19
H index
30
i10 index
3089
Citations
Universidad Carlos III de Madrid | 19 H index 30 i10 index 3089 Citations RESEARCH PRODUCTION: 39 Articles 81 Papers 1 Chapters RESEARCH ACTIVITY: 32 years (1992 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pgo192 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jesus Gonzalo. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper | |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper | |
2024 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2023 | Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150. Full description at Econpapers || Download paper | |
2023 | Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052. Full description at Econpapers || Download paper | |
2023 | Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632. Full description at Econpapers || Download paper | |
2024 | Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper | |
2023 | Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843. Full description at Econpapers || Download paper | |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper | |
2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper | |
2023 | Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563. Full description at Econpapers || Download paper | |
2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper | |
2023 | Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450. Full description at Econpapers || Download paper | |
2023 | Fires and Local Labor Markets. (2023). Rao, Akhil ; Coulombe, Raphaelle G. In: Papers. RePEc:arx:papers:2308.02739. Full description at Econpapers || Download paper | |
2024 | The Inflation Attention Threshold and Inflation Surges. (2023). Pfauti, Oliver. In: Papers. RePEc:arx:papers:2308.09480. Full description at Econpapers || Download paper | |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper | |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper | |
2023 | Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data. (2023). Liu, Yujiang ; Zhang, Xulong ; Leng, Wan ; Zhou, Lichun ; Tang, Lihua ; Jiang, Guilin ; Gui, Zhaozhong. In: Papers. RePEc:arx:papers:2309.16196. Full description at Econpapers || Download paper | |
2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper | |
2024 | Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590. Full description at Econpapers || Download paper | |
2024 | The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641. Full description at Econpapers || Download paper | |
2023 | House Prices, Monetary Policy and Commodities: Evidence from Australia. (2023). Read, Alistair ; Graham, James. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:324:p:1-31. Full description at Econpapers || Download paper | |
2023 | Modeling the Interactions between Volatility and Returns using EGARCHâ€M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919. Full description at Econpapers || Download paper | |
2023 | The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence. (2023). Keil, Sascha. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:5:p:1235-1263. Full description at Econpapers || Download paper | |
2023 | Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116. Full description at Econpapers || Download paper | |
2024 | Drivers 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. Full description at Econpapers || Download paper | |
2023 | Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968. Full description at Econpapers || Download paper | |
2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper | |
2023 | Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645. Full description at Econpapers || Download paper | |
2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper | |
2023 | On foreign drivers of emerging markets fluctuations. (2023). Lorca, Jorge ; Bajraj, Gent ; Wlasiuk, Juan M. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003450. Full description at Econpapers || Download paper | |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper | |
2023 | Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution. (2023). Varga, Katalin ; Szendrei, Tibor. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000150. Full description at Econpapers || Download paper | |
2023 | Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775. Full description at Econpapers || Download paper | |
2023 | Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion. (2023). Wu, Jianhong ; Zhou, Ruichao. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003750. Full description at Econpapers || Download paper | |
2023 | A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213. Full description at Econpapers || Download paper | |
2023 | Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (2023). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:300-319. Full description at Econpapers || Download paper | |
2023 | Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154. Full description at Econpapers || Download paper | |
2023 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236. Full description at Econpapers || Download paper | |
2023 | Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331. Full description at Econpapers || Download paper | |
2023 | Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin ; Liu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679. Full description at Econpapers || Download paper | |
2023 | Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892. Full description at Econpapers || Download paper | |
2023 | Testing stochastic dominance with many conditioning variables. (2023). Whang, Yoon-Jae ; Seo, Myung Hwan ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:507-527. Full description at Econpapers || Download paper | |
2024 | High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x. Full description at Econpapers || Download paper | |
2024 | The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470. Full description at Econpapers || Download paper | |
2024 | Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30. Full description at Econpapers || Download paper | |
2024 | Partially one-sided semiparametric inference for trending persistent and antipersistent processes. (2024). Giraitis, Liudas ; Distaso, Walter ; Abadir, Karim M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:1-14. Full description at Econpapers || Download paper | |
2023 | Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993. Full description at Econpapers || Download paper | |
2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. Full description at Econpapers || Download paper | |
2024 | Can inflation predict energy price volatility?. (2024). Batten, Jonathan ; Mo, DI ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006564. Full description at Econpapers || Download paper | |
2024 | Predicting tail risks and the evolution of temperatures. (2024). Martins, Luis F ; Gabriel, Vasco J ; Phella, Anthoulla. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007843. Full description at Econpapers || Download paper | |
2023 | Exploring 200 years of U.S. commodity market integration: A structural time series model approach. (2023). Harrison, James M. In: Explorations in Economic History. RePEc:eee:exehis:v:88:y:2023:i:c:s0014498323000086. Full description at Econpapers || Download paper | |
