10
H index
10
i10 index
408
Citations
Helena Veiga : Citation Profile
Universidad Carlos III de Madrid | RESEARCH PRODUCTION: 25 Articles 43 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (2003 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Helena Veiga. | Is cited by:
| Cites to:
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Main data
Where Helena Veiga has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 3 |
| Econometric Reviews | 2 |
| Portuguese Economic Journal | 2 |
| Energy Economics | 2 |
| Economic Modelling | 2 |
| Econometrics and Statistics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística | 33 |
Recent works citing Helena Veiga (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | A Bayesian semi-parametric approach to stochastic frontier models with inefficiency heterogeneity. (2024). Deng, Yaguo. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43837. Full description at Econpapers || Download paper |
| 2024 | A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887. Full description at Econpapers || Download paper |
| 2024 | Asymmetric Effect of Oil Prices on Kazakhstan€™s Stock Market Index and Exchange Rate. (2024). Azretbergenova, Gulmira ; Syzdykova, Aziza. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-06-2. Full description at Econpapers || Download paper |
| 2024 | The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources. (2024). Maqsood, Arfa ; Yaqoob, Tanzeela. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000333. Full description at Econpapers || Download paper |
| 2024 | Heterogeneity and time-varying efficiency in the Ecuadorian banking sector. An output distance stochastic frontier approach. (2024). Perez-Rodriguez, Jorge V ; Cortes-Garcia, Salvador J. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:164-175. Full description at Econpapers || Download paper |
| 2024 | Algorithmic trading, what if it is just an illusion? Evidence from experimental asset markets. (2024). Hanaki, Nobuyuki ; Jacob-Leal, Sandrine. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:112:y:2024:i:c:s2214804324000788. Full description at Econpapers || Download paper |
| 2024 | Investor Attention and Stock Liquidity in the Chinese Market. (2024). Zhang, Jianing ; Zhao, Weihan. In: International Advances in Economic Research. RePEc:kap:iaecre:v:30:y:2024:i:1:d:10.1007_s11294-024-09885-2. Full description at Econpapers || Download paper |
Works by Helena Veiga:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Forecasting Volatility Using A Continuous Time Model In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data. In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Are Feedback Factors Important in Modeling Financial Data? In: International Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2006 | Are feedback factors important in modelling financial data?.(2006) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 1 |
| 2016 | A Bootstrap Approach for Generalized Autocontour Testing In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Efficiency evaluation of Spanish hotel chains In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Modeling and forecasting the oil volatility index In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 5 |
| 2019 | Modeling and forecasting the oil volatility index.(2019) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2019 | Data cloning estimation for asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Data cloning estimation for asymmetric stochastic volatility models.(2020) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2019 | Exploring option pricing and hedging via volatility asymmetry In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Exploring Option Pricing and Hedging via Volatility Asymmetry.(2021) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | Valuation in the energy sector: Fundamentals or bubbles? In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2022 | An experimental analysis of contagion in financial markets In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Adaptative predictability of stock market returns In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Integrated nested Laplace approximations for threshold stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Integrated nested Laplace approximations for threshold stochastic volatility models.(2024) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2006 | A two factor long memory stochastic volatility model In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Volatility forecasts: a continuous time model versus discrete time models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 28 |
| 2008 | Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH.(2008) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
| 2007 | The sign of asymmetry and the Taylor Effect in stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2007 | The effect of realised volatility on stock returns risk estimates In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 2008 | The effect of short-selling of the aggregation of information in an experimental asset market In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 5 |
| 2008 | The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2008 | Aggregation and dissemination of information in experimental asset markets in the presence of a manipulator In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | Wavelet-based detection of outliers in volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Risk factors in oil and gas industry returns: international evidence In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 74 |
| 2011 | Risk factors in oil and gas industry returns: International evidence.(2011) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | article | |
| 2010 | Outliers in Garch models and the estimation of risk measures In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Asymmetric effects of oil price fluctuations in international stock markets In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 3 |
| 2011 | Forecasting volatility: does continuous time do better than discrete time? In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Asymmetric long-run effects in the oil industry In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Bayesian estimation of inefficiency heterogeneity in stochastic frontier models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Correlations between oil and stock markets : a wavelet-based approach In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 53 |
| 2015 | Correlations between oil and stock markets: A wavelet-based approach.(2015) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | article | |
| 2013 | Predictability of stock market activity using Google search queries In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 9 |
| 2013 | One for all : nesting asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Outliers in multivariate Garch models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Score driven asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Model uncertainty and the forecast accuracy of ARMA models: A survey In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2015 | An analysis of the dynamics of efficiency of mutual funds In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models In: Economics Bulletin. [Full Text][Citation analysis] | article | 4 |
| 2009 | A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
| 2010 | Wavelet-based detection of outliers in financial time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 14 |
| 2020 | Limited attention, salience of information and stock market activity In: Economic Modelling. [Full Text][Citation analysis] | article | 8 |
| 2020 | Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2009 | Price manipulation in an experimental asset market In: European Economic Review. [Full Text][Citation analysis] | article | 15 |
| 2006 | Price manipulation in an experimental asset market.(2006) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2015 | Dynamic effects in inefficiency: Evidence from the Colombian banking sector In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 36 |
| 2013 | Oil price asymmetric effects: Answering the puzzle in international stock markets In: Energy Economics. [Full Text][Citation analysis] | article | 57 |
| 2017 | Threshold stochastic volatility: Properties and forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2008 | Accurate minimum capital risk requirements: A comparison of several approaches In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
| 2010 | Information aggregation in experimental asset markets in the presence of a manipulator In: Experimental Economics. [Full Text][Citation analysis] | article | 33 |
| 2014 | Bayesian estimation of inefficiency heterogeneity in stochastic frontier models In: Journal of Productivity Analysis. [Full Text][Citation analysis] | article | 18 |
| 2012 | Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models.(2012) In: Efficiency Series Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2023 | Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach. In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Asymmetry, realised volatility and stock return risk estimates In: Portuguese Economic Journal. [Full Text][Citation analysis] | article | 1 |
| 2024 | Editors’ note In: Portuguese Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2019 | Efficiency evaluation of hotel chains: a Spanish case study In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 3 |
| 2020 | A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2017 | A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team