19
H index
29
i10 index
2981
Citations
Universidad Carlos III de Madrid | 19 H index 29 i10 index 2981 Citations RESEARCH PRODUCTION: 39 Articles 79 Papers 1 Chapters RESEARCH ACTIVITY: 31 years (1992 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pgo192 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jesus Gonzalo. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 10 |
Oxford Bulletin of Economics and Statistics | 3 |
Economics Letters | 3 |
Journal of Time Series Analysis | 2 |
Studies in Nonlinear Dynamics & Econometrics | 2 |
Journal of Business & Economic Statistics | 2 |
The Journal of Financial Econometrics | 2 |
Year | Title of citing document |
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2023 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper |
2023 | Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150. Full description at Econpapers || Download paper |
2023 | Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052. Full description at Econpapers || Download paper |
2023 | Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632. Full description at Econpapers || Download paper |
2023 | Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper |
2023 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper |
2023 | Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843. Full description at Econpapers || Download paper |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper |
2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper |
2023 | Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563. Full description at Econpapers || Download paper |
2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper |
2023 | Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450. Full description at Econpapers || Download paper |
2023 | Fires and Local Labor Markets. (2023). Rao, Akhil ; Coulombe, Raphaelle G. In: Papers. RePEc:arx:papers:2308.02739. Full description at Econpapers || Download paper |
2023 | The Inflation Attention Threshold and Inflation Surges. (2023). Pfauti, Oliver. In: Papers. RePEc:arx:papers:2308.09480. Full description at Econpapers || Download paper |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper |
2023 | Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data. (2023). Liu, Yujiang ; Zhang, Xulong ; Leng, Wan ; Zhou, Lichun ; Tang, Lihua ; Jiang, Guilin ; Gui, Zhaozhong. In: Papers. RePEc:arx:papers:2309.16196. Full description at Econpapers || Download paper |
2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
2023 | Inference on common trends in functional time series. (2023). Seong, Dakyung ; Nielsen, Morten Orregaard. In: Papers. RePEc:arx:papers:2312.00590. Full description at Econpapers || Download paper |
2023 | Trends in Temperature Data: Micro-foundations of Their Nature. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Gadea, Maria Dolores. In: Papers. RePEc:arx:papers:2312.06379. Full description at Econpapers || Download paper |
2023 | House Prices, Monetary Policy and Commodities: Evidence from Australia. (2023). Read, Alistair ; Graham, James. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:324:p:1-31. Full description at Econpapers || Download paper |
2023 | The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence. (2023). Keil, Sascha. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:5:p:1235-1263. Full description at Econpapers || Download paper |
2023 | Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116. Full description at Econpapers || Download paper |
2023 | Trends in temperature data: micro-foundations of their nature. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Gadea, Maria Dolores. In: UC3M Working papers. Economics. RePEc:cte:werepe:39045. Full description at Econpapers || Download paper |
2023 | Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968. Full description at Econpapers || Download paper |
2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper |
2023 | Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166. Full description at Econpapers || Download paper |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper |
2023 | Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645. Full description at Econpapers || Download paper |
2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper |
2023 | Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution. (2023). Varga, Katalin ; Szendrei, Tibor. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000150. Full description at Econpapers || Download paper |
2023 | Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775. Full description at Econpapers || Download paper |
2023 | A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213. Full description at Econpapers || Download paper |
2023 | Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (2023). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:300-319. Full description at Econpapers || Download paper |
2023 | Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154. Full description at Econpapers || Download paper |
2023 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236. Full description at Econpapers || Download paper |
2023 | Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331. Full description at Econpapers || Download paper |
2023 | Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin ; Liu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679. Full description at Econpapers || Download paper |
2023 | Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892. Full description at Econpapers || Download paper |
2023 | Testing stochastic dominance with many conditioning variables. (2023). Whang, Yoon-Jae ; Seo, Myung Hwan ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:507-527. Full description at Econpapers || Download paper |
2023 | Exploring 200 years of U.S. commodity market integration: A structural time series model approach. (2023). Harrison, James M. In: Explorations in Economic History. RePEc:eee:exehis:v:88:y:2023:i:c:s0014498323000086. Full description at Econpapers || Download paper |
2023 | The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124. Full description at Econpapers || Download paper |
2023 | Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173. Full description at Econpapers || Download paper |
2023 | Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x. Full description at Econpapers || Download paper |
2023 | Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198. Full description at Econpapers || Download paper |
2023 | Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307. Full description at Econpapers || Download paper |
2023 | How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079. Full description at Econpapers || Download paper |