2023 | The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124. Full description at Econpapers || Download paper | |
2023 | Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173. Full description at Econpapers || Download paper | |
2023 | Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x. Full description at Econpapers || Download paper | |
2023 | Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198. Full description at Econpapers || Download paper | |
2023 | Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307. Full description at Econpapers || Download paper | |
2023 | Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market. (2023). Yang, Jimmy J ; Chen, Yu-Lun ; Xu, KE. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300412x. Full description at Econpapers || Download paper | |
2024 | Crude oil prices in times of crisis: The role of Covid-19 and historical events. (2024). Bouazizi, Tarek ; Guesmi, Khaled ; Vigne, Samuel A ; Galariotis, Emilios. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004714. Full description at Econpapers || Download paper | |
2023 | How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079. Full description at Econpapers || Download paper | |
2023 | Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures. (2023). Yang, Jimmy J ; Chang, Yung Ting ; Chen, Yu-Lun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003276. Full description at Econpapers || Download paper | |
2023 | Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis. (2023). Todorova, Neda ; Nekhili, Ramzi ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003689. Full description at Econpapers || Download paper | |
2023 | Crude oil volatility forecasting: New evidence from world uncertainty index. (2023). Liu, Yao ; Yao, Zhigang. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323004014. Full description at Econpapers || Download paper | |
2023 | Threshold cointegration and asymmetries between dividends and earnings news. (2023). Sephton, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008061. Full description at Econpapers || Download paper | |
2024 | Price discovery of the Chinese crude oil options and futures markets. (2024). Yang, Zhini ; Han, Lin ; Zou, MI. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011819. Full description at Econpapers || Download paper | |
2024 | Transportation sector and Chinese stock volatility forecasting: Evidence from freight and passenger traffic. (2024). Zhong, Juandan ; Zhang, Lili. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301334x. Full description at Econpapers || Download paper | |
2023 | The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave. (2023). Steffen, Tom ; Ibikunle, Gbenga ; Rzayev, Khaladdin. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000514. Full description at Econpapers || Download paper | |
2024 | The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496. Full description at Econpapers || Download paper | |
2023 | Informational linkage and price discovery between Chinas futures and spot markets: Evidence from the US–China trade dispute. (2023). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000527. Full description at Econpapers || Download paper | |
2024 | Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?. (2024). Strauss, Jack ; Mekelburg, Erik ; Bennett, Donyetta ; Williams, T H. In: Global Finance Journal. RePEc:eee:glofin:v:60:y:2024:i:c:s1044028324000176. Full description at Econpapers || Download paper | |
2023 | The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719. Full description at Econpapers || Download paper | |
2023 | International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495. Full description at Econpapers || Download paper | |
2023 | Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA. (2023). Lawal, Rodiat ; Johan, Sofia ; Sakariyahu, Rilwan ; Chatzivgeri, Eleni ; Paterson, Audrey. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001348. Full description at Econpapers || Download paper | |
2024 | Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064. Full description at Econpapers || Download paper | |
2024 | Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43. Full description at Econpapers || Download paper | |
2024 | Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76. Full description at Econpapers || Download paper | |
2023 | Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x. Full description at Econpapers || Download paper | |
2023 | Information shares for markets with partially overlapping trading hours. (2023). Schweikert, Karsten ; Dimpfl, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681. Full description at Econpapers || Download paper | |
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2002 | Lag length estimation in large dimensional systems In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 20 |
2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2006 | Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 53 |
2006 | Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
2021 | Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2020 | Uncovering regimes in out of sample forecast errors from predictive regressions.(2020) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2008 | Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 10 |
2007 | Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components.(2007) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2017 | The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
2005 | The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers. [Full Text][Citation analysis] | paper | 36 |
1994 | Comovements in Large Systems In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
1995 | Comovements in large systems.(1995) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
1995 | On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
1995 | On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors.(1995) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1995 | On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors..(1995) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2003 | Threshold integrated moving average models: does size matter? maybe so In: DE - Documentos de Trabajo. EconomÃa. DE. [Full Text][Citation analysis] | paper | 4 |
2004 | Threshold Integrated Moving Average Models (Does Size Matter? Maybe So).(2004) In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2000 | Econometric implications of non-exact present value models In: DE - Documentos de Trabajo. EconomÃa. DE. [Full Text][Citation analysis] | paper | 0 |
2008 | Modelling and Measuring Price Discovery in Commodity Markets In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 92 |
2007 | Modelling and measuring price discovery in commodity markets.(2007) In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 92 | paper | |
2010 | Modelling and measuring price discovery in commodity markets.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 92 | article | |
2016 | Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2017 | The Reaction of Stock Market Returns to Unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2017 | Trends in distributional characteristics : Existence of global warming In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 6 |
