Jesus Gonzalo : Citation Profile

Universidad Carlos III de Madrid

19

H index

32

i10 index

3219

Citations

RESEARCH PRODUCTION:

42

Articles

87

Papers

1

Chapters

RESEARCH ACTIVITY:

   33 years (1992 - 2025). See details.
   Cites by year: 97
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 144.    Total self citations: 51 (1.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo192
   Updated: 2025-07-05    RAS profile: 2025-06-08    
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Relations with other researchers

Works with:

Pitarakis, Jean-Yves (9)

Dolado, Juan (6)

Sanz, Carlos (3)

Alloza, Mario (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jesus Gonzalo.

Is cited by:

GUPTA, RANGAN (43)

Nielsen, Morten (35)

Gallo, Giampiero (26)

Mayoral, Laura (26)

Teräsvirta, Timo (23)

MORANA, CLAUDIO (23)

Sephton, Peter (22)

Pereira, Alfredo (20)

Barigozzi, Matteo (18)

TANG, Chor Foon (17)

Kouretas, Georgios (17)

Cites to:

Campbell, John (52)

Hansen, Bruce (39)

Phillips, Peter (35)

Watson, Mark (31)

Bai, Jushan (30)

Perron, Pierre (26)

Stock, James (24)

Diebold, Francis (21)

Pitarakis, Jean-Yves (20)

Ng, Serena (18)

Velasco, Carlos (18)

Main data

Where Jesus Gonzalo has published?

Journals with more than one article published# docs
Journal of Econometrics10
Economics Letters4
Oxford Bulletin of Economics and Statistics3
International Journal of Forecasting2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Time Series Analysis2
Journal of Financial Econometrics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía37
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística10
Papers / arXiv.org7
MPRA Paper / University Library of Munich, Germany2
Working Papers / Barcelona School of Economics2
Working Papers / Department of Economics, City University London2
Econometrics / University Library of Munich, Germany2
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa2
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Jesus Gonzalo (2025 and 2024)

YearTitle of citing document
2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation. (2024). Whang, Yoon-Jae ; Oka, Tatsushi ; GAO, Jiti ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632.

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2024Matrix Quantile Factor Model. (2024). Liu, Yong-Xin ; Kong, Xin-Bing ; Zhao, Peng ; Yu, Long. In: Papers. RePEc:arx:papers:2208.08693.

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2024Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2025Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2024Composite Quantile Factor Model. (2024). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450.

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2024The Inflation Attention Threshold and Inflation Surges. (2024). Pfäuti, Oliver ; Pfauti, Oliver. In: Papers. RePEc:arx:papers:2308.09480.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590.

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2024Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures. (2024). Li, Degui ; Xia, Yingcun ; Shang, Han Lin ; Leng, Chenlei. In: Papers. RePEc:arx:papers:2401.05784.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2024A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models. (2024). Bucci, Andrea. In: Papers. RePEc:arx:papers:2406.02152.

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2024The test of investors behavioral bias through the price discovery process in cryptoasset exchange Transactional-level evidence from Thailand. (2024). Nakavachara, Voraprapa ; Amonthumniyom, Thitiphong ; Ratanabanchuen, Roongkiat ; Parinyavuttichai, Pongsathon ; Vinaibodee, Polpatt ; Saengchote, Kanis. In: Papers. RePEc:arx:papers:2406.02878.

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2024Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity. (2024). Kwiatkowski, Lukasz ; Wr, Justyna. In: Papers. RePEc:arx:papers:2406.03053.

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2024When can weak latent factors be statistically inferred?. (2024). Fan, Jianqing ; Yan, Yuling ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.03616.

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2024Momentum Informed Inflation-at-Risk. (2024). Szendrei, Tibor ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2408.12286.

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2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

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2024Factors in Fashion: Factor Analysis towards the Mode. (2024). Tu, Yundong ; Sun, Zhe. In: Papers. RePEc:arx:papers:2409.19287.

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2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

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2025Inference after discretizing unobserved heterogeneity. (2024). Mugnier, Martin ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2412.07352.

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2025Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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2025Bayesian inference for dynamic spatial quantile models with interactive effects. (2025). Bai, Jushan ; Ando, Tomohiro ; Song, Yong ; Li, Kunpeng. In: Papers. RePEc:arx:papers:2503.00772.

