Jesus Gonzalo : Citation Profile

Are you Jesus Gonzalo?

Universidad Carlos III de Madrid

19

H index

29

i10 index

2954

Citations

RESEARCH PRODUCTION:

38

Articles

77

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1992 - 2023). See details.
   Cites by year: 95
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 178.    Total self citations: 44 (1.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo192
   Updated: 2023-11-04    RAS profile: 2023-05-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Pitarakis, Jean-Yves (7)

Dolado, Juan (6)

Sanz, Carlos (3)

Alloza, Mario (3)

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 (38)

Nielsen, Morten (34)

Mayoral, Laura (24)

Gallo, Giampiero (23)

MORANA, CLAUDIO (22)

Teräsvirta, Timo (21)

Sephton, Peter (21)

Pereira, Alfredo (20)

Kouretas, Georgios (17)

Pesaran, Mohammad (17)

KORAP, LEVENT (17)

Cites to:

Campbell, John (51)

Hansen, Bruce (39)

Phillips, Peter (32)

Watson, Mark (29)

Bai, Jushan (27)

Stock, James (23)

Pitarakis, Jean-Yves (20)

Ng, Serena (18)

Velasco, Carlos (17)

Diebold, Francis (16)

Perron, Pierre (15)

Main data

Where Jesus Gonzalo has published?

Journals with more than one article published# docs
Journal of Econometrics10
Oxford Bulletin of Economics and Statistics3
Economics Letters3
The Journal of Financial Econometrics2
Journal of Time Series Analysis2
Journal of Business & Economic Statistics2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía31
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística10
Papers / arXiv.org5
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Working Papers / Barcelona School of Economics2
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa2
MPRA Paper / University Library of Munich, Germany2
Econometrics / University Library of Munich, Germany2
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing Jesus Gonzalo (2023 and 2022)

YearTitle of citing document
2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

Full description at Econpapers || Download paper

2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

Full description at Econpapers || Download paper

2022Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586.

Full description at Econpapers || Download paper

2022Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003.

Full description at Econpapers || Download paper

2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

Full description at Econpapers || Download paper

2023New 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

2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

Full description at Econpapers || Download paper

2022Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273.

Full description at Econpapers || Download paper

2022Asymptotics 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

2022Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416.

Full description at Econpapers || Download paper

2022Likelihood 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

2022Testing for a Threshold in Models with Endogenous Regressors. (2022). Boldea, Otilia ; Rothfelder, Mario P. In: Papers. RePEc:arx:papers:2207.10076.

Full description at Econpapers || Download paper

2023Estimation 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

2023Matrix 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

2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

2022Low-rank Panel Quantile Regression: Estimation and Inference. (2022). Zhang, Yichong ; Su, Liangjun ; Wang, Yiren. In: Papers. RePEc:arx:papers:2210.11062.

Full description at Econpapers || Download paper

2023Cointegration 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

2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

Full description at Econpapers || Download paper

2023Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843.

Full description at Econpapers || Download paper

2023Structural 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

2023Estimation 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

2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

Full description at Econpapers || Download paper

2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

Full description at Econpapers || Download paper

2023Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450.

Full description at Econpapers || Download paper

2023Fires and Local Labor Markets. (2023). Rao, Akhil ; Coulombe, Raphaelle G. In: Papers. RePEc:arx:papers:2308.02739.

Full description at Econpapers || Download paper

2023The Inflation Attention Threshold and Inflation Surges. (2023). Pfauti, Oliver. In: Papers. RePEc:arx:papers:2308.09480.

Full description at Econpapers || Download paper

2023Break-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

2023High 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

2022Rural Structural Transformation and Agricultural Productivity in Nigeria. (2022). Abiola, Abidemi ; Adefabi, Rasak A. In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev8i2-2.

Full description at Econpapers || Download paper

2023Heterogeneous predictive association of CO2 with global warming. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Dolado, Juan J ; Chen, Liang. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421.

Full description at Econpapers || Download paper

2023House 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

2022Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046.

Full description at Econpapers || Download paper

2022Welfare impact of asymmetric price transmission on rice consumers in Bangladesh. (2022). Balie, Jean ; Pede, Valerien O ; Rahman, Mohammad Chhiddikur. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1600-1617.

Full description at Econpapers || Download paper

2022Identification and estimation of threshold matrix?variate factor models. (2022). Chen, Elynn Y ; Liu, Xialu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1383-1417.

Full description at Econpapers || Download paper

2022What goes up must come down: Theory and model specification of threshold dynamics. (2022). Philips, Andrew Q ; Paul, Hannah L. In: Social Science Quarterly. RePEc:bla:socsci:v:103:y:2022:i:5:p:1273-1289.

Full description at Econpapers || Download paper

2023The 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

2023Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116.

Full description at Econpapers || Download paper

2022Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2022). Canepa, Alessandra ; Alessandra, Canepa. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:14:y:2022:i:1:p:51-85:n:1.

Full description at Econpapers || Download paper

2022On Foreign Drivers of EMEs Fluctuations. (2022). Wlasiuk, Juan M ; Lorca, Jorge ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:951.

