Helena Veiga : Citation Profile

Are you Helena Veiga?

Universidad Carlos III de Madrid

10

H index

10

i10 index

405

Citations

RESEARCH PRODUCTION:

24

Articles

43

Papers

RESEARCH ACTIVITY:

   21 years (2003 - 2024). See details.
   Cites by year: 19
   Journals where Helena Veiga has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 28 (6.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pve141
   Updated: 2024-12-03    RAS profile: 2024-03-07    
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Relations with other researchers

Works with:

Ruiz, Esther (2)

Casas, Isabel (2)

Ramos, Sofia (2)

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

Is cited by:

Galan, Jorge (20)

Porter, David (18)

Corgnet, Brice (18)

Sarmiento, Miguel (14)

Deck, Cary (9)

Chang, Chia-Lin (8)

Salisu, Afees (7)

Tiwari, Aviral (7)

Tansuchat, Roengchai (6)

Yoon, Seong-Min (5)

Ruiz, Esther (5)

Cites to:

Bollerslev, Tim (70)

Ruiz, Esther (47)

Yu, Jun (41)

Shephard, Neil (39)

Andersen, Torben (34)

Steel, Mark (34)

Asai, Manabu (33)

Diebold, Francis (33)

Harvey, Andrew (25)

Tauchen, George (23)

Laurent, Sébastien (21)

Main data

Where Helena Veiga has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Portuguese Economic Journal2
Econometric Reviews2
Energy Economics2
Economic Modelling2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística33

Recent works citing Helena Veiga (2024 and 2023)

YearTitle of citing document
2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2023Measuring efficiency of Peruvian universities: a stochastic frontier analysis. (2023). Wiper, Michael Peter ; Lopes, Maria Helena ; Orosco, Juan Carlos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36250.

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2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

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2024A Bayesian semi-parametric approach to stochastic frontier models with inefficiency heterogeneity. (2024). Deng, Yaguo. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43837.

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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2023The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models. (2023). Catik, Nazif A ; Helmi, Mohamad Husam ; Akdeniz, Coskun ; Huyuguzel, Gul Serife ; Kosedagli, Begum Yurteri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-45.

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2023Breaking news headlines: Impact on trading activity in the cryptocurrency market. (2023). Subramaniam, Sowmya ; Kulbhaskar, Anamika Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002092.

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2023Dynamic firm performance and estimator choice: A comparison of dynamic panel data estimators. (2023). Chaudhuri, Kausik ; Kumbhakar, Subal C ; Cave, Joshua. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:1:p:447-467.

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2023Dynamic network data envelopment analysis with a sequential structure and behavioural-causal analysis: Application to the Chinese banking industry. (2023). Tan, Yong ; Tsionas, Mike ; Fukuyama, Hirofumi. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1360-1373.

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2023Big oil in the transition or Green Paradox? A capital market approach. (2023). Todorova, Neda ; Baur, Dirk G. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003353.

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2023Fresh evidence on the oil-stock interactions under heterogeneous market conditions. (2023). Garg, Bhavesh ; Chowdhury, Kushal Banik. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001009.

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2023Do individual investors pay attention to the information acquisition activities of institutional investors?. (2023). Chen, Rongze ; Lu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009510.

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2023Insider trading regulation and shorting constraints. Evaluating the joint effects of two market interventions.. (2023). Palan, Stefan ; Stockl, Thomas ; Merl, Robert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622000899.

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2023International stock market volatility: A data-rich environment based on oil shocks. (2023). Wen, Fenghua ; Wang, Tianyang ; Ma, Feng ; Lu, Xinjie. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:214:y:2023:i:c:p:184-215.

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2023Dynamic connectedness between crude oil and equity markets: What about the effects of firms solvency and profitability positions?. (2023). Balli, Faruk ; Ha, Thi Thu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000387.

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2023Does Indian economy asymmetrically respond to oil price shocks?. (2023). Ramachandran, M ; Deheri, Abdhut. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000117.

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2023Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Tchankam, Jean Paul ; Omoke, Philip C. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979.

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2023Green finance and natural resources commodities prices: Evidence from COVID-19 period. (2023). Cao, Yanyan ; Huixiang, Shi . In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006432.

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2023The time-varying impact of uncertainty on oil market fear: Does climate policy uncertainty matter?. (2023). Liu, Hong ; Xiao, Jihong. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002441.

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2023Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658.

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2024The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources. (2024). Maqsood, Arfa ; Yaqoob, Tanzeela. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000333.

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2023Is attention-based stock buying profitable? Empirical evidence from Chinese individual investors. (2023). Zhang, Yixing ; Lu, Xiaomeng ; Chen, Chen. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23001919.

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2024Heterogeneity and time-varying efficiency in the Ecuadorian banking sector. An output distance stochastic frontier approach. (2024). Perez-Rodriguez, Jorge V ; Cortes-Garcia, Salvador J. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:164-175.

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2023Cost and quality of service performance in the Chilean water industry: A comparison of stochastic approaches. (2023). Mocholi-Arce, Manuel ; Sala-Garrido, Ramon ; Maziotis, Alexandros ; Molinos-Senante, Maria. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:67:y:2023:i:c:p:211-219.

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2023Dependence Analysis for the Energy Sector Based on Energy ETFs. (2023). Gorka, Joanna ; Kuziak, Katarzyna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1329-:d:1047966.

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2023Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach. (2023). Siemroth, Christoph ; Corgnet, Brice ; Desantis, Mark. In: Working Papers. RePEc:gat:wpaper:2313.

