Helena Veiga : Citation Profile


Are you Helena Veiga?

Universidad Carlos III de Madrid

8

H index

7

i10 index

216

Citations

RESEARCH PRODUCTION:

19

Articles

38

Papers

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 13
   Journals where Helena Veiga has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 25 (10.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve141
   Updated: 2020-05-16    RAS profile: 2020-05-02    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Ruiz, Esther (6)

Galan, Jorge (3)

Ramos, Sofia (3)

Gonzalez-Rivera, Gloria (2)

Casas, Isabel (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 (11)

Sarmiento, Miguel (10)

Corgnet, Brice (10)

McAleer, Michael (8)

Chang, Chia-Lin (8)

Tansuchat, Roengchai (7)

Deck, Cary (7)

Salisu, Afees (6)

Omori, Yasuhiro (5)

Ruiz, Esther (5)

Cites to:

Bollerslev, Tim (56)

Ruiz, Esther (42)

Diebold, Francis (32)

Shephard, Neil (30)

Yu, Jun (28)

Steel, Mark (25)

Andersen, Torben (22)

McAleer, Michael (22)

Harvey, Andrew (21)

Asai, Manabu (19)

Christoffersen, Peter (17)

Main data


Where Helena Veiga has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Economic Modelling2
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 (2020 and 2019)


YearTitle of citing document
2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis.

Full description at Econpapers || Download paper

2019Interest rate dispersion in commercial loans. (2019). Velez-Velasquez, Juan Sebastian ; Vargas-Vargas, Andres ; Moreno-Burbano, Stefany. In: Borradores de Economia. RePEc:bdr:borrec:1088.

Full description at Econpapers || Download paper

2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

Full description at Econpapers || Download paper

2019Models for expected returns with statistical factors. (2019). Cueto, J M ; Chavez, Aurea Grane ; Fernandez, Ignacio Cascos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28776.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Market power and risk-taking of banks: Some semiparametric evidence from emerging economies. (2019). Jeon, Bang ; Chen, Minghua ; Guo, Mengmeng ; Wu, JI. In: Emerging Markets Review. RePEc:eee:ememar:v:41:y:2019:i:c:s1566014119303905.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Developing a hierarchical system for energy corporate risk factors based on textual risk disclosures. (2019). Wenli, Guo ; Wei, LU ; Sun, Xiaolei ; Zhu, Xiaoqian. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:452-460.

Full description at Econpapers || Download paper

2019Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

Full description at Econpapers || Download paper

2019Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis. (2019). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:950-969.

Full description at Econpapers || Download paper

2019Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables. (2019). Kemp, Alexander ; Liu, Jingzhen. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:672-686.

Full description at Econpapers || Download paper

2019Leverage effect in energy futures revisited. (2019). Carnero, M. Angeles ; Perez, Ana. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:237-252.

Full description at Econpapers || Download paper

2019Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar). (2019). Soytas, Ugur ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s014098831930283x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach. (2019). Mishra, Shekhar ; Meo, Muhammad Saeed ; Sharif, Arshian ; Rehman, Syed Abdul ; Khuntia, Sashikanta. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:292-304.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019A sectoral analysis of asymmetric nexus between oil price and stock returns. (2019). Salisu, Afees ; Raheem, Ibrahim ; Ndako, Umar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:61:y:2019:i:c:p:241-259.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Determinants of the Long-Term Correlation between Crude Oil and Stock Markets. (2019). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:21:p:4123-:d:281377.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019The Distribution of Information and the Price Efficiency of Markets. (2019). Corgnet, Brice ; Porter, David ; Desantis, Mark. In: Post-Print. RePEc:hal:journl:hal-02312304.

Full description at Econpapers || Download paper

2019Information aggregation in Arrow–Debreu markets: an experiment. (2019). Zultan, Roi ; Kaplan, Todd R ; Choo, Lawrence. In: Experimental Economics. RePEc:kap:expeco:v:22:y:2019:i:3:d:10.1007_s10683-017-9548-x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019A dynamic stochastic frontier model with threshold effects: U.S. bank size and efficiency. (2019). Kutlu, Levent ; Karakaplan, Mustafa ; Almanidis, Pavlos . In: Journal of Productivity Analysis. RePEc:kap:jproda:v:52:y:2019:i:1:d:10.1007_s11123-019-00565-6.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Oil Prices and GCC Stock Markets: New Evidence from Vector Smooth Transition Models. (2019). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami . In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2697.