Full description at Econpapers || Download paper

2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

Full description at Econpapers || Download paper

2023Modelling 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

2022Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects. (2022). , Peter ; PEter, ; Hong, Shengjie ; Yu, Ping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2352.

Full description at Econpapers || Download paper

2022The effects of monetary policy across fiscal regimes. (2022). van der Veer, Koen ; Bonam, Dennis ; Kloosterman, Roben. In: Working Papers. RePEc:dnb:dnbwpp:755.

Full description at Econpapers || Download paper

2022EQUITY MARKET VOLATILITY IMPACT ON S&P 500 SECTOR INDEXES, 1989-2021. (2022). Sosa-Castro, Miriam. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:22:y:2022:i:1_3.

Full description at Econpapers || Download paper

2022Measuring core inflation in the euro area. (2000). MORANA, CLAUDIO. In: Working Paper Series. RePEc:ecb:ecbwps:20000036.

Full description at Econpapers || Download paper

2023Change-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

2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

Full description at Econpapers || Download paper

2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

Full description at Econpapers || Download paper

2022Testing for no cointegration in vector autoregressions with estimated degree of fractional integration. (2022). Demetrescu, Matei ; Salish, Nazarii ; Kusin, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321002832.

Full description at Econpapers || Download paper

2022Estimation of high-dimensional factor models with multiple structural changes. (2022). Wu, Jianhong ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003321.

Full description at Econpapers || Download paper

2023The 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

2023Testing 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

2023Frequency 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

2022Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217.

Full description at Econpapers || Download paper

2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

Full description at Econpapers || Download paper

2022Fractional cointegration and price discovery in Canadian commodities. (2022). Cao, Zeyang ; Stewart, Kenneth G ; Xu, KE. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001358.

Full description at Econpapers || Download paper

2023GARCH-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

2022Safe flight to which haven when Russia invades Ukraine? A 48-hour story. (2022). Mohamad, Azhar. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001598.

Full description at Econpapers || Download paper

2023Revisiting 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

2022Simultaneous inference for time-varying models. (2022). Wu, Wei Biao ; Richter, Stefan ; Karmakar, Sayar. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:408-428.

Full description at Econpapers || Download paper

2022Nonparametric inference for quantile cointegrations with stationary covariates. (2022). Wang, Qiying ; Liang, Han-Ying ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:453-482.

Full description at Econpapers || Download paper

2023A 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

2023Fully 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

2023Group 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

2023Quasi-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

2023Testing 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

2022The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk. (2022). Li, Leon. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006009.

Full description at Econpapers || Download paper

2022Price discovery under model uncertainty. (2022). Linn, Scott ; Kim, Jaeho. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000202.

Full description at Econpapers || Download paper

2022Forecasting volatility of EUA futures: New evidence. (2022). Umar, Muhammad ; Liang, Chao ; Huang, Yisu ; Guo, Xiaozhu. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001918.

Full description at Econpapers || Download paper

2022Price discovery efficiency of Chinas crude oil futures: Evidence from the Shanghai crude oil futures market. (2022). Hua, Yongjun ; Shao, Mingao. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003255.

Full description at Econpapers || Download paper

2023Exploring 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

2022The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters. (2022). Corbet, Shaen ; Oxley, Les ; Larkin, Charles ; Hu, Yang ; Hou, Yang ; Collings, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000229.

Full description at Econpapers || Download paper

2022Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic. (2022). Sharma, Abhijit ; Ozkan, Aydin ; Grillini, Stefano. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002307.

Full description at Econpapers || Download paper

2023The 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

2023Stock–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

2022Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond. (2022). Pradhan, H K ; Banerjee, Ameet Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002166.

Full description at Econpapers || Download paper

2022Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004128.

Full description at Econpapers || Download paper

2022Oil futures volatility predictability: Evidence based on Twitter-based uncertainty. (2022). Huang, Dengshi ; Ma, Feng ; Lu, Xinjie ; Lang, Qiaoqi. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004992.

Full description at Econpapers || Download paper

2022Price discovery in fiat currency and cryptocurrency markets. (2022). Wu, Zhen-Xing ; Gau, Yin-Feng ; Huang, Guan-Ying. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005535.

Full description at Econpapers || Download paper

2022Policy uncertainty and carbon neutrality: Evidence from China. (2022). Xu, Weiju ; Lu, Xinjie ; Ma, Feng ; Zeng, Qing. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000848.

Full description at Econpapers || Download paper

2022Price discovery between forward-looking SOFR and LIBOR. (2022). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s154461232200109x.

Full description at Econpapers || Download paper

2022How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Tran, Thien Duy ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200232x.

Full description at Econpapers || Download paper

2022U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?. (2022). Mei, Dexiang ; Xie, Yutang. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002689.

Full description at Econpapers || Download paper

2022Comparisons of Alternative Information Share Measures. (2022). Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200472x.