2023 | Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures. (2023). Yang, Jimmy J ; Chang, Yung Ting ; Chen, Yu-Lun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003276. Full description at Econpapers || Download paper |
2023 | Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis. (2023). Todorova, Neda ; Nekhili, Ramzi ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003689. Full description at Econpapers || Download paper |
2023 | Informational linkage and price discovery between Chinas futures and spot markets: Evidence from the US–China trade dispute. (2023). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000527. Full description at Econpapers || Download paper |
2023 | International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495. Full description at Econpapers || Download paper |
2023 | Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x. Full description at Econpapers || Download paper |
2023 | Information shares for markets with partially overlapping trading hours. (2023). Schweikert, Karsten ; Dimpfl, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681. Full description at Econpapers || Download paper |
2023 | Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134. Full description at Econpapers || Download paper |
2023 | Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000259. Full description at Econpapers || Download paper |
2023 | The scope and methodology of economic and financial asymmetries. (2023). Stengos, Thanasis ; Malliaris, Anastasios ; Alogoskoufis, George. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000099. Full description at Econpapers || Download paper |
2023 | Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906. Full description at Econpapers || Download paper |
2023 | Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216. Full description at Econpapers || Download paper |
2023 | Predicting volatility in natural gas under a cloud of uncertainties. (2023). Xiao, Zuoping ; Chen, Juan ; Guo, Hongling ; Bai, Jiancheng. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001447. Full description at Econpapers || Download paper |
2023 | Oil rents and non-oil economic growth in CIS oil exporters. The role of financial development. (2023). Suleymanov, Elchin ; Hasanov, Fakhri J ; Taskin, Dilvin ; Aliyev, Ruslan. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002313. Full description at Econpapers || Download paper |
2023 | A review of state-of-the-art techniques for the determination of the optimum cut-off grade of a metalliferous deposit with a bibliometric mapping in a surface mine planning context. (2023). Sen, Phalguni ; Sinha, Rabindra Kumar ; Biswas, Pritam. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723002544. Full description at Econpapers || Download paper |
2023 | Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678. Full description at Econpapers || Download paper |
2023 | Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314. Full description at Econpapers || Download paper |
2023 | Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility. (2023). Wang, LU ; Su, Yuquan ; Yu, Jize ; Hong, Yanran. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:358-368. Full description at Econpapers || Download paper |
2023 | Does smile help detect the UKs price leadership change after MiFID?. (2023). Li, Xiaoxi ; Guo, Qian ; Chen, Jing ; Buckle, Mike. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:756-769. Full description at Econpapers || Download paper |
2023 | Challenges for volatility forecasts of US fossil energy spot markets during the COVID-19 crisis. (2023). Huang, Haizhen ; Li, Zepei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:31-45. Full description at Econpapers || Download paper |
2023 | Economic policy uncertainty and environmental governance company volatility: Evidence from China. (2023). Feng, Jing ; Qi, Jipeng ; Lv, Wendai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000016. Full description at Econpapers || Download paper |
2023 | Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Determinants of Food Prices in Türkiye: Fourier Engle-Granger Cointegration Test. (2023). Kirca, Mustafa ; Canbay, Serif ; Inal, Veysel. In: Journal of Economic Policy Researches. RePEc:ist:iujepr:v:10:y:2023:i:1:p:133-156. Full description at Econpapers || Download paper |
2023 | Does political risk undermine environment and economic development in Pakistan? Empirical evidence from China–Pakistan economic corridor. (2023). Ashraf, Junaid. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09434-z. Full description at Econpapers || Download paper |
2023 | Semi-endogenous growth in a non-Walrasian DSEM for Brazil: estimation and simulation of changes in foreign income, human capital, R&D, and terms of trade. (2023). Ziesemer, Thomas. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09461-w. Full description at Econpapers || Download paper |
2023 | Spillover effect among independent carbon markets: evidence from China’s carbon markets. (2023). Liang, Weijuan ; Yan, Yaxue ; Zhang, Xiaoling ; Wang, Banban. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:5:d:10.1007_s10644-022-09431-2. Full description at Econpapers || Download paper |
2023 | A note on CO2 emissions using two new tests. (2023). Sephton, Peter ; Omay, Tolga. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:4:d:10.1007_s10663-023-09584-x. Full description at Econpapers || Download paper |
2023 | Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange. (2023). Hung, Pi-Hsia ; Lien, Donald. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01150-7. Full description at Econpapers || Download paper |
2023 | Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308. Full description at Econpapers || Download paper |
2023 | Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model. (2023). Cepni, Oguzhan ; Gupta, Rangan ; Liao, Wenting ; Salisu, Afees A. In: Working Papers. RePEc:pre:wpaper:202323. Full description at Econpapers || Download paper |
2023 | Dynamic Quantile Panel Data Models with Interactive Effects. (2023). Zheng, Chaowen ; Shin, Yongcheol ; Author-Name, Jia Chen. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-06. Full description at Econpapers || Download paper |
2023 | The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556. Full description at Econpapers || Download paper |
2023 | An econometric evaluation of the effects of economic growth, energy use, and agricultural value added on carbon dioxide emissions in Vietnam. (2023). Raihan, Asif. In: Asia-Pacific Journal of Regional Science. RePEc:spr:apjors:v:7:y:2023:i:3:d:10.1007_s41685-023-00278-7. Full description at Econpapers || Download paper |
