Carlos Velasco : Citation Profile


Are you Carlos Velasco?

Universidad Carlos III de Madrid

18

H index

24

i10 index

1221

Citations

RESEARCH PRODUCTION:

49

Articles

48

Papers

RESEARCH ACTIVITY:

   27 years (1996 - 2023). See details.
   Cites by year: 45
   Journals where Carlos Velasco has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 37 (2.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve103
   Updated: 2024-07-05    RAS profile: 2024-02-06    
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Relations with other researchers


Works with:

Rachinger, Heiko (2)

Dolado, Juan (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 (191)

Caporale, Guglielmo Maria (89)

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)

Lobato, Ignacio (16)

Delgado, Miguel (16)

Hassler, Uwe (16)

Nielsen, Morten (14)

Hualde, Javier (11)

Campbell, John (11)

Escanciano, Juan Carlos (11)

Breitung, Jörg (10)

Moon, Hyungsik (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
Journal of Business & Economic Statistics3
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Economics Letters2
Econometrica2
Journal of Financial Econometrics2
Econometrics Journal2

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 (2024 and 2023)


YearTitle of citing document
2023Indonesia’s forest management progress: empirical analysis of environmental Kuznets curve. (2023). Malahayati, Marissa. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:341536.

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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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2024Measuring 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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2024Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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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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2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543.

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2023Power law in Sandwiched Volterra Volatility model. (2023). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2311.01228.

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2023.

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2023.

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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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2023Monetary policy shocks and exchange rate dynamics in small open economies. (2023). Tchatoka, Firmin Doko ; Cross, Jamie L ; Haque, Qazi ; Terrell, Madison. In: Working Papers. RePEc:bny:wpaper:0121.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Testing the martingale difference hypothesis in high dimension. (2023). Shao, Xiaofeng ; Jiang, Qing ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:972-1000.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023A new generalized exponentially weighted moving average quantile model and its statistical inference. (2023). Zhu, KE. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002269.

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2024The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity. (2024). Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300341x.

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2024Bootstrapping long memory time series: Application in low frequency estimators. (2024). Arteche, Josu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:1-15.

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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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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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2024Permanent and temporary monetary policy shocks and the dynamics of exchange rates. (2024). Ribeiro, Pedro Pires ; Valle, Joo ; Carvalho, Alexandre. In: Journal of International Economics. RePEc:eee:inecon:v:147:y:2024:i:c:s0022199623001575.

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2024The effects of class attendance on academic performance: Evidence from synchronous courses during Covid-19 at a Chinese research university. (2024). Ha, Wei ; Ma, Liping ; Bu, Shangcong ; Feng, Qinxue ; Cao, Yulian. In: International Journal of Educational Development. RePEc:eee:injoed:v:104:y:2024:i:c:s0738059323002286.

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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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2024Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002248.

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2024Matrix-valued isotropic covariance functions with local extrema. (2024). Emery, Xavier ; Alegria, Alfredo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23000969.

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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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2023Exchange rate volatility and the effectiveness of FX interventions: The case of Chile. (2023). Pia, Marco ; Jara, Alejandro. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000030.

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2024Adaptive market hypothesis: A comparison of Islamic and conventional stock indices. (2024). Ali, Shahid ; Ullah, Ihsan ; Akbar, Muhammad ; Rehman, Naser. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:460-477.

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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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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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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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2023Dornbusch’s overshooting and the systematic component of monetary policy in SOE-SVARs. (2023). Javed, Naveed ; Groshenny, Nicolas. In: TEPP Working Paper. RePEc:tep:teppwp:wp23-08.

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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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2023Monetary policy and exchange rate anomalies in set?identified SVARs: Revisited. (2023). van der Veken, Wouter ; Ruth, Sebastian K. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:7:p:1085-1092.

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Works by Carlos Velasco:


YearTitleTypeCited
2013Fractional cointegration rank estimation In: CREATES Research Papers.
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paper8
2015Fractional Cointegration Rank Estimation.(2015) In: Journal of Business & Economic Statistics.
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article
2014Fractional Cointegration Rank Estimation.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 8
paper
2015Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence In: CREATES Research Papers.
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paper22
2017Estimation of fractionally integrated panels with fixed effects and cross-section dependence.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 22
article
2018Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects In: CREATES Research Papers.
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paper0
2019Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects.(2019) In: Journal of Time Series Analysis.
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This paper has nother version. Agregated cites: 0
article
2012Model Adequacy Checks for Discrete Choice Dynamic Models In: Working Papers.
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paper0
2012Model Adequacy Checks for Discrete Choice Dynamic Models.(2012) In: Working Papers.
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This paper has nother 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.
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article7
2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
[Citation analysis]
article106
1999Gaussian Semiparametric Estimation of Non?stationary Time Series In: Journal of Time Series Analysis.
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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 nother version. Agregated cites: 67
paper
2000Local Cross?validation for Spectrum Bandwidth Choice In: Journal of Time Series Analysis.
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article0
1998Local cross validation for spectrum bandwidth choice.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
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This paper has nother version. Agregated cites: 0
paper
2003Gaussian Semi?parametric Estimation of Fractional Cointegration In: Journal of Time Series Analysis.
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article54
2005Trimming and Tapering Semi?Parametric Estimates in Asymmetric Long Memory Time Series In: Journal of Time Series Analysis.
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article11
2007The Periodogram of fractional processes1 In: Journal of Time Series Analysis.
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article1
2008Fractional cointegration in the presence of linear trends In: Journal of Time Series Analysis.
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article0
2015A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS In: Journal of Time Series Analysis.
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article0
2018The optimal method for pricing Bermudan options by simulation In: Mathematical Finance.
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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.
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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.
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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.
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paper85
2005Distribution Free Goodness-of-Fit Tests for Linear Processes In: STICERD - Econometrics Paper Series.
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paper28
2005Distribution free goodness-of-fit tests for linear processes.(2005) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 28
paper
2013Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects In: STICERD - Econometrics Paper Series.
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paper10
2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 10
article
2013Efficient inference on fractionally integrated panel data models with fixed effects.(2013) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 10
paper
2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: LSE Research Online Documents on Economics.
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paper
2004Optimal Fractional Dickey-Fuller Tests for Unit Roots In: Working Papers.
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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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paper0
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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This paper has nother version. Agregated cites: 0
article
2005Efficient wald tests for fractional unit roots In: UC3M Working papers. Economics.
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paper82
2007Efficient Wald Tests for Fractional Unit Roots.(2007) In: Econometrica.
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article
2007A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics.
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paper2
2009A new class of distribution-free tests for time series models specification.(2009) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 2
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2008Class Attendance and Academic Performance among Spanish Economics Students In: UC3M Working papers. Economics.
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paper1
2010A distribution-free transform of the residuals sample autocorrelations with application to model checking In: UC3M Working papers. Economics.
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paper0
1998Non-Gaussian log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
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paper52
2000NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION.(2000) In: Econometric Theory.
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This paper has nother version. Agregated cites: 52
article
1998Non-stationary log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
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paper171
1999Non-stationary log-periodogram regression.(1999) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 171
article
2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
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paper103
2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
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article
2001EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN In: Econometric Theory.
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article31
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.
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article19
2008DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION In: Econometric Theory.
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article13
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.
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article2
2020ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS In: Econometric Theory.
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article0
2013New Goodness-of-fit Diagnostics for Conditional Discrete Response Models In: Cowles Foundation Discussion Papers.
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paper5
2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models.(2017) In: Cowles Foundation Discussion Papers.
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This paper has nother version. Agregated cites: 5
paper
2017New goodness-of-fit diagnostics for conditional discrete response models.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 5
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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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paper35
2002Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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This paper has nother version. Agregated cites: 35
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2009Residual Log-Periodogram Inference for Long-Run-Relationships.(2009) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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This paper has nother version. Agregated cites: 35
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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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2004Consistent Testing of Cointegrating Relationships In: Econometrica.
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article26
2004A simple and general test for white noise In: Econometric Society 2004 Latin American Meetings.
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paper0
2009Distribution-free specification tests for dynamic linear models In: Econometrics Journal.
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article0
2006Optimal Fractional Dickey-Fuller tests In: Econometrics Journal.
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article13
2006Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis.
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article4
2006Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers.
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This paper has nother version. Agregated cites: 4
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2018Efficiency improvements for minimum distance estimation of causal and invertible ARMA models In: Economics Letters.
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article0
2008Power comparison among tests for fractional unit roots In: Economics Letters.
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article2
2002Trend stationarity versus long-range dependence in time series analysis In: Journal of Econometrics.
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article11
2005Sign tests for long-memory time series In: Journal of Econometrics.
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article4
2009A Wald test for the cointegration rank in nonstationary fractional systems In: Journal of Econometrics.
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article13
2008A wald test for the cointegration rank in nonstationary fractional systems.(2008) In: Research Memorandum.
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2010Distribution-free tests for time series models specification In: Journal of Econometrics.
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article3
2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
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article27
2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
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2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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2013Tests for m-dependence based on sample splitting methods In: Journal of Econometrics.
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article1
2011Tests for m-dependence Based on Sample Splitting Methods.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 1
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2018Inference on trending panel data In: Journal of Econometrics.
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article0
2018Inference on trending panel data.(2018) In: LSE Research Online Documents on Economics.
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2020Recursive lower and dual upper bounds for Bermudan-style options In: European Journal of Operational Research.
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article2
2000Whittle pseudo-maximum likelihood estimation for nonstationary time series In: LSE Research Online Documents on Economics.
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paper117
2022Single step estimation of ARMA roots for nonfundamental nonstationary fractional models In: The Econometrics Journal.
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article2
2013On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios In: Journal of Financial Econometrics.
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article0
2014On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios.(2014) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 0
article
2014Delayed Overshooting: Its an 80s Puzzle In: Staff Papers.
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paper24
2000FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS In: Computing in Economics and Finance 2000.
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paper2
2011Do Foreign Excess Return Regressions Convey Valid Information? In: Working Papers.
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2011On the Properties of Regression Tests of Asset Return Predictability In: Working Papers.
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2011The Forward Discount Puzzle: Identi cation of Economic Assumptions In: Working Papers.
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2009Comments on: A review on empirical likelihood methods for regression In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2011Comments on: Subsampling weakly dependent time series and application to extremes In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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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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2023Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics In: Journal of Business & Economic Statistics.
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2017Delayed Overshooting: Is It an 80s Puzzle? In: Journal of Political Economy.
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