Jose Gonzalo Rangel : Citation Profile

5

H index

4

i10 index

766

Citations

RESEARCH PRODUCTION:

7

Articles

6

Papers

RESEARCH ACTIVITY:

   20 years (2005 - 2025). See details.
   Cites by year: 38
   Journals where Jose Gonzalo Rangel has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 6 (0.78 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra223
   Updated: 2026-07-18    RAS profile: 2026-05-23    
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Relations with other researchers

Works with:

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

Is cited by:

GUPTA, RANGAN (50)

Gallo, Giampiero (29)

Teräsvirta, Timo (21)

Salisu, Afees (19)

Demirer, Riza (18)

Bauwens, Luc (15)

Amado, Cristina (15)

Barigozzi, Matteo (13)

Silvennoinen, Annastiina (12)

LINTON, OLIVER (12)

Brownlees, Christian (11)

Cites to:

Bollerslev, Tim (16)

Diebold, Francis (12)

Engle, Robert (11)

Andersen, Torben (11)

Bekaert, Geert (10)

Harvey, Campbell (9)

Campbell, John (8)

Reinhart, Carmen (6)

Shephard, Neil (5)

Rogoff, Kenneth (4)

Vega, Clara (4)

Main data

Where Jose Gonzalo Rangel has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de Mxico5

Recent works citing Jose Gonzalo Rangel (2025 and 2024)

YearTitle of citing document
2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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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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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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2026Elections, Emotional Asymmetry and Jumps in Stock Prices. (2026). Selmi, Refk ; Garling, Tommy. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2026:v:27:i:1:selmigarlingkirchler.

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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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2024Measuring market volatility connectedness to media sentiment. (2024). Sirnes, Espen ; Fjesme, Sturla ; Abdollahi, Hooman. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000159.

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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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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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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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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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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2024Technological shocks and stock market volatility over a century. (2024). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000951.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2026A GARCH model with two volatility components and two driving factors. (2026). Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo ; Tezza, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:85:y:2026:i:c:s0927539825000933.

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2024Can 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.

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2026Volatility in Chinas new energy stock market: The contributions of overnight information and discrete jumps. (2026). Qi, YU ; Shao, Shuai ; Deng, QI ; Gong, Lianmei ; Liu, Feng. In: Energy. RePEc:eee:energy:v:344:y:2026:i:c:s0360544226002410.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2024Crude oil prices in times of crisis: The role of Covid-19 and historical events. (2024). Bouazizi, Tarek ; Vigne, Samuel A ; Guesmi, Khaled ; Galariotis, Emilios. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004714.

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2024Evolving energies: Analyzing stability amidst recent challenges in the natural gas market. (2024). Bouazizi, Tarek ; Makrychoriti, Panagiota ; Guesmi, Khaled ; Abid, Ilyes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002783.

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2024Transportation sector and Chinese stock volatility forecasting: Evidence from freight and passenger traffic. (2024). Zhang, Lili ; Zhong, Juandan. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301334x.

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2024The cross section of information transmission in news media and stock returns. (2024). Wu, YI ; Wang, Xinyao. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008109.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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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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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Forecasting 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.

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2024Uncertainty and macroeconomic forecasts: Evidence from survey data. (2024). Qiu, Yajie ; Liu, Xiaoquan ; Deschamps, Bruno. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:463-480.

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2024The volatility of capital flows in emerging markets: Measures and determinants. (2024). Pagliari, Maria Sole ; Hannan, Swarnali Ahmed. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:145:y:2024:i:c:s0261560624000822.

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2026Liquidity, sentiment, and global spillover across financial markets. (2026). Bei, Zeyun ; Zhou, Yinggang ; Cui, Liyuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:161:y:2026:i:c:s0261560625002293.

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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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2024What moves markets?. (2024). Kerssenfischer, Mark ; Schmeling, Maik. In: Journal of Monetary Economics. RePEc:eee:moneco:v:145:y:2024:i:c:s0304393224000138.

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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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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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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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2024Pricing VIX futures with mixed frequency macroeconomic information. (2024). Shang, Yuhuang ; Yang, Xinglin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:847-857.

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2024Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model. (2024). Wang, LU ; Peng, Lijuan ; Liang, Chao ; Yang, Baoying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024004052.

