Jesus Gonzalo : Citation Profile

Universidad Carlos III de Madrid

20

H index

34

i10 index

3315

Citations

RESEARCH PRODUCTION:

43

Articles

90

Papers

1

Chapters

RESEARCH ACTIVITY:

   34 years (1992 - 2026). See details.
   Cites by year: 97
   Journals where Jesus Gonzalo has often published
   Relations with other researchers
   Recent citing documents: 129.    Total self citations: 55 (1.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo192
   Updated: 2026-05-02    RAS profile: 2026-02-15    
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Relations with other researchers

Works with:

Pitarakis, Jean-Yves (7)

Dolado, Juan (7)

Sanz, Carlos (3)

Alloza, Mario (3)

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

Is cited by:

GUPTA, RANGAN (44)

Nielsen, Morten (35)

Gallo, Giampiero (26)

Mayoral, Laura (26)

Teräsvirta, Timo (24)

MORANA, CLAUDIO (23)

Sephton, Peter (22)

Pereira, Alfredo (20)

Barigozzi, Matteo (18)

KORAP, LEVENT (17)

Hecq, Alain (17)

Cites to:

Campbell, John (52)

Hansen, Bruce (39)

Bai, Jushan (36)

Phillips, Peter (35)

Watson, Mark (33)

Perron, Pierre (27)

Stock, James (24)

Diebold, Francis (21)

Ng, Serena (21)

Pitarakis, Jean-Yves (20)

Dolado, Juan (18)

Main data

Where Jesus Gonzalo has published?

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

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía40
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística10
Papers / arXiv.org7
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Working Papers / Department of Economics, City St George's, University of London2
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa2
DE - Documentos de Trabajo. Economía. DE / Universidad Carlos III de Madrid. Departamento de Economía2
Working Papers / Barcelona School of Economics2
Econometrics / University Library of Munich, Germany2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Jesus Gonzalo (2026 and 2025)

YearTitle of citing document
2026A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. (2026). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:388985.

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2025Credit Expansion and Inequality: When Does it Help and When Does it Hurt?. (2025). Elin, Muhammet Fatih. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:10:y:2025:i:3:p:1054-1085.

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2026A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. (2026). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: Working Papers. RePEc:anc:wpaper:503.

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

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

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2026Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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

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

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2026Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590.

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

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

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

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

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2026Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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

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

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

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

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2025Let the Tree Decide: FABART A Non-Parametric Factor Model. (2025). Velasco, Sofia. In: Papers. RePEc:arx:papers:2506.11551.

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2025Testing parametric additive time-varying GARCH models. (2025). Teräsvirta, Timo ; Ahlgren, Niklas ; Back, Alexander ; Terasvirta, Timo. In: Papers. RePEc:arx:papers:2506.23821.

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2025Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments. (2025). Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:2507.22204.

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2025Climate change: across time and frequencies. (2025). Gabriel, Vasco ; Phella, Anthoulla ; Aguiar-Conraria, Luis ; Martins, Luis F. In: Papers. RePEc:arx:papers:2509.21334.

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2026Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions. (2025). Schneider, Ulrike ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2510.07204.

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2025Threshold Tensor Factor Model in CP Form. (2025). Chen, Rong ; Bolivar, Stevenson ; Han, Yuefeng. In: Papers. RePEc:arx:papers:2511.19796.

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2025Low-Rank Estimation of Nonlinear Panel Data Models. (2025). Yao, Kan. In: Papers. RePEc:arx:papers:2511.21948.

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2026Quantitative Methods in Finance. (2026). Vansteenberghe, Eric. In: Papers. RePEc:arx:papers:2601.12896.

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2026Taming Tail Risk in Financial Markets: Conformal Risk Control for Nonstationary Portfolio VaR. (2026). Schmitt, Marc. In: Papers. RePEc:arx:papers:2602.03903.

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2026Panel Quantile Regression with Common Shocks. (2026). Galvao, Antonio ; Wei, Chia-Min ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2602.19201.

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2026Estimation and Inference in Quantile Regressions with Multiple Fixed Effects. (2026). Siles, Leonardo ; Canavire-Bacarreza, Gustavo ; Ramos, Andrey ; Rios-Avila, Fernando. In: International Center for Public Policy Working Paper Series, at AYSPS, GSU. RePEc:ays:ispwps:paper2615.

