10
H index
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i10 index
369
Citations
Helena Veiga : Citation Profile
Universidad Carlos III de Madrid | RESEARCH PRODUCTION: 23 Articles 42 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2003 - 2022). 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 |
| Economic Modelling | 2 |
| Energy Economics | 2 |
| Econometric Reviews | 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper |
| 2023 | Measuring efficiency of Peruvian universities: a stochastic frontier analysis. (2023). Wiper, Michael Peter ; Lopes, Maria Helena ; Orosco, Juan Carlos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36250. Full description at Econpapers || Download paper |
| 2023 | Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569. Full description at Econpapers || Download paper |
| 2023 | The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models. (2023). Catik, Nazif A ; Helmi, Mohamad Husam ; Akdeniz, Coskun ; Huyuguzel, Gul Serife ; Kosedagli, Begum Yurteri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-45. Full description at Econpapers || Download paper |
| 2023 | Breaking news headlines: Impact on trading activity in the cryptocurrency market. (2023). Subramaniam, Sowmya ; Kulbhaskar, Anamika Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002092. Full description at Econpapers || Download paper |
| 2023 | Dynamic firm performance and estimator choice: A comparison of dynamic panel data estimators. (2023). Chaudhuri, Kausik ; Kumbhakar, Subal C ; Cave, Joshua. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:1:p:447-467. Full description at Econpapers || Download paper |
| 2023 | Dynamic network data envelopment analysis with a sequential structure and behavioural-causal analysis: Application to the Chinese banking industry. (2023). Tan, Yong ; Tsionas, Mike ; Fukuyama, Hirofumi. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1360-1373. Full description at Econpapers || Download paper |
| 2023 | Big oil in the transition or Green Paradox? A capital market approach. (2023). Todorova, Neda ; Baur, Dirk G. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003353. Full description at Econpapers || Download paper |
| 2023 | Fresh evidence on the oil-stock interactions under heterogeneous market conditions. (2023). Garg, Bhavesh ; Chowdhury, Kushal Banik. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001009. Full description at Econpapers || Download paper |
| 2023 | Insider trading regulation and shorting constraints. Evaluating the joint effects of two market interventions.. (2023). Palan, Stefan ; Stockl, Thomas ; Merl, Robert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622000899. Full description at Econpapers || Download paper |
| 2023 | Dynamic connectedness between crude oil and equity markets: What about the effects of firms solvency and profitability positions?. (2023). Balli, Faruk ; Ha, Thi Thu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000387. Full description at Econpapers || Download paper |
| 2023 | Does Indian economy asymmetrically respond to oil price shocks?. (2023). Ramachandran, M ; Deheri, Abdhut. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000117. Full description at Econpapers || Download paper |
| 2023 | Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Tchankam, Jean Paul ; Omoke, Philip C. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979. Full description at Econpapers || Download paper |
| 2023 | Green finance and natural resources commodities prices: Evidence from COVID-19 period. (2023). Cao, Yanyan ; Huixiang, Shi . In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006432. Full description at Econpapers || Download paper |
| 2023 | The time-varying impact of uncertainty on oil market fear: Does climate policy uncertainty matter?. (2023). Liu, Hong ; Xiao, Jihong. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002441. Full description at Econpapers || Download paper |
| 2023 | Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658. Full description at Econpapers || Download paper |
| 2023 | Dependence Analysis for the Energy Sector Based on Energy ETFs. (2023). Gorka, Joanna ; Kuziak, Katarzyna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1329-:d:1047966. Full description at Econpapers || Download paper |
| 2023 | Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach. (2023). Siemroth, Christoph ; Corgnet, Brice ; Desantis, Mark. In: Working Papers. RePEc:gat:wpaper:2313. Full description at Econpapers || Download paper |
| 2023 | When Do Security Markets Aggregate Dispersed Information?. (2023). Kimbrough, Erik O ; Hampton, Kyle ; Desantis, Mark ; Deck, Cary ; Corgnet, Brice. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:6:p:3697-3729. Full description at Econpapers || Download paper |
| 2023 | Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression. (2023). Karlsson, Hyunjoo Kim ; Li, Yushu. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10266-2. Full description at Econpapers || Download paper |
| 2023 | Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis. (2023). Skjold, Christian ; Westgaard, Sjur ; Osmundsen, Petter ; Frydenberg, Stein ; Mohanty, Sunil K. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:2:d:10.1007_s11156-022-01107-2. Full description at Econpapers || Download paper |
| 2023 | Oil price and stock returns in Europe. (2023). Antalik, Imrich ; Ormos, Mihaly ; Bota, Gabor. In: Entrepreneurship and Sustainability Issues. RePEc:ssi:jouesi:v:10:y:2023:i:3:p:329-339. 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 | 4 |
| 2019 | Modeling and forecasting the oil volatility index.(2019) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2019 | Data cloning estimation for asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Data cloning estimation for asymmetric stochastic volatility models.(2020) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | 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 | Contagion in sequential financial markets: an experimental analysis 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 |
| 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 | 70 |
| 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: 70 | 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 | 1 |
| 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 | 19 |
| 2014 | Bayesian estimation of inefficiency heterogeneity in stochastic frontier models.(2014) In: Journal of Productivity Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
| 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: 19 | paper | |
| 2013 | Correlations between oil and stock markets : a wavelet-based approach In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 52 |
| 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: 52 | 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 | 12 |
| 2020 | Limited attention, salience of information and stock market activity In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
| 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 | 12 |
| 2006 | Price manipulation in an experimental asset market.(2006) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2015 | Dynamic effects in inefficiency: Evidence from the Colombian banking sector In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 33 |
| 2013 | Oil price asymmetric effects: Answering the puzzle in international stock markets In: Energy Economics. [Full Text][Citation analysis] | article | 49 |
| 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 | 27 |
| 2012 | Asymmetry, realised volatility and stock return risk estimates In: Portuguese Economic Journal. [Full Text][Citation analysis] | article | 1 |
| 2019 | Efficiency evaluation of hotel chains: a Spanish case study In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 1 |
| 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 |
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