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2025Testing Conditional Stochastic Dominance at Target Points. (2025). Kim, Deborah ; Canay, Ivan A ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2503.14747.

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2025Quantile Treatment Effects in High Dimensional Panel Data. (2025). Zheng, LI ; Xu, Yihong. In: Papers. RePEc:arx:papers:2504.00785.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2024Inference after discretizing unobserved heterogeneity. (2024). Mugnier, Martin ; Beyhum, Jad. In: CeMMAP working papers. RePEc:azt:cemmap:29/24.

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2025The Interrelation Between the Carbon Trading Systems and Energy Markets and Economic Outlook: A Comparative Analysis Using VECM and ARDL. (2025). Unal, Pinar. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:3:p:145-169.

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2025Fraud Prevention in the Public Sector: The Role of Internal Audit. (2025). Tjakrawala, Kurniawan ; Supriadi, Taufiq ; Marota, Rochman ; Enyke, Juska Meidy ; Suryadnyana, Nyoman Adhi. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:3:p:170-183.

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2025A high-dimensional GDP-at-risk and Inflation-at-risk for the euro area. (2025). Santi, Matteo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1484_25.

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2024The asymmetric and persistent effects of Fed policy on global bond yields. (2024). Moench, Emanuel ; Gelos, R. Gaston ; Adrian, Tobias ; Lamersdorf, Nora. In: BIS Working Papers. RePEc:bis:biswps:1195.

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2025Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures. (2025). Li, Degui ; Xia, Yingcun ; Shang, Han Lin ; Leng, Chenlei. In: Working Papers. RePEc:boa:wpaper:202524.

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2024Drivers of COVID-19 in U.S. counties: A wave-level analysis. (2024). Otero, Jesus ; HENRY, MIGUEL ; Garcia-Suaza, Andres ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1067.

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2024A new test of fiscal dominance and central bank independence. (2024). Hoddenbagh, Jonathan. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:20.

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2025Central banks, climate risks, and energy transition—a dynamic macro model and econometric evidence. (2025). Chen, PU ; Braga, Joao Paulo ; Semmler, Willi. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:29:y:2025:i::p:-_88.

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2024Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions. (2024). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2103.

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2025The regulatory precondition to sovereign risk transmission. (2025). Cuijpers, Eric. In: Working Papers. RePEc:dnb:dnbwpp:834.

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2024Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian Quantile Factor Augmented VAR. (2024). Velasco, Sofia. In: Working Paper Series. RePEc:ecb:ecbwps:20242983.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2025Modelling dynamic interdependence in nonstationary variances with an application to carbon markets. (2025). Amado, Cristina ; Campos-Martins, Susana. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000284.

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2024High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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2024Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908.

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2024Reprint of: The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000915.

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2024Polar amplification in a moist energy balance model: A structural econometric approach to estimation and testing. (2024). Miller, J. ; Brock, William A. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002306.

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2025Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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2025Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Partially one-sided semiparametric inference for trending persistent and antipersistent processes. (2024). Distaso, Walter ; Giraitis, Liudas ; Abadir, Karim M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:1-14.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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2025Time-varying stock return correlation, news shocks, and business cycles. (2025). Metiu, Norbert ; Prieto, Esteban. In: European Economic Review. RePEc:eee:eecrev:v:172:y:2025:i:c:s0014292124002459.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2024Big portfolio selection by graph-based conditional moments method. (2024). Zhu, Zhoufan ; Zhang, Ningning. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000689.

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2024Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data. (2024). Strauss, Jack ; Mekelburg, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000732.

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2024Technological shocks and stock market volatility over a century. (2024). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000951.

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2024Can inflation predict energy price volatility?. (2024). Batten, Jonathan ; Mo, DI ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006564.

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2024Predicting tail risks and the evolution of temperatures. (2024). Martins, Luis ; Gabriel, Vasco ; Phella, Anthoulla. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007843.

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2024Crude oil prices in times of crisis: The role of Covid-19 and historical events. (2024). Bouazizi, Tarek ; Vigne, Samuel A ; Guesmi, Khaled ; Galariotis, Emilios. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004714.

