Helena Veiga : Citation Profile


Are you Helena Veiga?

Universidad Carlos III de Madrid

7

H index

7

i10 index

188

Citations

RESEARCH PRODUCTION:

16

Articles

38

Papers

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 11
   Journals where Helena Veiga has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 24 (11.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pve141
   Updated: 2019-08-17    RAS profile: 2019-04-06    
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Relations with other researchers


Works with:

Ruiz, Esther (6)

Galan, Jorge (3)

Ramos, Sofia (2)

Casas, Isabel (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 (15)

Porter, David (10)

Sarmiento, Miguel (8)

Chang, Chia-Lin (8)

McAleer, Michael (8)

Tansuchat, Roengchai (7)

Corgnet, Brice (7)

Deck, Cary (7)

Salisu, Afees (5)

Ruiz, Esther (5)

Omori, Yasuhiro (5)

Cites to:

Bollerslev, Tim (55)

Ruiz, Esther (42)

Shephard, Neil (30)

Diebold, Francis (30)

Yu, Jun (28)

Andersen, Torben (24)

Steel, Mark (23)

McAleer, Michael (22)

Harvey, Andrew (21)

Asai, Manabu (19)

Tauchen, George (17)

Main data


Where Helena Veiga has published?


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

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística29

Recent works citing Helena Veiga (2019 and 2018)


YearTitle of citing document
2018Information Aggregation in Arrow-Debreu Markets: An Experiment. (2018). Zultan, Ro'i ; Kaplan, Todd ; Choo, Lawrence . In: Working Papers. RePEc:bgu:wpaper:1807.

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2018The Distribution of Information and the Price Efficiency of Markets. (2018). Porter, David ; Corgnet, Brice ; Desantis, Mark. In: Working Papers. RePEc:chu:wpaper:18-09.

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2018Role of Energy on Economy The Case of Micro to Macro Level Analysis. (2018). Sarwar, Suleman ; Khalid, Muqaddas ; Amir, Mehnoor ; Waheed, Rida. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-01019.

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2018Crude oil and equity markets in major European countries: New evidence. (2018). miloudi, anthony ; Benkraiem, Ramzi ; Lahiani, Amine ; van Hoang, Thi Hong. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00237.

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2019Portfolio Diversification and Oil Price Shocks: A Sector Wide Analysis. (2019). Khan, Aftab Parvez ; Azmi, Wajahat ; Ali, Mohsin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-03-28.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2018Do macroeconomic conditions and oil prices influence corporate risk-taking?. (2018). Gupta, Kartick ; Krishnamurti, Chandrasekhar. In: Journal of Corporate Finance. RePEc:eee:corfin:v:53:y:2018:i:c:p:65-86.

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2018Predicting US inflation: Evidence from a new approach. (2018). Salisu, Afees ; Isah, Kazeem. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:134-158.

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2019Oil price and automobile stock return co-movement: A wavelet coherence analysis. (2019). Pal, Debdatta ; Mitra, Subrata K. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181.

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2019Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models. (2019). Vosgha, Hamed ; Fenech, Jean-Pierre. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:81-91.

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2018Productivity growth measurement and decomposition under a dynamic inefficiency specification: The case of German dairy farms. (2018). Skevas, Ioannis ; Emvalomatis, Grigorios ; Brummer, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:1:p:250-261.

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2018On estimating efficiency effects in a stochastic frontier model. (2018). Paul, Satya ; Shankar, Sriram. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:769-774.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2018Technology-investing countries and stock return predictability. (2018). Narayan, Paresh Kumar ; Bach, Dinh Hoang. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:159-179.

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2018Asymmetric impact of oil price on Islamic sectoral stocks. (2018). Lean, Hooi Hooi ; Badeeb, Ramez. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:128-139.

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2018Impact of oil price risk on sectoral equity markets: Implications on portfolio management. (2018). Tiwari, Aviral ; Yoon, Seong-Min ; Mitra, Amarnath ; Jena, Sangram Keshari. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:120-134.

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2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

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2018Impacts of supply and demand factors on declining oil prices. (2018). Kim, Myung Suk . In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:1059-1065.

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2018Investigating dependencies among oil price and tanker market variables by copula-based multivariate models. (2018). Zhang, YI. In: Energy. RePEc:eee:energy:v:161:y:2018:i:c:p:435-446.

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2018What do we know about oil prices and stock returns?. (2018). Smyth, Russell ; Narayan, Paresh Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:148-156.

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2018A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus. (2018). Salisu, Afees ; Swaray, Raymond. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:199-218.

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2018Is food financialized? Yes, but only when liquidity is abundant. (2018). Oran, Adil ; Soytas, Ugur ; Ordu, Beyza Mina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:82-96.

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2018Information (non)aggregation in markets with costly signal acquisition. (2018). Corgnet, Brice ; Porter, David ; Desantis, Mark ; Deck, Cary. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:154:y:2018:i:c:p:286-320.