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

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

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

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2026Stimulating avenues: EIB loans and returns to Public Investment. (2026). Pappa, Evi ; Ghomi, Morteza. In: Working Papers. RePEc:bde:wpaper:2610.

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

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

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

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2025Drivers of COVID-19 in U.S. counties: A wave-level analysis. (2024). Otero, Jesus ; HENRY, MIGUEL ; Garcia-Suaza, Andres ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1067.

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2026Forecasting High-Dimensional Non-Normal Time Series Using Averaged Quantile Regression. (2026). Yaeji, Lim ; Hee-Seok, OH ; Yeon, Kim Tae. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:18:y:2026:i:1:p:49-61:n:1001.

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

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

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

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

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

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2025Regime-specific exchange rate predictability. (2025). Beckmann, Joscha ; Kruse-Becher, Robinson ; Kerkemeier, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000612.

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2025Role of ECX futures in carbon pricing: Intraday evidence from EU-ETS. (2025). Vadhava, Charu. In: Economics Letters. RePEc:eee:ecolet:v:253:y:2025:i:c:s0165176525002381.

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2025How to select the number of factors in break point estimation of high-dimensional factor models?. (2025). Xiang, Jingjie. In: Economics Letters. RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525003076.

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2025Price discovery through wrapped tokens. (2025). Johnson, William C ; Scharnowski, Stefan. In: Economics Letters. RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525005403.

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

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

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

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2025Multiplicative factor model for volatility. (2025). Engle, Robert ; Ding, Yi ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000132.

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2025On time-varying panel data models with time-varying interactive fixed effects. (2025). Su, Liangjun ; Qian, Junhui ; Jin, Sainan ; Wang, Xia ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000144.

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2025When structural break meets threshold effect: Factor analysis under structural instabilities. (2025). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000260.

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2025Huber Principal Component Analysis for large-dimensional factor models. (2025). He, Yong ; Zhou, Wen-Xin ; Liu, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000478.

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2025Quantile prediction with factor-augmented regression: Structural instability and model uncertainty. (2025). Wang, Siwei ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000533.

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2025Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach. (2025). Korobilis, Dimitris ; Schrder, Maximilian. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624000769.

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2025Bayesian neural networks for macroeconomic analysis. (2025). Marcellino, Massimiliano ; Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s030440762400188x.

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2025Inference for large dimensional factor models under general missing data patterns. (2025). Su, Liangjun ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000764.

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2025A robust residual-based test for structural changes in factor models. (2025). Yan, Yayi ; Su, Liangjun ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s030440762500096x.

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2025Sieve estimation of state-varying factor models. (2025). Su, Liangjun ; Jin, Sainan ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001186.

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2025Spatial panel data models with structural change. (2025). Wang, Luya ; Li, Kunpeng. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001320.

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2025Cointegration with occasionally binding constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001575.

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

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

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2025Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China. (2025). Chen, Jing ; Zhao, Chengzhi ; Han, Qian ; Guo, Qian. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561.

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

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2025Improving information leadership share for measuring price discovery. (2025). Zhang, Yixuan ; Shen, Shulin ; Zivot, Eric. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s092753982500060x.

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2025Energy transition and climate policy selection with stochastic demand: Evidence from Australian electricity generation expansion planning. (2025). Zhang, Xibin ; Wei, Wei ; Anderson, Heather M ; Sun, Xiaotong. In: Energy Economics. RePEc:eee:eneeco:v:146:y:2025:i:c:s014098832500221x.

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2025Does excess futures market demand affect the spot price of oil?. (2025). Decoste, Joseph. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325004487.

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2025Dynamics of co-bubble networks across commodity futures prices and portfolio performance. (2025). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:150:y:2025:i:c:s0140988325006668.

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2025Does carbon news influence carbon prices?–Taking Chinas carbon market as an example. (2025). Sun, Tao ; Zhang, Heng-Guo. In: Energy. RePEc:eee:energy:v:333:y:2025:i:c:s0360544225029810.

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2025Policy inconsistency and regional innovation dynamics in China: Evidence from textual analysis. (2025). Sun, Yutong ; Li, Ying ; Fang, Tong ; Yin, Libo. In: Finance Research Letters. RePEc:eee:finlet:v:84:y:2025:i:c:s1544612325010062.

