Carlos Velasco : Citation Profile

Are you Carlos Velasco?

Universidad Carlos III de Madrid

17

H index

23

i10 index

1197

Citations

RESEARCH PRODUCTION:

48

Articles

48

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 46
   Journals where Carlos Velasco has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 37 (3 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pve103
   Updated: 2023-11-04    RAS profile: 2023-01-15    
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Relations with other researchers

Works with:

Ibáñez, Alfredo (2)

Dolado, Juan (2)

Rachinger, Heiko (2)

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

Is cited by:

Gil-Alana, Luis (192)

Caporale, Guglielmo Maria (90)

Nielsen, Morten (59)

Plastun, Alex (28)

Phillips, Peter (26)

DE TRUCHIS, Gilles (24)

Mayoral, Laura (23)

Proietti, Tommaso (22)

Gonzalo, Jesus (20)

Łasak, Katarzyna (20)

YAYA, OLAOLUWA (19)

Cites to:

Phillips, Peter (24)

Robinson, Peter (21)

Hassler, Uwe (16)

Delgado, Miguel (16)

Lobato, Ignacio (16)

Nielsen, Morten (14)

Hualde, Javier (11)

Campbell, John (11)

Escanciano, Juan Carlos (11)

Moon, Hyungsik (10)

Breitung, Jörg (10)

Main data

Where Carlos Velasco has published?

Journals with more than one article published# docs
Journal of Econometrics13
Journal of Time Series Analysis8
Econometric Theory6
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Econometrica2
Journal of Business & Economic Statistics2
Economics Letters2
Econometrics Journal2
The Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística5
Working Papers / Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)4
Publications of Darmstadt Technical University, Institute for Business Studies (BWL) / Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)3
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Carlos Velasco (2023 and 2022)

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

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2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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2022Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2022Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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

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2022Spectral estimation for mixed causal-noncausal autoregressive models. (2022). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2211.13830.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Structured Multifractal Scaling of the Principal Cryptocurrencies: Examination using a Self-Explainable Machine Learning. (2023). Saadaoui, Foued. In: Papers. RePEc:arx:papers:2304.08440.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023SGMM: Stochastic Approximation to Generalized Method of Moments. (2023). Song, Myunghyun ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2308.13564.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023.

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2022Private sector debt and financial stability. (2022). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:67.

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2023University attendance and academic performance: Encouraging student engagement. (2023). Grydaki, Maria ; Lucey, Siobhan. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:70:y:2023:i:2:p:180-199.

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2022Do consumption-based asset pricing models explain own-history predictability in stock market returns?. (2022). Ashby, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2259.

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2022.

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2022Exchange rate volatility and the effectiveness of FX interventions: the case of Chile. (2022). Pia, Marco ; Jara, Alejandro. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:962.

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2022Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2334.

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2022A simple and efficient numerical method for pricing discretely monitored early-exercise options. (2022). Luo, Guo ; Huang, Min. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:422:y:2022:i:c:s0096300322000716.

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2022On the semi-varying coefficient dynamic panel data model with autocorrelated errors. (2022). Huang, Lei ; Jiang, Hui ; Zhang, Hongfan ; Wei, Honglei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:173:y:2022:i:c:s016794732200038x.

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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.

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2022Adaptive testing using data-driven method selecting smoothing parameters. (2022). Wang, Luya. In: Economics Letters. RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001495.

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2022Quantile regression methods for first-price auctions. (2022). Guerre, Emmanuel ; Gimenes, Nathalie. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:224-247.

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2022Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence. (2022). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:128-146.

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2022Overnight rate and signalling effects of central bank bills. (2022). Kaufmann, Daniel ; Canetg, Fabio. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000216.

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2022Generic improvements to least squares monte carlo methods with applications to optimal stopping problems. (2022). Zhu, Dan ; Wei, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1132-1144.

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2023Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities. (2023). Aun, Syed ; Islam, Muhammad Umar ; Ali, Mohsin ; Azmi, Wajahat ; Shahid, Muhammad Naeem. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001329.

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2022Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369.

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2023Multifractal cross-correlations between green bonds and financial assets. (2023). Tabak, Benjamin M. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007796.

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2022The effects of permanent monetary shocks on exchange rates and uncovered interest rate differentials. (2022). Uribe, Martin ; Schmitt-Grohe, Stephanie. In: Journal of International Economics. RePEc:eee:inecon:v:135:y:2022:i:c:s0022199621001409.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2022The role of heterogeneity in price rigidities for delayed nominal exchange rate overshooting. (2022). Kara, Engin ; Cooke, Dudley. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001923.