2020 | Trends in distributional characteristics: Existence of global warming.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2019 | Predictive Regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2020 | Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
2021 | Spurious relationships in high-dimensional systems with strong or mild persistence.(2021) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2021 | A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2005 | Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 19 |
2008 | Testing downside risk efficiency under market distress In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2008 | Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2009 | Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2010 | Regime specific predictability in predictive regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
2010 | Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2011 | Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2010 | Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 6 |
2013 | Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2014 | CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2011 | Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 12 |
2011 | Detecting big structural breaks in large factor models In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 93 |
2014 | Detecting big structural breaks in large factor models.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | article | |
2013 | Detecting Big Structural Breaks in Large Factor Models.(2013) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2011 | Detecting big structural breaks in large factor models.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2011 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
2012 | Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 4 |
2013 | Estimation and inference in threshold type regime switching models.(2013) In: Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | chapter | |
2012 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
2013 | Co-summability from linear to non-linear cointegration In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 17 |
2006 | Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 4 |
2007 | The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2007 | The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2007 | Permanent and transitory components of GDP and stock prices: further analysis In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2008 | Permanent and transitory components of GDP and stock prices: further analysis.(2008) In: Macroeconomics and Finance in Emerging Market Economies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2008 | Simple Wald tests of the fractional integration parameter : an overview of new results In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2013 | Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1995 | No lack of relative power of the Dickey-Fuller tests for unit roots In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1996 | Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1996 | P-values for non-standard distributions with an application to the DF test In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 6 |
1996 | P-Values for non-standard distributions with an application to the DF test.(1996) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
1995 | P-Values for Non-Standard Distributions with an Application to the DF Test.(1995) In: Boston University - Institute for Economic Development. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1996 | On the robustness of cointegration tests when series are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 11 |
1995 | On the Robustness of Cointegration Tests when Series Are Fractionally Integrated..(1995) In: The A. Gary Anderson Graduate School of Management. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2000 | On the robustness of cointegration tests when series are fractionally intergrated.(2000) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
1996 | Non-exact present value relations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
1996 | A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 140 |
2001 | A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 140 | article | |
1996 | A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 140 | paper | |
1996 | A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 140 | paper | |
1997 | Threshold unit root models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 16 |
2002 | A Fractional Dickey-Fuller Test for Unit Roots In: Econometrica. [Citation analysis] | article | 70 |
2004 | Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 18 |
2004 | Which Extreme Values Are Really Extreme?.(2004) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
1997 | Testing for multicointegration In: Economics Letters. [Full Text][Citation analysis] | article | 43 |
1998 | Specification via model selection in vector error correction models In: Economics Letters. [Full Text][Citation analysis] | article | 51 |
2002 | Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 139 |
2005 | Subsampling inference in threshold autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 65 |
2001 | Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
2006 | Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
2006 | Large shocks vs. small shocks. (Or does size matter? May be so.) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
2014 | Summability of stochastic processes—A generalization of integration for non-linear processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
1994 | Five alternative methods of estimating long-run equilibrium relationships In: Journal of Econometrics. [Full Text][Citation analysis] | article | 619 |
1998 | Pitfalls in testing for long run relationships In: Journal of Econometrics. [Full Text][Citation analysis] | article | 136 |
1995 | Pitfalls in Testing for Long Run Relationships..(1995) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 136 | paper | |
1993 | Cointegration and aggregation In: Ricerche Economiche. [Full Text][Citation analysis] | article | 10 |
1992 | Cointegration and Aggregation..(1992) In: Boston University - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
1998 | On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors. In: International Economic Review. [Citation analysis] | article | 11 |
2003 | Long-range dependence in Spanish political opinion poll series In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 17 |
2010 | The Making of Estimation of Common Long-Memory Components in Cointegrated Systems In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2008 | The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 499 |
2022 | A tale of three cities: climate heterogeneity In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 2 |
2022 | Nonparametric estimation of functional dynamic factor model In: Journal of Nonparametric Statistics. [Full Text][Citation analysis] | article | 2 |
2017 | Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 9 |
2005 | Testing I(1) against I(d) alternatives in the presence of deteministic components In: Economics Working Papers. [Full Text][Citation analysis] | paper | 6 |
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