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2025Bitcoin and global stock portfolio: Dynamics across short and long-term horizons. (2025). Marti, Robert ; Reimat, Anne. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325021713.

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

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

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2025A new leadership share measure for price discovery. (2025). Shi, Yanlin ; Lien, Donald ; Roseman, Brian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:180:y:2025:i:c:s0378426625001475.

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

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2025Benchmarking benchmarks. (2025). Putnis, Tlis ; Khomyn, Marta ; Brugler, James. In: Journal of Financial Economics. RePEc:eee:jfinec:v:168:y:2025:i:c:s0304405x25000261.

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2025Price discovery in bitcoin spot and futures markets. (2025). Zhang, Rene ; Robertson, Kevin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:159:y:2025:i:c:s0261560625001500.

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

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2025Robust factorization for high-dimensional matrix-variate observations. (2025). Wang, Yalin ; Yu, Long. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:210:y:2025:i:c:s0047259x25000624.

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2025Adding precious metals to a risk avert Investors portfolio – Is gold alone?. (2025). Chakrabarti, Gagari ; Saha, Madhurima ; Chattopadhyay, Dhriti. In: Resources Policy. RePEc:eee:jrpoli:v:106:y:2025:i:c:s0301420725001692.

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2025Extreme volatility risk dynamic diffusion in financial market based on a new VEBN framework. (2025). Xu, Yi-Zhen ; Li, Jiang-Cheng ; Zhong, Guang-Yan ; Tao, Chen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:680:y:2025:i:c:s0378437125007101.

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2026How do return and volatility spillovers shape futures markets? Insights from index, commodity, and carbon emission futures. (2026). Samarakoon, S. M. R. K., ; Pradhan, Rudra P. In: Renewable Energy. RePEc:eee:renene:v:256:y:2026:i:pd:s0960148125017744.

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

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2026Change-point detection in Vector-Tensor linear model. (2026). Xia, Zhiming ; Shang, Wenyuan ; Shi, Meili ; Su, Haiyue. In: Statistics & Probability Letters. RePEc:eee:stapro:v:228:y:2026:i:c:s0167715225002081.

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2025Dynamic factor analysis of high-dimensional recurrent events. (2025). Zhou, Kangjie ; Chen, Yunxiao ; Ying, Zhiliang. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:127778.

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2026A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. (2026). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: Working Papers. RePEc:fem:femwpa:2026.03.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2025The Stochastic Evolution of Financial Asset Prices. (2025). Santos, Alvaro ; Paraskevopoulos, Ioannis. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:2002-:d:1681291.

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2025The Impact of Tourism on the Resilience of the Turkish Economy: An Asymmetric Approach. (2025). Cetin, Mustafa Koray ; Mert, Mehmet ; Sekreter, Mehmet Serhan. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:2:p:591-:d:1566416.

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2024Inference after discretizing unobserved heterogeneity. (2024). Mugnier, Martin ; Beyhum, Jad. In: PSE Working Papers. RePEc:hal:psewpa:halshs-04840588.

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2025Do Bitcoin ETFs Lead Price Discovery Following their Introduction in the Bitcoin Market?. (2025). Mohamad, Azhar. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-025-10998-x.

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2025Outlier Robust Specification of Multiplicative Time-Varying Volatility Models. (2025). Amado, Cristina. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:5:d:10.1007_s10614-024-10838-4.

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2025Rising Temperature, Nuanced Effects: Evidence from Seasonal and Sectoral Data. (2025). Pienknagura, Samuel ; Nguyen, Ha. In: Environmental & Resource Economics. RePEc:kap:enreec:v:88:y:2025:i:12:d:10.1007_s10640-025-01034-5.

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2026Beyond pure hype: news sentiment and its role in the BTC and ETH futures market. (2026). Dorfleitner, Gregor ; Sparrer, Christian ; Kreuzer, Christian. In: Review of Derivatives Research. RePEc:kap:revdev:v:29:y:2026:i:1:d:10.1007_s11147-025-09223-6.

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2025The Effects of Macroeconomic and Budget Balance Shocks on Public Debt Trajectories in the Euro Area. (2025). Staehr, Karsten ; Tkacevs, Olegs. In: Working Papers. RePEc:ltv:wpaper:202508.

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2025How important is the home market for cross - listed biotech companies?. (2025). Panagiotidis, Theodore ; Tsiokas, Pavlos. In: Discussion Paper Series. RePEc:mcd:mcddps:2025_04.

