951821000227.

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2020The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. (2020). Sharif, Arshian ; Chang, Bisharat Hussain ; Rehman, Syed Abdul ; Salman, Asma ; Suki, Norazah Mohd ; Aman, Ameenullah. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719304751.

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2020Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey. (2020). Akdeniz, Cokun ; Kila, Gul Huyuguzel ; Atik, Abdurrahman Nazif. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s030142072030876x.

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2021Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain. (2021). Vo, Xuan Vinh ; Al-Yahyaee, Khamis Hamed ; Maitra, Debasish ; Ur, Mobeen ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000799.

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2021Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach. (2021). Suleman, Muhammad Tahir ; Sharif, Arshian ; Aman, Ameenullah ; Zaighum, Isma. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000842.

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2021Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions. (2021). Chen, Jinyu ; Zhu, Xuehong. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002543.

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2020Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*. (2020). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:134:y:2020:i:c:s1364032120306377.

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2020Risk dependence between energy corporations: A text-based measurement approach. (2020). Zhu, Xiaoqian ; Li, Jianping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:33-46.

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2020The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach. (2020). Das, Debojyoti ; Kannadhasan, M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:563-581.

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2021Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective. (2021). Lin, Boqiang ; Bai, Rui. In: Research in International Business and Finance. RePEc:eee:riibaf:v:56:y:2021:i:c:s027553192030965x.

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2021Multiscale stock-bond correlation: Implications for risk management. (2021). McMillan, David ; Alomari, Mohammad ; al Rababaa, Abdel Razzaq. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000568.

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2021Analysis of electric distribution utilities efficiency levels by stochastic frontier in Brazilian power sector. (2021). Francisco, Jose ; Medrano, Luis Alberto ; Pereira, Amaro Olimpio ; Cardoso, Mario Jorge. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:76:y:2021:i:c:s0038012120308107.

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2020The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?. (2020). Shah, Mohd Azlan ; Low, Soo-Wah ; Hoque, Mohammad Enamul. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3901-:d:392498.

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2020Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management. (2020). Yang, Lu ; Hamori, Shigeyuki ; Tian, Shuairu ; Cai, Xiaojing. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:2:p:294-:d:306122.

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2020Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach. (2020). Low, Soo Wah ; Shah, Mohd Azlan ; Hoque, Mohmmad Enamul. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:5:p:1154-:d:328131.

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2020Models for Expected Returns with Statistical Factors. (2020). Cueto, Jose Manuel ; Cascos, Ignacio ; Grane, Aurea. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:314-:d:458757.

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2020Does Gender Diversity Influence Business Efficiency? An Analysis from the Social Perspective of CSR. (2020). Fernandez-Torres, Yakira ; Gutierrez-Fernandez, Milagros. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3865-:d:355860.

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2020Forecasting Skills in Experimental Markets: Illusion or Reality?. (2020). Corgnet, Brice ; Porter, David ; Desantis, Mark ; Deck, Cary. In: Working Papers. RePEc:gat:wpaper:2020.

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2021Insider trading regulation and shorting constraints. Evaluating the joint effects of two market interventions.. (2021). Palan, Stefan ; Stckl, Thomas ; Merl, Robert. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2021-03.

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2021Literature Review of Experimental Asset Markets with Insiders. (2021). Merl, Robert. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2021-04.

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2020Forecasting Skills in Experimental Markets: Illusion or Reality?. (2020). Deck, Cary ; Corgnet, Brice ; Porter, David ; Desantis, Mark. In: Working Papers. RePEc:hal:wpaper:halshs-02893291.

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2020Too Much Trust in Group Decisions: Uncovering Hidden Profiles by Groups and Markets. (2020). Budescu, David V ; MacIejovsky, Boris. In: Organization Science. RePEc:inm:ororsc:v:31:y:2020:i:6:p:1497-1514.

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2020Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets. (2020). Rault, Christophe ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami ; ben Cheikh, Nidhaleddine. In: IZA Discussion Papers. RePEc:iza:izadps:dp13853.

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2021Exploring Option Pricing and Hedging via Volatility Asymmetry. (2021). Veiga, Helena ; Casas, Isabel. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10005-5.

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2021Electricity Sector Reform Performance in Sub-Saharan Africa: A Parametric Distance Function Approach. (2021). Baos-Pino, Jose F ; Zapico, Emma ; Boto-Garcia, David. In: Efficiency Series Papers. RePEc:oeg:wpaper:2021/03.

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2021Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. (2021). Uhde, Andre ; Feng, Yuanhua ; Letmathe, Sebastian. In: Working Papers CIE. RePEc:pdn:ciepap:141.

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2020Technical efficiency and inefficiency: Reassurance of standard SFA models and a misspecification problem. (2020). Peresetsky, Anatoly ; Zaytsev, Alexey ; Shchetynin, Yevgenii ; Kumbhakar, Subal C. In: MPRA Paper. RePEc:pra:mprapa:102797.

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2020Centralized vs decentralized markets in the laboratory: The role of connectivity. (2020). Alfarano, Simone ; Kapar, Burcu ; Iori, Giulia ; Camacho-Cuena, Eva ; Banal-Estanol, Albert. In: MPRA Paper. RePEc:pra:mprapa:99129.

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2020.