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2022Revisiting the inflation-hedging properties of precious metals in Africa. (2022). Sephton, Peter S. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001830.

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2023Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis. (2023). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000357.

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2022Multivariate rescaled range analysis. (2022). Rodriguez, E ; Alvarez-Ramirez, J ; Meraz, M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008815.

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2022Testing Long memory in exchange rates and its implications for the adaptive market hypothesis. (2022). Frommel, Michael ; Asif, Raheel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000140.

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2023Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators. (2023). Gannaz, Irene. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:485-534.

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2023.

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2023.

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2023Social Media and Influencer Marketing for Promoting Sustainable Tourism Destinations: The Instagram Case. (2023). Kotzaivazoglou, Iordanis ; Papaioannou, Eugenia ; Kilipiri, Eleni. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6374-:d:1118416.

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2023Which Monetary Shocks Matter in Small Open Economies? Evidence from Canada. (2023). Ha, Jongrim ; So, Inhwan. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:2:a:8.

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2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

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2022Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression. (2022). Yang, Tinggan ; Wang, Yihong ; Cheng, Hong. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10107-8.

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2023Bootstrapping Whittle estimators. (2023). Paparoditis, E ; J -P Kreiss, . In: Biometrika. RePEc:oup:biomet:v:110:y:2023:i:2:p:499-518..

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2022Comparing Past and Present Inflation*. (2022). Summers, Lawrence H ; Bolhuis, Marijn A. In: Review of Finance. RePEc:oup:revfin:v:26:y:2022:i:5:p:1073-1100..

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2022COVID-19 and adaptive behavior of returns: evidence from commodity markets. (2022). Shahid, Muhammad Naeem. In: Palgrave Communications. RePEc:pal:palcom:v:9:y:2022:i:1:d:10.1057_s41599-022-01332-z.

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2022Does tourism promote economic growth? A fractionally integrated heterogeneous panel data analysis. (2022). Rachinger, Heiko ; Santana-Gallego, Mara ; Prez-Rodrguez, Jorge V. In: Tourism Economics. RePEc:sae:toueco:v:28:y:2022:i:5:p:1355-1376.

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2022A harmonically weighted filter for cyclical long memory processes. (2022). Maddanu, Federico. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:1:d:10.1007_s10182-021-00394-9.

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2022Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan ; Li, Lingbo ; Wu, Fan ; Martinez-Rego, David. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00321-6.

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2023Forecasting highly persistent time series with bounded spectrum processes. (2023). Maddanu, Federico. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:1:d:10.1007_s00362-022-01321-z.

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2023Homogeneity tests for one-way models with dependent errors under correlated groups. (2023). Taniguchi, Masanobu ; Liu, Yan ; Arakaki, Koichi ; Goto, Yuichi. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00828-9.

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2023Gaussian semiparametric estimation Gaussian semiparametric estimation of two-dimensional intrinsically stationary random fields. (2023). Matsuda, Yasumasa ; Yajima, Yoshihiro. In: DSSR Discussion Papers. RePEc:toh:dssraa:136.

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2022A nonstationary and non?Gaussian moving average model for solar irradiance. (2022). Mather, Barry ; Hodge, Brimathias ; Kleiber, William ; Zhang, Wenqi. In: Environmetrics. RePEc:wly:envmet:v:33:y:2022:i:3:n:e2712.

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2022On the persistence of UK inflation: A long?range dependence approach. (2022). Gil-Alana, Luis ; Trani, Tommaso ; Gilalana, Luis Alberiko ; Caporale, Guglielmo Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:439-454.

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2022Generalized band spectrum estimation with an application to the New Keynesian Phillips curve. (2022). Choi, Jinho ; Guo, Junjie ; Escanciano, Juan Carlos. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1055-1078.

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2022Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years. (2022). Lambrias, Kyriacos ; Kontogeorgos, G. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:213-229.

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2022The Term Structure of Currency Futures Risk Premia. (2022). Bernoth, Kerstin ; de Vries, Casper ; von Hagen, Jurgen ; Vonhagen, Jurgen. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:5-38.

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2022A consistent specification test for dynamic quantile models. (2022). Patton, Andrew ; Liao, Zhipeng ; Horvath, Peter. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:125-151.

