19
H index
29
i10 index
2954
Citations
Universidad Carlos III de Madrid | 19 H index 29 i10 index 2954 Citations RESEARCH PRODUCTION: 38 Articles 77 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jesus Gonzalo. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 10 |
Oxford Bulletin of Economics and Statistics | 3 |
Economics Letters | 3 |
The Journal of Financial Econometrics | 2 |
Journal of Time Series Analysis | 2 |
Journal of Business & Economic Statistics | 2 |
Studies in Nonlinear Dynamics & Econometrics | 2 |
Year | Title of citing document | |
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2022 | A 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 | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2022 | Determinants 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 | |
2022 | Forecasting 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 | |
2022 | High 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 | |
2023 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper | |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper | |
2022 | Are 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 | |
2022 | Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150. Full description at Econpapers || Download paper | |
2022 | Price 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 | |
2022 | Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052. Full description at Econpapers || Download paper | |
2022 | Testing 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 | |
2023 | Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632. Full description at Econpapers || Download paper | |
2023 | Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2022 | Low-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 | |
2023 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
2023 | Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843. Full description at Econpapers || Download paper | |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper | |
2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper | |
2023 | Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563. Full description at Econpapers || Download paper | |
2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper | |
2023 | Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450. Full description at Econpapers || Download paper | |
2023 | Fires and Local Labor Markets. (2023). Rao, Akhil ; Coulombe, Raphaelle G. In: Papers. RePEc:arx:papers:2308.02739. Full description at Econpapers || Download paper | |
2023 | The Inflation Attention Threshold and Inflation Surges. (2023). Pfauti, Oliver. In: Papers. RePEc:arx:papers:2308.09480. Full description at Econpapers || Download paper | |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper | |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper | |
2022 | Rural 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 | |
2023 | Heterogeneous 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 | |
2023 | House Prices, Monetary Policy and Commodities: Evidence from Australia. (2023). Read, Alistair ; Graham, James. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:324:p:1-31. Full description at Econpapers || Download paper | |
2022 | Euro 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 | |
2022 | Welfare 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 | |
2022 | Identification 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 | |
2022 | What 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 | |
2023 | The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence. (2023). Keil, Sascha. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:5:p:1235-1263. Full description at Econpapers || Download paper | |
2023 | Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116. Full description at Econpapers || Download paper | |
2022 | Small 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 | |
2022 | On 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 | |
2022 | Financial-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 | |
2023 | Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968. Full description at Econpapers || Download paper | |
2022 | Panel 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 | |
2022 | The 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 | |
2022 | EQUITY 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 | |
2022 | Measuring core inflation in the euro area. (2000). MORANA, CLAUDIO. In: Working Paper Series. RePEc:ecb:ecbwps:20000036. Full description at Econpapers || Download paper | |
2023 | Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166. Full description at Econpapers || Download paper | |
2022 | The 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 | |
2022 | Directed 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 | |
2022 | Testing 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 | |
2022 | Estimation 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 | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645. Full description at Econpapers || Download paper | |
2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper | |
2022 | Trade 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 | |
2022 | Evolving 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 | |
2022 | Fractional 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 | |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper | |
2022 | Safe 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 | |
2023 | Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution. (2023). Varga, Katalin ; Szendrei, Tibor. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000150. Full description at Econpapers || Download paper | |
2022 | Simultaneous 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 | |
2022 | Nonparametric 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 | |
2023 | A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213. Full description at Econpapers || Download paper | |
2023 | Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (2023). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:300-319. Full description at Econpapers || Download paper | |
2023 | Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154. Full description at Econpapers || Download paper | |
2023 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236. Full description at Econpapers || Download paper | |
2023 | Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331. Full description at Econpapers || Download paper | |
2022 | The 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 | |
2022 | Price 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 | |
2022 | Forecasting 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 | |
2022 | Price 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 | |
2023 | Exploring 200 years of U.S. commodity market integration: A structural time series model approach. (2023). Harrison, James M. In: Explorations in Economic History. RePEc:eee:exehis:v:88:y:2023:i:c:s0014498323000086. Full description at Econpapers || Download paper | |
2022 | The 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 | |
2022 | Static 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 | |
2023 | The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124. Full description at Econpapers || Download paper | |
2023 | Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173. Full description at Econpapers || Download paper | |
2022 | Intraday 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 | |
2022 | Euro 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 | |
2022 | Oil 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 | |
2022 | Price 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 | |
2022 | Policy 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 | |
2022 | Price 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 | |
2022 | How 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 | |
2022 | U.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 | |
2022 | Comparisons 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 | |
2023 | How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079. Full description at Econpapers || Download paper | |
2022 | Jumps 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 | |
2022 | Which 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 | |
2022 | Financial 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 | |
2022 | The 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 | |
2023 | Informational linkage and price discovery between Chinas futures and spot markets: Evidence from the US–China trade dispute. (2023). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000527. Full description at Econpapers || Download paper | |
2022 | On 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 | |
2022 | Does 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 | |
2023 | Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x. Full description at Econpapers || Download paper | |
2022 | Financial 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 | |
2022 | Listed 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 | |
2022 | The 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 | |
2022 | Economic 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 | |
2023 | The scope and methodology of economic and financial asymmetries. (2023). Stengos, Thanasis ; Malliaris, Anastasios ; Alogoskoufis, George. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000099. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2020 | Quantile Factor Models In: Papers. [Full Text][Citation analysis] | paper | 27 |
2018 | Quantile Factor Models.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2017 | Quantile Factor Models.(2017) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2020 | Quantile Factor Models.(2020) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
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2020 | Dynamic Effects of Persistent Shocks In: Papers. [Full Text][Citation analysis] | paper | 11 |
2019 | Dynamic effects of persistent shocks.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2019 | Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2023 | Climate change heterogeneity: A new quantitative approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
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2006 | Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 51 |
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2019 | Differences Between Short? and Long?Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
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2017 | The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
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2010 | Modelling 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 | |
2016 | Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2017 | Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
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2019 | Predictive Regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2020 | Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
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2021 | A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2023 | Heterogeneous Predictive Association of CO2 with Global Warming In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2005 | Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 19 |
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2009 | Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2010 | Regime specific predictability in predictive regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
2010 | Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2011 | Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2010 | Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
2013 | Conditional 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 | |
2014 | CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2011 | Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 12 |
2011 | Detecting big structural breaks in large factor models In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 82 |
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2011 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
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2012 | Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 4 |
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2013 | Co-summability from linear to non-linear cointegration In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 17 |
2006 | Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
2007 | The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2007 | Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
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2008 | Simple Wald tests of the fractional integration parameter : an overview of new results In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
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1996 | P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 6 |
1996 | P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
1995 | P-Values for Non-Standard Distributions with an Application to the DF Test.(1995) In: Boston University - Institute for Economic Development. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
1996 | On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 11 |
1995 | On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management. [Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2000 | On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
1996 | Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1996 | A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 132 |
2001 | A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | article | |
1996 | A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
1996 | A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
1997 | Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 16 |
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2004 | Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 17 |
2004 | Which Extreme Values Are Really Extreme?.(2004) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
1997 | Testing for multicointegration In: Economics Letters. [Full Text][Citation analysis] | article | 42 |
1998 | Specification via model selection in vector error correction models In: Economics Letters. [Full Text][Citation analysis] | article | 51 |
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2001 | Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
2006 | Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
2006 | Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
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1993 | Cointegration and aggregation In: Ricerche Economiche. [Full Text][Citation analysis] | article | 10 |
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