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2021Modeling the flow of information between financial time-series by an entropy-based approach. (2021). Vellucci, P ; Mastroeni, L ; Benedetto, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03319-7.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Yan, Kai ; Zhang, Wei ; Shen, Dehua. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2021The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries. (2021). Atik, Nazif A ; Kila, Gul Huyuguzel ; Kosedali, Begum Yurteri. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00224-y.

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2020Productivity, competition and bank restructuring process. (2020). Martin-Oliver, Alfredo ; Salas-Fumas, Vicente ; Llorens, Vanesa. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:11:y:2020:i:3:d:10.1007_s13209-020-00214-4.

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2020Re-Evaluation of World Population Figures: Politics and Forecasting Mechanics. (2020). Shobande, Olatunji ; Tomiwa, Shodipe Oladimeji ; Abdul, Shobande Olatunji. In: Economics and Business. RePEc:vrs:ecobus:v:34:y:2020:i:1:p:104-125:n:8.

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2021Modelling the volatility of crude oil returns: Jumps and volatility forecasts. (2021). Roubaud, David ; Dutta, Anupam ; Bouri, Elie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:889-897.

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2021Out?of?sample performance of bias?corrected estimators for diffusion processes. (2021). Guo, Ziyi. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:243-268.

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Works by Helena Veiga:


YearTitleTypeCited
2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium In: CREATES Research Papers.
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2003Forecasting Volatility Using A Continuous Time Model In: UFAE and IAE Working Papers.
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2003Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data. In: UFAE and IAE Working Papers.
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2005Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal In: UFAE and IAE Working Papers.
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2007Are Feedback Factors Important in Modeling Financial Data? In: International Review of Finance.
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2006Are feedback factors important in modelling financial data?.(2006) In: DES - Working Papers. Statistics and Econometrics. WS.
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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES In: Journal of Economic Surveys.
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article1
2016A Bootstrap Approach for Generalized Autocontour Testing In: DES - Working Papers. Statistics and Econometrics. WS.
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2016Efficiency evaluation of Spanish hotel chains In: DES - Working Papers. Statistics and Econometrics. WS.
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2017Modeling and forecasting the oil volatility index In: DES - Working Papers. Statistics and Econometrics. WS.
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2019Modeling and forecasting the oil volatility index.(2019) In: Journal of Forecasting.
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2019Data cloning estimation for asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2020Data cloning estimation for asymmetric stochastic volatility models.(2020) In: Econometric Reviews.
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2019Exploring option pricing and hedging via volatility asymmetry In: DES - Working Papers. Statistics and Econometrics. WS.
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2020Valuation in the energy sector: Fundamentals or bubbles? In: DES - Working Papers. Statistics and Econometrics. WS.
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2020Contagion in sequential financial markets: an experimental analysis In: DES - Working Papers. Statistics and Econometrics. WS.
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2020Adaptative predictability of stock market returns In: DES - Working Papers. Statistics and Econometrics. WS.
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2021Integrated nested Laplace approximations for threshold stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2006A two factor long memory stochastic volatility model In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Volatility forecasts: a continuous time model versus discrete time models In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS.
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2008Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH.(2008) In: Computational Statistics & Data Analysis.
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2007The sign of asymmetry and the Taylor Effect in stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2007Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches In: DES - Working Papers. Statistics and Econometrics. WS.
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2007The effect of realised volatility on stock returns risk estimates In: DES - Working Papers. Statistics and Econometrics. WS.
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2008The effect of short-selling of the aggregation of information in an experimental asset market In: DES - Working Papers. Statistics and Econometrics. WS.
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2008The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market.(2008) In: Working Papers.
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2008Aggregation and dissemination of information in experimental asset markets in the presence of a manipulator In: DES - Working Papers. Statistics and Econometrics. WS.
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2008Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator.(2008) In: Working Papers.
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2009Wavelet-based detection of outliers in volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Risk factors in oil and gas industry returns: international evidence In: DES - Working Papers. Statistics and Econometrics. WS.
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2011Risk factors in oil and gas industry returns: International evidence.(2011) In: Energy Economics.
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2010Outliers in Garch models and the estimation of risk measures In: DES - Working Papers. Statistics and Econometrics. WS.
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2010Asymmetric effects of oil price fluctuations in international stock markets In: DES - Working Papers. Statistics and Econometrics. WS.
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2011Forecasting volatility: does continuous time do better than discrete time? In: DES - Working Papers. Statistics and Econometrics. WS.
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2012Asymmetric long-run effects in the oil industry In: DES - Working Papers. Statistics and Econometrics. WS.
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2012Bayesian estimation of inefficiency heterogeneity in stochastic frontier models In: DES - Working Papers. Statistics and Econometrics. WS.
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2014Bayesian estimation of inefficiency heterogeneity in stochastic frontier models.(2014) In: Journal of Productivity Analysis.
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2012Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models.(2012) In: Efficiency Series Papers.
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2013Correlations between oil and stock markets : a wavelet-based approach In: DES - Working Papers. Statistics and Econometrics. WS.
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2015Correlations between oil and stock markets: A wavelet-based approach.(2015) In: Economic Modelling.
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2013Predictability of stock market activity using Google search queries In: DES - Working Papers. Statistics and Econometrics. WS.
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2013One for all : nesting asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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