Full description at Econpapers || Download paper

2018The impact of international factors on Spanish company returns: a quantile regression approach. (2018). Jareño, Francisco ; Jareo, Francisco ; Sevillano, Caridad M. In: Risk Management. RePEc:pal:risman:v:20:y:2018:i:1:d:10.1057_s41283-017-0027-7.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: MPRA Paper. RePEc:pra:mprapa:96270.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Correcting outliers in GARCH models: a weighted forward approach. (2019). Grossi, Luigi ; Crosato, Lisa. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0903-y.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Works by Helena Veiga:


YearTitleTypeCited
2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2003Forecasting Volatility Using A Continuous Time Model In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
paper0
2005Parametric 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]
paper1
2007Are Feedback Factors Important in Modeling Financial Data? In: International Review of Finance.
[Full Text][Citation analysis]
article0
2006Are feedback factors important in modelling financial data?.(2006) In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]
article0
2016A Bootstrap Approach for Generalized Autocontour Testing In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2016Efficiency evaluation of Spanish hotel chains In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2017Modeling and forecasting the oil volatility index In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2019Modeling and forecasting the oil volatility index.(2019) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2019Data cloning estimation for asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2019Exploring option pricing and hedging via volatility asymmetry In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2006A two factor long memory stochastic volatility model In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper1
2006Volatility forecasts: a continuous time model versus discrete time models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper28
2008Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH.(2008) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
article
2007The sign of asymmetry and the Taylor Effect in stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2007Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2007The effect of realised volatility on stock returns risk estimates In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper3
2008The 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]
paper1
2008The 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 another version. Agregated cites: 1
paper
2008Aggregation 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]
paper0
2008Aggregation 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 another version. Agregated cites: 0
paper
2009Wavelet-based detection of outliers in volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper3
2009Risk factors in oil and gas industry returns: international evidence In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper44
2011Risk factors in oil and gas industry returns: International evidence.(2011) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
article
2010Outliers in Garch models and the estimation of risk measures In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2010Asymmetric effects of oil price fluctuations in international stock markets In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2011Forecasting volatility: does continuous time do better than discrete time? In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2012Asymmetric long-run effects in the oil industry In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2012Bayesian estimation of inefficiency heterogeneity in stochastic frontier models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper13
2014Bayesian estimation of inefficiency heterogeneity in stochastic frontier models.(2014) In: Journal of Productivity Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2012Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models.(2012) In: Efficiency Series Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2013Correlations between oil and stock markets : a wavelet-based approach In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper33
2015Correlations between oil and stock markets: A wavelet-based approach.(2015) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
article
2013Predictability of stock market activity using Google search queries In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper4
2013One for all : nesting asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2013Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper1
2014Outliers in multivariate Garch models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper1
2014Score driven asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2015Model uncertainty and the forecast accuracy of ARMA models: A survey In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2015An analysis of the dynamics of efficiency of mutual funds In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2009Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models In: Economics Bulletin.
[Full Text][Citation analysis]
article4
2009A 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]
article4
2010Wavelet-based detection of outliers in financial time series In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article8
2020Limited attention, salience of information and stock market activity In: Economic Modelling.
[Full Text][Citation analysis]
article0
2009Price manipulation in an experimental asset market In: European Economic Review.
[Full Text][Citation analysis]
article7
2006Price Manipulation in an Experimental Asset Market.(2006) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2015Dynamic effects in inefficiency: Evidence from the Colombian banking sector In: European Journal of Operational Research.
[Full Text][Citation analysis]
article18
2013Oil price asymmetric effects: Answering the puzzle in international stock markets In: Energy Economics.
[Full Text][Citation analysis]
article21
2017Threshold stochastic volatility: Properties and forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
2008Accurate minimum capital risk requirements: A comparison of several approaches In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article6
2010Information aggregation in experimental asset markets in the presence of a manipulator In: Experimental Economics.
[Full Text][Citation analysis]
article14
2012Asymmetry, realised volatility and stock return risk estimates In: Portuguese Economic Journal.
[Full Text][Citation analysis]
article1
2019Efficiency evaluation of hotel chains: a Spanish case study In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]
article0
2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities In: Working Papers.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team