2023 | Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5. Full description at Econpapers || Download paper |
2023 | The optimal environmental regulation policy combination for high-quality economic development based on spatial Durbin and threshold regression models. (2023). Wang, Liwen ; Wu, Hecheng ; Lu, Weixue. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:7:d:10.1007_s10668-022-02372-w. Full description at Econpapers || Download paper |
2023 | Do efficient commodity markets co-move: evidence from Indian base metals market. (2023). Singhal, Utkarsh ; Shahani, Rakesh. In: Mineral Economics. RePEc:spr:minecn:v:36:y:2023:i:3:d:10.1007_s13563-022-00353-z. Full description at Econpapers || Download paper |
2023 | Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities. (2023). Liu, Liyu ; Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Economic Design. RePEc:spr:reecde:v:27:y:2023:i:1:d:10.1007_s10058-021-00276-1. Full description at Econpapers || Download paper |
2023 | Fundamental and bubble spillovers in stock markets: a common trend approach. (2023). Sethu, Raja S ; Hafsal, K. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00437-0. Full description at Econpapers || Download paper |
2023 | Price discovery and risk management in asset class: a bibliometric analysis and research agenda. (2023). Dey, Kushankur ; Gairola, Gaurav. In: Applied Economics Letters. RePEc:taf:apeclt:v:30:y:2023:i:17:p:2320-2331. Full description at Econpapers || Download paper |
2023 | Do extreme shocks help forecast oil price volatility? The augmented GARCH?MIDAS approach. (2023). Lang, Qiaoqi ; Liu, Guoshan ; Ma, Feng ; Wang, LU. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2056-2073. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Uncertainty?driven oil volatility risk premium and international stock market volatility forecasting. (2023). Yin, Libo ; Su, Zhi ; Miao, Deyu ; Fang, Tong. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:872-904. Full description at Econpapers || Download paper |
2023 | Price discovery in Chinas crude oil futures markets: An emerging Asian benchmark?. (2023). Webb, Robert I ; Yang, Jian ; Yu, Ziliang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:297-324. Full description at Econpapers || Download paper |
2023 | Tests of no cross-sectional error dependence in panel quantile regressions. (2023). , Paulo ; Hosseinkouchack, Mehdi ; Demetrescu, Matei. In: Ruhr Economic Papers. RePEc:zbw:rwirep:1041. Full description at Econpapers || Download paper |
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2020 | Quantile Factor Models In: Papers. [Full Text][Citation analysis] | paper | 27 |
2018 | Quantile Factor Models.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2017 | Quantile Factor Models.(2017) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2020 | Quantile Factor Models.(2020) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2021 | Quantile Factor Models.(2021) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2020 | Dynamic Effects of Persistent Shocks In: Papers. [Full Text][Citation analysis] | paper | 11 |
2019 | Dynamic effects of persistent shocks.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2019 | Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2023 | Climate change heterogeneity: A new quantitative approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Climate change heterogeneity: a new quantitative approach.(2022) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Out of sample predictability in predictive regressions with many predictor candidates.(2020) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2023 | Estimation of Characteristics-based Quantile Factor Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Estimation of characteristics-based quantile factor models.(2023) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1995 | Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 677 |
1992 | Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 677 | paper | |
2005 | What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
2005 | What is what?: A simple time-domain test of long-memory vs. structural breaks.(2005) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2003 | Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2023 | Heterogeneous predictive association of CO2 with global warming In: Economica. [Full Text][Citation analysis] | article | 0 |
2023 | Heterogeneous Predictive Association of CO2 with Global Warming.(2023) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1996 | RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 7 |
1995 | Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2002 | Lag length estimation in large dimensional systems In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2006 | Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 52 |
2006 | Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
2019 | Differences Between Short? and Long?Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2021 | Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2020 | Uncovering regimes in out of sample forecast errors from predictive regressions.(2020) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2008 | Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 8 |
2007 | Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components.(2007) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2017 | The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
2017 | The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2005 | The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers. [Full Text][Citation analysis] | paper | 35 |
1994 | Comovements in Large Systems In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
1995 | Comovements in large systems.(1995) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
1995 | On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
1995 | On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors.(1995) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1995 | On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors..(1995) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2003 | Threshold integrated moving average models: does size matter? maybe so In: DE - Documentos de Trabajo. EconomÃa. DE. [Full Text][Citation analysis] | paper | 4 |
2004 | Threshold Integrated Moving Average Models (Does Size Matter? Maybe So).(2004) In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2000 | Econometric implications of non-exact present value models In: DE - Documentos de Trabajo. EconomÃa. DE. [Full Text][Citation analysis] | paper | 0 |
2008 | Modelling and Measuring Price Discovery in Commodity Markets In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 89 |