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2024Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market. (2024). Zhang, Xincheng ; Wu, Shaojiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006579.

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2024The impact of readability of risk disclosures in bond prospectuses on credit risk premium. (2024). Li, Zhan ; Yao, Yanzhen ; Chen, Meiqi ; Wei, LU ; Jing, Haozhe. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s027553192400103x.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Candila, V ; Cipollini, F. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2024Bayesian Inference for Long Memory Stochastic Volatility Models. (2024). Laurini, Márcio ; Chaim, Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826.

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2025The Nonsense of Bitcoin in Portfolio Analysis. (2025). Shalit, Haim. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:125-:d:1602154.

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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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2024The Impact of Directional Global Economic Policy Uncertainty on Indian Stock Market Volatility: New Evidence. (2024). Bagra, Yash ; Kar, Bibhu Prasad ; Mishra, Aswini Kumar ; Nakhate, Anand Theertha ; Singh, Abinash. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:3:d:10.1007_s10690-023-09421-y.

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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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2024Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:202414.

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2024Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis. (2024). GUPTA, RANGAN ; Gallo, Giampiero ; Cepni, Oguzhan ; Candila, Vincenzo. In: Working Papers. RePEc:pre:wpaper:202437.

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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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2024Global and domestic economic policy uncertainties and tourism stock market: Evidence from China. (2024). Yang, Peng ; Liu, Han ; Song, Haiyan ; Wu, Doris Chenguang. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:3:p:567-591.

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2024Modeling and forecasting listed tourism firms€™ risk in China using a trend asymmetric GARCH-MIDAS model. (2024). Yang, Peng ; Wen, Long ; Liu, Han ; Song, Haiyan. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:6:p:1404-1422.

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2024Does the energy sector serve as a hedge and safe haven?. (2024). Ali, Huson Joher ; Hayat, Aziz ; A. S. M. Sohel Azad, . In: Annals of Operations Research. RePEc:spr:annopr:v:339:y:2024:i:1:d:10.1007_s10479-023-05707-6.

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2024Forecasting EUA futures volatility with geopolitical risk: evidence from GARCH-MIDAS models. (2024). Gao, Qiujin ; Xiao, Ling ; Lu, Hengzhen ; Dhesi, Gurjeet. In: Review of Managerial Science. RePEc:spr:rvmgts:v:18:y:2024:i:7:d:10.1007_s11846-023-00722-0.

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2026The Effect of Geopolitical Risk on the Volatility of Connectedness Between Carbon Neutrality and Energy Markets: Evidence From China. (2026). Ren, Lin ; Wei, YU ; Sun, Yingyue. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:31:y:2026:i:2:p:2568-2592.

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2025Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor Versus National Factor in a GARCH‐MIDAS Model. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Liao, Wenting. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1441-1466.

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2024Risky times: Seasonality and event risk of commodities. (2024). Boos, Dominik. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:767-783.

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Works by Jose Gonzalo Rangel:

YearTitleTypeCited
2009The Factor-Spline-GARCH Model for High and Low Frequency Correlations In: Working Papers.
[Full Text][Citation analysis]		paper84
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		article
2012The Factor–Spline–GARCH Model for High and Low Frequency Correlations.(2012) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		article
2009Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper101
2011Macroeconomic news, announcements, and stock market jump intensity dynamics.(2011) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 101		article
2009High and Low Frequency Correlations in Global Equity Markets In: Working Papers.
[Full Text][Citation analysis]		paper8
2010Exchange Rate Market Expectations and Central Bank Policy: The case of the Mexican Peso-US Dollar from 2005-2009 In: Working Papers.
[Full Text][Citation analysis]		paper3
2012Capital Controls and Exchange Rate Expectations in Emerging Markets In: Working Papers.
[Full Text][Citation analysis]		paper2
2011Inflación, crecimiento y bienestar social In: Monetaria.
[Full Text][Citation analysis]		article0
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
[Full Text][Citation analysis]		paper38
2012Revisiting the effects of country specific fundamentals on sovereign default risk In: Economics Bulletin.
[Full Text][Citation analysis]		article3
2025FX Comovements and Their Economic Determinants In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: The Review of Financial Studies.
[Full Text][Citation analysis]		article527

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