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2018The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

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2018Estimating the effects of restructuring on the technical and service-quality efficiency of electricity companies in China. (2018). Deng, Na-Qian ; Liu, Li-Qiu. In: Utilities Policy. RePEc:eee:juipol:v:50:y:2018:i:c:p:91-100.

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2018Oil and energy sector stock markets: An analysis of implied volatility indexes. (2018). Dutta, Anupam. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:44:y:2018:i:c:p:61-68.

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2018Oil–gold time varying nexus: A time–frequency analysis. (2018). Khalfaoui, Rabeh . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:86-104.

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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2018Information transmission across stock indices and stock index futures: International evidence using wavelet framework. (2018). Aloui, Chaker ; Yarovaya, Larisa ; Keung, Marco Chi ; Hkiri, Besma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:411-421.

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2018The effects of disruptive innovations on productivity. (2018). Feder, Christophe. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:126:y:2018:i:c:p:186-193.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2018Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes. (2018). Kokabisaghi, Somayeh ; Dorsman, Andre B ; van Meulder, Katrien ; Pauwels, Eric J. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:76-:d:167325.

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2018The Credit Default Swap market contagion during recent crises: International evidence. (2018). Sabkha, Saker ; Hmaied, Dorra ; de Peretti, Christian. In: Post-Print. RePEc:hal:journl:hal-01572510.

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2019Drivers of Productivity in the Spanish Banking Sector: Recent Evidence. (2019). Galan, Jorge ; Castro, Christian. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:55:y:2019:i:2:d:10.1007_s10693-019-00312-w.

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2018Modelling spatial regimes in farms technologies. (2018). Billé, Anna Gloria ; Benedetti, R ; Salvioni, C. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:49:y:2018:i:2:d:10.1007_s11123-018-0529-7.

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2018Dynamic stochastic analysis of the farm subsidy-efficiency link: evidence from France. (2018). Minviel, Jean Joseph ; Sipilainen, Timo . In: Journal of Productivity Analysis. RePEc:kap:jproda:v:50:y:2018:i:1:d:10.1007_s11123-018-0533-y.

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2019The Credit Default Swap market contagion during recent crises: international evidence. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0741-6.

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2018The effect of farm characteristics on the persistence of technical inefficiency: a case study in German dairy farming. (2018). Skevas, Ioannis ; Emvalomatis, Grigorios ; Brummer, Bernhard. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:45:y:2018:i:1:p:3-25..

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2019Productive Performance and Technology Gaps using a Bayesian Metafrontier Production Function: A cross-country comparison.. (2019). Kounetas, Kostantinos ; Malefaki, Sonia ; Economou, Polychronis. In: MPRA Paper. RePEc:pra:mprapa:94462.

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2018How much information is incorporated in financial asset prices? Experimental Evidence. (2018). Siemroth, Christoph ; Page, Lionel. In: QuBE Working Papers. RePEc:qut:qubewp:wp054.

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2018Impact of oil prices on firm stock return: industry-wise analysis. (2018). Waheed, Rida ; Lv, Yulan ; Sarwar, Suleman ; Wei, Chen. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1296-4.

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2019Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis. (2019). Fazelabdolabadi, Babak. In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0128-2.

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2019Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives. (2019). Qiang, Wei ; Wu, Jy S ; Lv, Tao ; Ding, Zhihua ; Liu, Zhenhua. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:95:y:2019:i:1:d:10.1007_s11069-018-3473-y.

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2018The impact of regulatory change on EU energy utility returns: the three liberalization packages. (2018). Tulloch, Daniel J ; Premachandra, I M ; Diaz-Rainey, Ivan. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:9:p:957-972.

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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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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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2019Data cloning estimation for asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2019Exploring option pricing and hedging via volatility asymmetry 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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2013Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector In: DES - Working Papers. Statistics and Econometrics. WS.
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2014Outliers in multivariate Garch models In: DES - Working Papers. Statistics and Econometrics. WS.
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2014Score driven asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2015Model uncertainty and the forecast accuracy of ARMA models: A survey In: DES - Working Papers. Statistics and Econometrics. WS.
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2015An analysis of the dynamics of efficiency of mutual funds In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models In: Economics Bulletin.
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2009A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect In: Computational Statistics & Data Analysis.
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2010Wavelet-based detection of outliers in financial time series In: Computational Statistics & Data Analysis.
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2009Price manipulation in an experimental asset market In: European Economic Review.
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2006Price Manipulation in an Experimental Asset Market.(2006) In: Research Memorandum.
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2015Dynamic effects in inefficiency: Evidence from the Colombian banking sector In: European Journal of Operational Research.
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2013Oil price asymmetric effects: Answering the puzzle in international stock markets In: Energy Economics.
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2017Threshold stochastic volatility: Properties and forecasting In: International Journal of Forecasting.
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2008Accurate minimum capital risk requirements: A comparison of several approaches In: Journal of Banking & Finance.
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2010Information aggregation in experimental asset markets in the presence of a manipulator In: Experimental Economics.
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2012Asymmetry, realised volatility and stock return risk estimates In: Portuguese Economic Journal.
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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities In: Working Papers.
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