2007 | Modelling and measuring price discovery in commodity markets.(2007) In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
2010 | Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | article | |
2016 | Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2017 | Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 6 |
2020 | Trends in distributional characteristics: Existence of global warming.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2019 | Predictive Regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2020 | Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
2021 | Spurious relationships in high-dimensional systems with strong or mild persistence.(2021) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2021 | A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2005 | Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 19 |
2008 | Testing downside risk efficiency under market distress In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2008 | Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2009 | Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2010 | Regime specific predictability in predictive regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
2010 | Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2011 | Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2010 | Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 6 |
2013 | Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2014 | CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2011 | Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 12 |
2011 | Detecting big structural breaks in large factor models In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 85 |
2014 | Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | article | |
2013 | Detecting Big Structural Breaks in Large Factor Models.(2013) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | paper | |
2011 | Detecting big structural breaks in large factor models.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | paper | |
2011 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2012 | The reaction of stock market returns to anticipated unemployment.(2012) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2012 | Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 4 |
2013 | Estimation and inference in threshold type regime switching models.(2013) In: Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | chapter | |
2013 | Co-summability from linear to non-linear cointegration In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 17 |
2006 | Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
2007 | The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2007 | The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2007 | Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2008 | Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2008 | Simple Wald tests of the fractional integration parameter : an overview of new results In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2013 | Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1995 | No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1996 | Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1996 | P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 6 |
1996 | P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
1995 | P-Values for Non-Standard Distributions with an Application to the DF Test.(1995) In: Boston University - Institute for Economic Development. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1996 | On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 11 |
1995 | On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2000 | On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
1996 | Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1996 | A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 132 |
2001 | A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 132 | article | |
1996 | A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 132 | paper | |
1996 | A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 132 | paper | |
1997 | Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 16 |
2002 | A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica. [Citation analysis] | article | 68 |
2004 | Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 17 |
2004 | Which Extreme Values Are Really Extreme?.(2004) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
1997 | Testing for multicointegration In: Economics Letters. [Full Text][Citation analysis] | article | 42 |
1998 | Specification via model selection in vector error correction models In: Economics Letters. [Full Text][Citation analysis] | article | 51 |
2002 | Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 132 |
2005 | Subsampling inference in threshold autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 65 |
2001 | Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
2006 | Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
2006 | Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
2014 | Summability of stochastic processes—A generalization of integration for non-linear processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
1994 | Five alternative methods of estimating long-run equilibrium relationships In: Journal of Econometrics. [Full Text][Citation analysis] | article | 614 |
1998 | Pitfalls in testing for long run relationships In: Journal of Econometrics. [Full Text][Citation analysis] | article | 133 |
1995 | Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
1993 | Cointegration and aggregation In: Ricerche Economiche. [Full Text][Citation analysis] | article | 10 |
1992 | Cointegration and Aggregation..(1992) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
1998 | On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors. In: International Economic Review. [Citation analysis] | article | 11 |
2003 | Long-range dependence in Spanish political opinion poll series In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 17 |
2010 | The Making of Estimation of Common Long-Memory Components in Cointegrated Systems In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2008 | The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies. [Full Text][Citation analysis] | article | 465 |
2022 | A tale of three cities: climate heterogeneity In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 1 |
2022 | Nonparametric estimation of functional dynamic factor model In: Journal of Nonparametric Statistics. [Full Text][Citation analysis] | article | 1 |
2017 | Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 8 |
2005 | Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers. [Full Text][Citation analysis] | paper | 6 |
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