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Works by Carlos Velasco:

YearTitleTypeCited
2013Fractional cointegration rank estimation In: CREATES Research Papers.
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2015Fractional Cointegration Rank Estimation.(2015) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 8		article
2014Fractional Cointegration Rank Estimation.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 8		paper
2015Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper21
2017Estimation of fractionally integrated panels with fixed effects and cross-section dependence.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 21		article
2018Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2019Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects.(2019) In: Journal of Time Series Analysis.
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This paper has another version. Agregated cites: 0		article
2012Model Adequacy Checks for Discrete Choice Dynamic Models In: Working Papers.
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2012Model Adequacy Checks for Discrete Choice Dynamic Models.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 0		paper
2011An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article7
2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
[Citation analysis]		article105
1999Gaussian Semiparametric Estimation of Non?stationary Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article67
1998Gaussian semiparametric estimation of non-stationary time series.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
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This paper has another version. Agregated cites: 67		paper
2000Local Cross?validation for Spectrum Bandwidth Choice In: Journal of Time Series Analysis.
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1998Local cross validation for spectrum bandwidth choice.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
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2003Gaussian Semi?parametric Estimation of Fractional Cointegration In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article54
2005Trimming and Tapering Semi?Parametric Estimates in Asymmetric Long Memory Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2007The Periodogram of fractional processes1 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2008Fractional cointegration in the presence of linear trends In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2015A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018The optimal method for pricing Bermudan options by simulation In: Mathematical Finance.
[Full Text][Citation analysis]		article2
1996Autocorrelation-Robust Inference - (Now published in Handbook of Statistics, vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
2000Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539. In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper0
2000Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper85
2005Distribution Free Goodness-of-Fit Tests for Linear Processes In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper27
2005Distribution free goodness-of-fit tests for linear processes.(2005) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 27		paper
2013Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects In: STICERD - Econometrics Paper Series.
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2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: Journal of Econometrics.
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2013Efficient inference on fractionally integrated panel data models with fixed effects.(2013) In: LSE Research Online Documents on Economics.
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2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: LSE Research Online Documents on Economics.
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2004Optimal Fractional Dickey-Fuller Tests for Unit Roots In: Working Papers.
[Full Text][Citation analysis]		paper2
2020LM tests for joint breaks in the dynamics and level of a long-memory time series In: CEPR Discussion Papers.
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2022LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series.(2022) In: Journal of Business & Economic Statistics.
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2005Efficient wald tests for fractional unit roots In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper83
2007Efficient Wald Tests for Fractional Unit Roots.(2007) In: Econometrica.
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2007A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
2009A new class of distribution-free tests for time series models specification.(2009) In: UC3M Working papers. Economics.
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2008Class Attendance and Academic Performance among Spanish Economics Students In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper1
2010A distribution-free transform of the residuals sample autocorrelations with application to model checking In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
1998Non-Gaussian log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper51
2000NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION.(2000) In: Econometric Theory.
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1998Non-stationary log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper170
1999Non-stationary log-periodogram regression.(1999) In: Journal of Econometrics.
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2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper100
2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
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2001EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN In: Econometric Theory.
[Full Text][Citation analysis]		article30
2000Edgeworth expansions for spectral density estimates and studentized sample mean.(2000) In: LSE Research Online Documents on Economics.
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2001Edgeworth expansions for spectral density estimates and studentized sample mean.(2001) In: LSE Research Online Documents on Economics.
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2004A SIMPLE TEST OF NORMALITY FOR TIME SERIES In: Econometric Theory.
[Full Text][Citation analysis]		article16
2008DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]		article12
2006Distribution-free Tests of Fractional Cointegration.(2006) In: Faculty Working Papers.
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2011BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article2
2020ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS In: Econometric Theory.
[Full Text][Citation analysis]		article0
2013New Goodness-of-fit Diagnostics for Conditional Discrete Response Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models.(2017) In: Cowles Foundation Discussion Papers.
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2002Residual log-periodogram inference for long-run relationships In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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2006Residual log-periodogram inference for long-run relationships.(2006) In: Journal of Econometrics.
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2002Residual Log-Periodogram Inference for Long-Run Relationships.(2002) In: Darmstadt Discussion Papers in Economics.
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2006Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers.
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2018Efficiency improvements for minimum distance estimation of causal and invertible ARMA models In: Economics Letters.
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2002Trend stationarity versus long-range dependence in time series analysis In: Journal of Econometrics.
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2009A Wald test for the cointegration rank in nonstationary fractional systems In: Journal of Econometrics.
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2008A wald test for the cointegration rank in nonstationary fractional systems.(2008) In: Research Memorandum.
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2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
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2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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2020Recursive lower and dual upper bounds for Bermudan-style options In: European Journal of Operational Research.
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2013On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios In: The Journal of Financial Econometrics.
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2014On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios.(2014) In: The Journal of Financial Econometrics.
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2000FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS In: Computing in Economics and Finance 2000.
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2013Comments on: Model-free model-fitting and predictive distributions In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2015Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study In: The Journal of Economic Education.
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