Full description at Econpapers || Download paper

2023How 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

2022Jumps in stock prices: New insights from old data. (2022). Paye, Bradley S ; Medeiros, Marcelo C ; Johnson, James A. In: Journal of Financial Markets. RePEc:eee:finmar:v:60:y:2022:i:c:s1386418122000039.

Full description at Econpapers || Download paper

2022Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange. (2022). Nguyen, James ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028320302933.

Full description at Econpapers || Download paper

2022Financial turbulence, systemic risk and the predictability of stock market volatility. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028322000011.

Full description at Econpapers || Download paper

2022The information content of ETF options. (2022). Yang, Dongxiao ; Ramchander, Sanjay ; Miao, Hong ; Lockwood, Larry . In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000278.

Full description at Econpapers || Download paper

2023Informational 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

2022On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138.

Full description at Econpapers || Download paper

2022Does something change in the oil market with the COVID-19 crisis?. (2022). Lantz, Frederic ; Farnoosh, Arash ; Zhang, Dan. In: International Economics. RePEc:eee:inteco:v:169:y:2022:i:c:p:252-268.

Full description at Econpapers || Download paper

2023Price 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

2022Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473.

Full description at Econpapers || Download paper

2022Listed real estate futures trading, market efficiency, and direct real estate linkages: International evidence. (2022). Cho, Hyunbum ; Stevenson, Simon ; Lee, Chyi Lin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:127:y:2022:i:c:s0261560622000961.

Full description at Econpapers || Download paper

2022The impact of economic policy uncertainties on the volatility of European carbon market. (2022). Wang, Jiqiang ; Duc, Toan Luu ; Xiong, Xiong ; Dai, Peng-Fei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000416.

Full description at Econpapers || Download paper

2022Economic drivers of volatility and correlation in precious metal markets. (2022). Nguyen, Duc Khuong ; Goutte, Stéphane ; Walther, Thomas ; Dinh, Theu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132100074x.

Full description at Econpapers || Download paper

2023The 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

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

Works by Jesus Gonzalo:

YearTitleTypeCited
2020Quantile Factor Models In: Papers.
[Full Text][Citation analysis]		paper27
2018Quantile Factor Models.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2017Quantile Factor Models.(2017) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2020Quantile Factor Models.(2020) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2021Quantile Factor Models.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2020Dynamic Effects of Persistent Shocks In: Papers.
[Full Text][Citation analysis]		paper11
2019Dynamic effects of persistent shocks.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2019Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
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 another 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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
[Citation analysis]		article669
1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 669		paper
2005What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks In: Working Papers.
[Full Text][Citation analysis]		paper29
2005What 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 another version. Agregated cites: 29		paper
2003Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers.
[Full Text][Citation analysis]		paper6
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.
[Citation analysis]
This paper has another version. Agregated cites: 7		paper
2002Lag length estimation in large dimensional systems In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article19
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2006Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article51
2006Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
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 another 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]		article8
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
[Full Text][Citation analysis]		paper35
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 another 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.
[Full Text][Citation analysis]
This paper has another 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 another 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.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
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]		paper87
2007Modelling and measuring price discovery in commodity markets.(2007) In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87		paper
2010Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87		article
2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
2017Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper5
2020Trends in distributional characteristics: Existence of global warming.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		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 another 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
2023Heterogeneous Predictive Association of CO2 with Global Warming 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]		paper19
2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
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 another 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 another version. Agregated cites: 5		article
2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper5
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		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]		paper82
2014Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		article
2013Detecting Big Structural Breaks in Large Factor Models.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		paper
2011Detecting big structural breaks in large factor models.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		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 another 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.
[Full Text][Citation analysis]
This paper has another 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]		paper5
2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]
This paper has another 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.
[Full Text][Citation analysis]		paper0
1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1996P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper6
1996P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another 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.
[Citation analysis]
This paper has another 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.
[Citation analysis]
This paper has another version. Agregated cites: 11		paper
2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
1996Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper132
2001A 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 another version. Agregated cites: 132		article
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 132		paper
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 132		paper
1997Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper16
2002A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica.
[Citation analysis]		article67
2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper17
2004Which Extreme Values Are Really Extreme?.(2004) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		article
1997Testing for multicointegration In: Economics Letters.
[Full Text][Citation analysis]		article42
1998Specification via model selection in vector error correction models In: Economics Letters.
[Full Text][Citation analysis]		article51
2002Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics.
[Full Text][Citation analysis]		article131
2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
[Full Text][Citation analysis]		article64
2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		paper
2006Predictive 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]		article4
2006Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
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]		article615
1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article132
1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 132		paper
1993Cointegration and aggregation In: Ricerche Economiche.
[Full Text][Citation analysis]		article10
1992Cointegration and Aggregation..(1992) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 10		paper
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]		article17
2010The Making of Estimation of Common Long-Memory Components in Cointegrated Systems In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies.
[Full Text][Citation analysis]		article457
2022A tale of three cities: climate heterogeneity In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]		article1
2022Nonparametric estimation of functional dynamic factor model In: Journal of Nonparametric Statistics.
[Full Text][Citation analysis]		article0
2017Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article8
2005Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers.
[Full Text][Citation analysis]		paper6

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team