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2025Bayesian inference for dynamic spatial quantile models with interactive effects. (2025). Bai, Jushan ; Ando, Tomohiro ; Li, Kunpeng ; Song, Yong. In: MPRA Paper. RePEc:pra:mprapa:123815.

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2025On a Definition of Trend. (2025). Silva Lopes, Artur. In: MPRA Paper. RePEc:pra:mprapa:125073.

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2025US-China Tensions and Stock Market Co-movement between the US and China: Insights from a DCC-DAGARCH-MIDAS Model. (2025). Xu, Jiawei ; Gupta, Rangan ; Fang, Libing ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202522.

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

Works by Jesus Gonzalo:

YearTitleTypeCited
2020Quantile Factor Models In: Papers.
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2018Quantile Factor Models.(2018) In: CEPR Discussion Papers.
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2017Quantile Factor Models.(2017) In: UC3M Working papers. Economics.
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2020Quantile Factor Models.(2020) In: IZA Discussion Papers.
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2021Quantile Factor Models.(2021) In: Econometrica.
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2020Dynamic Effects of Persistent Shocks In: Papers.
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2019Dynamic effects of persistent shocks.(2019) In: Working Papers.
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2019Dynamic Effects of Persistent Shocks.(2019) In: UC3M Working papers. Economics.
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2025Dynamic effects of persistent shocks.(2025) In: UC3M Working papers. Economics.
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2025Dynamic Effects of Persistent Shocks.(2025) In: Journal of Applied Econometrics.
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2023Climate change heterogeneity: A new quantitative approach In: Papers.
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2022Climate change heterogeneity: a new quantitative approach.(2022) In: UC3M Working papers. Economics.
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2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates In: Papers.
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2020Out of sample predictability in predictive regressions with many predictor candidates.(2020) In: UC3M Working papers. Economics.
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2024Out-of-sample predictability in predictive regressions with many predictor candidates.(2024) In: International Journal of Forecasting.
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2023Estimation of Characteristics-based Quantile Factor Models In: Papers.
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2023Estimation of characteristics-based quantile factor models.(2023) In: UC3M Working papers. Economics.
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2023Trends in Temperature Data: Micro-foundations of Their Nature In: Papers.
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2023Trends in temperature data: micro-foundations of their nature.(2023) In: UC3M Working papers. Economics.
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2024Trends in temperature data: Micro-foundations of their nature.(2024) In: Economics Letters.
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2026Detecting Sparse Cointegration In: Papers.
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2025Detecting sparse cointegration.(2025) In: UC3M Working papers. Economics.
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1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
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1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
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2005What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks In: Working Papers.
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2003Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend In: Working Papers.
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2023Heterogeneous predictive association of CO2 with global warming In: Economica.
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2023Heterogeneous Predictive Association of CO2 with Global Warming.(2023) In: UC3M Working papers. Economics.
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1996RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES In: Journal of Time Series Analysis.
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1995Relative Power of t Type Tests of Stationary and Unit Root Processes..(1995) In: Boston University - Department of Economics.
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2002Lag length estimation in large dimensional systems In: Journal of Time Series Analysis.
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2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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2001Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics.
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2006Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics.
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2006Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics.
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2019Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
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2021Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions In: Oxford Bulletin of Economics and Statistics.
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2020Uncovering regimes in out of sample forecast errors from predictive regressions.(2020) In: UC3M Working papers. Economics.
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2008Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components In: Studies in Nonlinear Dynamics & Econometrics.
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2007Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components.(2007) In: UC3M Working papers. Economics.
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2017The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics.
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2017The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics.
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2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
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1994Comovements in Large Systems In: LIDAM Discussion Papers CORE.
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1995Comovements in large systems.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: LIDAM Discussion Papers CORE.
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1995On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors.(1995) In: DES - Working Papers. Statistics and Econometrics. WS.
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1995On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors..(1995) In: Boston University - Department of Economics.
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2003Threshold integrated moving average models: does size matter? maybe so In: DE - Documentos de Trabajo. Economía. DE.
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2004Threshold Integrated Moving Average Models (Does Size Matter? Maybe So).(2004) In: Econometric Society 2004 North American Winter Meetings.
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2000Econometric implications of non-exact present value models In: DE - Documentos de Trabajo. Economía. DE.
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2008Modelling and Measuring Price Discovery in Commodity Markets In: DEE - Working Papers. Business Economics. WB.
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2007Modelling and measuring price discovery in commodity markets.(2007) In: DEE - Working Papers. Business Economics. WB.
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2010Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics.
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2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
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2017Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics.
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2020Trends in distributional characteristics: Existence of global warming.(2020) In: Journal of Econometrics.
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2019Predictive Regressions In: UC3M Working papers. Economics.
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2020Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics.
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2021Spurious relationships in high-dimensional systems with strong or mild persistence.(2021) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 1		article
2021A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) In: UC3M Working papers. Economics.