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2024Evolving energies: Analyzing stability amidst recent challenges in the natural gas market. (2024). Bouazizi, Tarek ; Makrychoriti, Panagiota ; Guesmi, Khaled ; Abid, Ilyes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002783.

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2024The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates. (2024). Kitamura, Yoshihiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002941.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024Price discovery of the Chinese crude oil options and futures markets. (2024). Yang, Zhini ; Zou, MI ; Han, Lin. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011819.

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2024Transportation sector and Chinese stock volatility forecasting: Evidence from freight and passenger traffic. (2024). Zhang, Lili ; Zhong, Juandan. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301334x.

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2024Price discovery of climate risk and green bonds: A dynamic information leadership share approach. (2024). Goodell, John W ; Hou, Yang ; Oxley, Les ; Xu, Danyang. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011279.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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2024The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496.

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2024Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?. (2024). Williams, T H ; Strauss, Jack ; Mekelburg, Erik ; Bennett, Donyetta. In: Global Finance Journal. RePEc:eee:glofin:v:60:y:2024:i:c:s1044028324000176.

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2024Information content of the limit order book: A cross-sectional analysis in Borsa Istanbul. (2024). Karahan, Cenk C ; Alayan-Gm, Aye. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000929.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

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2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

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2024The profitability of lead–lag arbitrage at high frequency. (2024). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1002-1021.

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2025Return predictability, dividend growth, and the persistence of the price–dividend ratio. (2025). Rambaccussing, Dooruj ; Madeira, Joao ; Golinski, Adam ; Goliski, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:92-110.

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2025Efficiency of poll-based multi-period forecasting systems for German state elections. (2025). Schnurbus, Joachim ; Haupt, Harry ; Fritsch, Markus. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:670-688.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2024Financial market information flows when counteracting rogue states: The indirect effects of targeted sanction packages. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les ; Goodell, John W. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:217:y:2024:i:c:p:32-62.

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2024Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM. (2024). Semmler, Willi ; Chen, PU. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:220:y:2024:i:c:p:433-452.

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2025Fires and local labor markets. (2025). Rao, Akhil ; Coulombe, Raphaelle G. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:130:y:2025:i:c:s0095069624001839.

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2024Autopsy of a futures market failure: Japan’s Dojima rice futures in the early 21st century. (2024). Yamamoto, Shuhei ; Janzen, Joseph P ; Serra, Teresa. In: Food Policy. RePEc:eee:jfpoli:v:128:y:2024:i:c:s0306919224001283.

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2024The volatility of capital flows in emerging markets: Measures and determinants. (2024). Pagliari, Maria Sole ; Hannan, Swarnali Ahmed. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:145:y:2024:i:c:s0261560624000822.

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2024Exchange rate dynamics and the central banks balance sheet. (2024). Granados, Camilo ; Mann, Janelle ; Gallacher, Guillermo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001438.

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2024The effects of monetary policy across fiscal regimes. (2024). Kloosterman, Roben ; van der Veer, Koen ; Bonam, Dennis. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:81:y:2024:i:c:s0164070424000314.

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2024The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain. (2024). Seiler, Volker. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:160-179.

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2024Condition monitoring based on corrupted multiple time series with common trends. (2024). Ye, Zhi-Sheng ; Wei, Yujie ; Pan, Ershun. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:251:y:2024:i:c:s095183202400396x.

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2024Pricing VIX futures with mixed frequency macroeconomic information. (2024). Shang, Yuhuang ; Yang, Xinglin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:847-857.

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2024Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model. (2024). Wang, LU ; Peng, Lijuan ; Liang, Chao ; Yang, Baoying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024004052.

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2024Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market. (2024). Zhang, Xincheng ; Wu, Shaojiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006579.

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2024Exploring the use of emotional sentiment to understanding market response to unexpected corporate pivots. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Taffler, Richard ; Cioroianu, Iulia ; Larkin, Charles. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924000977.

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2025State-dependent pricing of monetary policy nonlinearities and inflation at risk for China. (2025). Xiao, Qiang ; Cao, Honghong ; He, Yongda ; Oxley, Les. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000170.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Candila, V ; Cipollini, F. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2024How do e-governance and e-business drive sustainable development goals?. (2024). Lyulyov, Oleksii ; Pimonenko, Tetyana ; Saura, Jose Ramon ; Barbosa, Belem. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:199:y:2024:i:c:s0040162523007679.