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2023When Do Security Markets Aggregate Dispersed Information?. (2023). Kimbrough, Erik O ; Hampton, Kyle ; Desantis, Mark ; Deck, Cary ; Corgnet, Brice. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:6:p:3697-3729.

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2023Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression. (2023). Karlsson, Hyunjoo Kim ; Li, Yushu. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10266-2.

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2024Investor Attention and Stock Liquidity in the Chinese Market. (2024). Zhang, Jianing ; Zhao, Weihan. In: International Advances in Economic Research. RePEc:kap:iaecre:v:30:y:2024:i:1:d:10.1007_s11294-024-09885-2.

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2023Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis. (2023). Skjold, Christian ; Westgaard, Sjur ; Osmundsen, Petter ; Frydenberg, Stein ; Mohanty, Sunil K. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:2:d:10.1007_s11156-022-01107-2.

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2023Oil price and stock returns in Europe. (2023). Antalik, Imrich ; Ormos, Mihaly ; Bota, Gabor. In: Entrepreneurship and Sustainability Issues. RePEc:ssi:jouesi:v:10:y:2023:i:3:p:329-339.

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Works by Helena Veiga:

YearTitleTypeCited
2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2003Forecasting Volatility Using A Continuous Time Model In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper0
2003Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data. In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper0
2005Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper1
2007Are Feedback Factors Important in Modeling Financial Data? In: International Review of Finance.
[Full Text][Citation analysis]		article0
2006Are feedback factors important in modelling financial data?.(2006) In: DES - Working Papers. Statistics and Econometrics. WS.
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This paper has nother version. Agregated cites: 0		paper
2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article1
2016A Bootstrap Approach for Generalized Autocontour Testing In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2016Efficiency evaluation of Spanish hotel chains In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2017Modeling and forecasting the oil volatility index In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper5
2019Modeling and forecasting the oil volatility index.(2019) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2019Data cloning estimation for asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper4
2020Data cloning estimation for asymmetric stochastic volatility models.(2020) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2019Exploring option pricing and hedging via volatility asymmetry In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2021Exploring Option Pricing and Hedging via Volatility Asymmetry.(2021) In: Computational Economics.
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This paper has nother version. Agregated cites: 0		article
2020Valuation in the energy sector: Fundamentals or bubbles? In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2022An experimental analysis of contagion in financial markets In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
2020Adaptative predictability of stock market returns In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2021Integrated nested Laplace approximations for threshold stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2006A two factor long memory stochastic volatility model In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2006Volatility forecasts: a continuous time model versus discrete time models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper28
2008Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH.(2008) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2007The sign of asymmetry and the Taylor Effect in stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2007Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2007The effect of realised volatility on stock returns risk estimates In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
2008The effect of short-selling of the aggregation of information in an experimental asset market In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper5
2008The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2008Aggregation and dissemination of information in experimental asset markets in the presence of a manipulator In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2008Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2009Wavelet-based detection of outliers in volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper3
2009Risk factors in oil and gas industry returns: international evidence In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper74
2011Risk factors in oil and gas industry returns: International evidence.(2011) In: Energy Economics.
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This paper has nother version. Agregated cites: 74		article
2010Outliers in Garch models and the estimation of risk measures In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2010Asymmetric effects of oil price fluctuations in international stock markets In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2011Forecasting volatility: does continuous time do better than discrete time? In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2012Asymmetric long-run effects in the oil industry In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2012Bayesian estimation of inefficiency heterogeneity in stochastic frontier models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
2013Correlations between oil and stock markets : a wavelet-based approach In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper54
2015Correlations between oil and stock markets: A wavelet-based approach.(2015) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		article
2013Predictability of stock market activity using Google search queries In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper9
2013One for all : nesting asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2013Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2014Outliers in multivariate Garch models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
2014Score driven asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2015Model uncertainty and the forecast accuracy of ARMA models: A survey In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2015An analysis of the dynamics of efficiency of mutual funds In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2009Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models In: Economics Bulletin.
[Full Text][Citation analysis]		article4
2009A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2010Wavelet-based detection of outliers in financial time series In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article13
2020Limited attention, salience of information and stock market activity In: Economic Modelling.
[Full Text][Citation analysis]		article8
2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation In: Econometrics and Statistics.
[Full Text][Citation analysis]		article4
2009Price manipulation in an experimental asset market In: European Economic Review.
[Full Text][Citation analysis]		article14
2006Price manipulation in an experimental asset market.(2006) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2015Dynamic effects in inefficiency: Evidence from the Colombian banking sector In: European Journal of Operational Research.
[Full Text][Citation analysis]		article36
2013Oil price asymmetric effects: Answering the puzzle in international stock markets In: Energy Economics.
[Full Text][Citation analysis]		article55
2017Threshold stochastic volatility: Properties and forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2008Accurate minimum capital risk requirements: A comparison of several approaches In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2010Information aggregation in experimental asset markets in the presence of a manipulator In: Experimental Economics.
[Full Text][Citation analysis]		article32
2014Bayesian estimation of inefficiency heterogeneity in stochastic frontier models In: Journal of Productivity Analysis.
[Full Text][Citation analysis]		article18
2012Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models.(2012) In: Efficiency Series Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2023Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach. In: Research Papers.
[Full Text][Citation analysis]		paper0
2012Asymmetry, realised volatility and stock return risk estimates In: Portuguese Economic Journal.
[Full Text][Citation analysis]		article1
2024Editors’ note In: Portuguese Economic Journal.
[Full Text][Citation analysis]		article0
2019Efficiency evaluation of hotel chains: a Spanish case study In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]		article3
2020A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities In: Econometric Reviews.
[Full Text][Citation analysis]		article2
2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper

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