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2013Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach In: UC3M Working papers. Economics.
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2024Regional heterogeneity and warming dominance in the United States In: UC3M Working papers. Economics.
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2026Regional heterogeneity and warming dominance in the United States.(2026) In: PLOS Climate.
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2024Testing extreme warming and geographical heterogeneity In: UC3M Working papers. Economics.
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2025Global and regional long-term climate forecasts: a heterogeneous future In: UC3M Working papers. Economics.
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2025Heterogeneous Polar Amplification In: UC3M Working papers. Economics.
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2025Regional Heterogeneity and Warming Dominance in the contiguous United States In: UC3M Working papers. Economics.
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2005Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics.
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2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
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2008Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers.
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2009Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics.
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2010Regime specific predictability in predictive regressions In: UC3M Working papers. Economics.
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2010Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper.
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2011Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics.
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2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
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2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 7		paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
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2011Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes In: UC3M Working papers. Economics.
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2011Detecting big structural breaks in large factor models In: UC3M Working papers. Economics.
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2014Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 109		article
2013Detecting Big Structural Breaks in Large Factor Models.(2013) In: Economics Series Working Papers.
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This paper has nother version. Agregated cites: 109		paper
2011Detecting big structural breaks in large factor models.(2011) In: MPRA Paper.
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2011The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
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2012The reaction of stock market returns to anticipated unemployment.(2012) In: UC3M Working papers. Economics.
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2012Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics.
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2013Estimation and inference in threshold type regime switching models.(2013) In: Chapters.
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2013Co-summability from linear to non-linear cointegration In: UC3M Working papers. Economics.
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2006Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components In: UC3M Working papers. Economics.
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2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
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2007The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers.
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2007Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics.
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2008Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies.
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2008Simple Wald tests of the fractional integration parameter : an overview of new results In: UC3M Working papers. Economics.
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2013Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach In: DES - Working Papers. Statistics and Econometrics. WS.
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1995No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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1996P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS.
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1996P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters.
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1995P-Values for Non-Standard Distributions with an Application to the DF Test.(1995) In: Boston University - Institute for Economic Development.
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1996On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
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1995On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management.
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2000On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics.
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1996Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
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2001A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1997Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS.
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2002A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica.
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2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
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2004Which Extreme Values Are Really Extreme?.(2004) In: Journal of Financial Econometrics.
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1997Testing for multicointegration In: Economics Letters.
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1998Specification via model selection in vector error correction models In: Economics Letters.
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2002Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics.
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2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
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2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
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2006Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics.
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2006Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics.
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2014Summability of stochastic processes—A generalization of integration for non-linear processes In: Journal of Econometrics.
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1994Five alternative methods of estimating long-run equilibrium relationships In: Journal of Econometrics.
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1998Pitfalls in testing for long run relationships In: Journal of Econometrics.
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1995Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics.
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1993Cointegration and aggregation In: Ricerche Economiche.
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1992Cointegration and Aggregation..(1992) In: Boston University - Department of Economics.
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1998On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors. In: International Economic Review.
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2003Long-range dependence in Spanish political opinion poll series In: Journal of Applied Econometrics.
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2010The Making of Estimation of Common Long-Memory Components in Cointegrated Systems In: Journal of Financial Econometrics.
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2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: The Review of Financial Studies.
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2022A tale of three cities: climate heterogeneity In: SERIEs: Journal of the Spanish Economic Association.
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2022Nonparametric estimation of functional dynamic factor model In: Journal of Nonparametric Statistics.
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2017Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics.
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2005What is what?: A simple time-domain test of long-memory vs. structural breaks In: Economics Working Papers.
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2005Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers.
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