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2024Policy incentives and electric vehicle adoption in China: From a perspective of policy mixes. (2024). Liu, Guanyi ; Sun, Jingxiao ; Mao, Yumeng ; Jiao, Dehan ; Zhao, Xiaolei. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:190:y:2024:i:c:s0965856424002830.

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2024The role of air pollution in electric vehicle adoption: Evidence from China. (2024). Zhao, Ziyao ; Mao, Yumeng ; Li, Xuemei. In: Transport Policy. RePEc:eee:trapol:v:154:y:2024:i:c:p:26-39.

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2024Examining the influence mechanisms of gateway ports on inland ports in the context of Port regionalization - A case study of the Yangtze River Port system. (2024). Wu, Zhen. In: Transport Policy. RePEc:eee:trapol:v:157:y:2024:i:c:p:10-19.

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2024Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil. (2024). Marçal, Emerson ; Simes, Oscar Rodrigues ; Maral, Emerson. In: Textos para discussão. RePEc:fgv:eesptd:571.

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2024Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model. (2024). Pu, Mingzhe ; Wang, Xizhao ; Zhong, YU ; Sun, Shengxuan. In: Agriculture. RePEc:gam:jagris:v:15:y:2024:i:1:p:67-:d:1556205.

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2024Bayesian Inference for Long Memory Stochastic Volatility Models. (2024). Laurini, Márcio ; Chaim, Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826.

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2024A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment. (2024). Andric, Vladimir ; Djukic, Mihajlo ; Bodroza, Dusko. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:20:p:3250-:d:1500675.

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More than 100 citations found, this list is not complete...

Works by Jesus Gonzalo:

YearTitleTypeCited
2020Quantile Factor Models In: Papers.
[Full Text][Citation analysis]		paper49
2018Quantile Factor Models.(2018) In: CEPR Discussion Papers.
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2017Quantile Factor Models.(2017) In: UC3M Working papers. Economics.
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2020Quantile Factor Models.(2020) In: IZA Discussion Papers.
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2021Quantile Factor Models.(2021) In: Econometrica.
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This paper has nother version. Agregated cites: 49		article
2020Dynamic Effects of Persistent Shocks In: Papers.
[Full Text][Citation analysis]		paper15
2019Dynamic effects of persistent shocks.(2019) In: Working Papers.
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This paper has nother version. Agregated cites: 15		paper
2019Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 15		paper
2025Dynamic effects of persistent shocks.(2025) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 15		paper
2025Dynamic Effects of Persistent Shocks.(2025) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 15		article
2023Climate change heterogeneity: A new quantitative approach In: Papers.
[Full Text][Citation analysis]		paper1
2022Climate change heterogeneity: a new quantitative approach.(2022) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates In: Papers.
[Full Text][Citation analysis]		paper1
2020Out of sample predictability in predictive regressions with many predictor candidates.(2020) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 1		paper
2024Out-of-sample predictability in predictive regressions with many predictor candidates.(2024) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 1		article
2023Estimation of Characteristics-based Quantile Factor Models In: Papers.
[Full Text][Citation analysis]		paper0
2023Estimation of characteristics-based quantile factor models.(2023) In: UC3M Working papers. Economics.
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2023Trends in Temperature Data: Micro-foundations of Their Nature In: Papers.
[Full Text][Citation analysis]		paper1
2023Trends in temperature data: micro-foundations of their nature.(2023) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 1		paper
2024Trends in temperature data: Micro-foundations of their nature.(2024) In: Economics Letters.
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2025Detecting Sparse Cointegration In: Papers.
[Full Text][Citation analysis]		paper0
2025Detecting sparse cointegration.(2025) In: UC3M Working papers. Economics.
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1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
[Citation analysis]		article712
1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
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2005What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks In: Working Papers.
[Full Text][Citation analysis]		paper21
2003Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers.
[Full Text][Citation analysis]		paper6
2023Heterogeneous predictive association of CO2 with global warming In: Economica.
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2023Heterogeneous Predictive Association of CO2 with Global Warming.(2023) In: UC3M Working papers. Economics.
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1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article7
1995Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics.
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This paper has nother version. Agregated cites: 7		paper
2002Lag length estimation in large dimensional systems In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article20
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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This paper has nother version. Agregated cites: 20		paper
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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This paper has nother version. Agregated cites: 20		paper
2006Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article54
2006Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics.
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2019Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2021Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2020Uncovering 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
2008Wald 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]		article10
2007Wald 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.
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This paper has nother version. Agregated cites: 10		paper
2017The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2017The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 0		paper
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
[Full Text][Citation analysis]		paper38
1994Comovements in Large Systems In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper12
1995Comovements 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
1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
1995On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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This paper has nother version. Agregated cites: 0		paper
1995On 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
2003Threshold integrated moving average models: does size matter? maybe so In: DE - Documentos de Trabajo. Economía. DE.
[Full Text][Citation analysis]		paper4
2004Threshold Integrated Moving Average Models (Does Size Matter? Maybe So).(2004) In: Econometric Society 2004 North American Winter Meetings.
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2000Econometric implications of non-exact present value models In: DE - Documentos de Trabajo. Economía. DE.
[Full Text][Citation analysis]		paper0
2008Modelling and Measuring Price Discovery in Commodity Markets In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper96
2007Modelling 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: 96		paper
2010Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 96		article
2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper3
2017Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper9
2020Trends in distributional characteristics: Existence of global warming.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 9		article
2019Predictive Regressions In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2020Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper1
2021Spurious 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
2021A 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]		paper0
2024Regional heterogeneity and warming dominance in the United States In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2024Testing extreme warming and geographical heterogeneity In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2025Global and regional long-term climate forecasts: a heterogeneous future In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2005Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper21
2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2008Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2009Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2010Regime specific predictability in predictive regressions In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper5
2010Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2011Regime-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
2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper7
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
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This paper has nother version. Agregated cites: 7		article
2011Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper12
2011Detecting big structural breaks in large factor models In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper102
2014Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		article
2013Detecting Big Structural Breaks in Large Factor Models.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		paper
2011Detecting big structural breaks in large factor models.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		paper
2011The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
2012The 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
2012Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper4
2013Estimation and inference in threshold type regime switching models.(2013) In: Chapters.
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This paper has nother version. Agregated cites: 4		chapter
2013Co-summability from linear to non-linear cointegration In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper17
2006Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper4
2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2007The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2007Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
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This paper has nother version. Agregated cites: 2		article
2008Simple Wald tests of the fractional integration parameter : an overview of new results In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2013Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1995No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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1996P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS.
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1996P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters.
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This paper has nother version. Agregated cites: 6		article
1995P-Values for Non-Standard Distributions with an Application to the DF Test.(1995) In: Boston University - Institute for Economic Development.
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This paper has nother version. Agregated cites: 6		paper
1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper11
1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management.
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2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
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1996Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
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2001A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1997Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS.
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2002A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica.
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2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
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2004Which Extreme Values Are Really Extreme?.(2004) In: Journal of Financial Econometrics.
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1997Testing for multicointegration In: Economics Letters.
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1998Specification via model selection in vector error correction models In: Economics Letters.
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2002Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics.
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2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
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2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
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2006Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics.
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2006Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics.
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2014Summability of stochastic processes—A generalization of integration for non-linear processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
1994Five alternative methods of estimating long-run equilibrium relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article645
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article138
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
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1993Cointegration and aggregation In: Ricerche Economiche.
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1992Cointegration and Aggregation..(1992) In: Boston University - Department of Economics.
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1998On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors. In: International Economic Review.
[Citation analysis]		article11
2003Long-range dependence in Spanish political opinion poll series In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article18
2010The Making of Estimation of Common Long-Memory Components in Cointegrated Systems In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: The Review of Financial Studies.
[Full Text][Citation analysis]		article515
2022A tale of three cities: climate heterogeneity In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]		article2
2022Nonparametric estimation of functional dynamic factor model In: Journal of Nonparametric Statistics.
[Full Text][Citation analysis]		article4
2017Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics.
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2005What is what?: A simple time-domain test of long-memory vs. structural breaks In: Economics Working Papers.
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2005Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers.
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