Details about Alvaro Escribano

Homepage:	https://sites.google.com/view/uc3m-dpto-economia
Phone:	34-91-6249854
Postal address:	Department of Economics University Carlos III of Madrid Madrid 126 28903 Madrid Spain
Workplace:	Departamento de Economía (Department of Economics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Alvaro Escribano.

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Working Papers

2024

1. Anthropogenic effects of climate change: Further evidence from a fractionally integrated ice-age model
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
2. Breaking Boundaries: Lower Tail Dependence Can Triple the Economic Value of Index Insurance for Rural Households
   NBER Working Papers, National Bureau of Economic Research, Inc
3. Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
   See also Journal Article Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models, Energy Economics, Elsevier (2024) View citations (1) (2024)
4. Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2024)

2023

5. Monetary trends in the UK and the USA from 1874 to 2020: a nonlinear approach to money demand
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2022

6. High-Speed Rail: a panel data impact evaluation by Municipalities on depopulation and unemployment
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
7. Score-driven threshold ice-age models: benchmark models for long-run climate forecasts
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   See also Journal Article Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts, Energy Economics, Elsevier (2023) View citations (2) (2023)

2021

8. A structural analysis of the merit-order effect in the Spanish day-ahead power market
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
9. Robust estimation and forecasting of climate change using score-driven ice-age models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   See also Journal Article Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models, Econometrics, MDPI (2022) View citations (3) (2022)

2020

10. Dynamic stochastic general equilibrium inference using a score-driven approach
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
11. European gasoline markets: price transmission asymmetries in mean and variance
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)
    See also Journal Article European gasoline markets: price transmission asymmetries in mean and variance, Applied Economics, Taylor & Francis Journals (2020) View citations (3) (2020)
12. Forecasting gasoline prices with mixed random forest error correction models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
13. Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
14. Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2019

15. Co-integration and common trends analysis with score-driven models: an application to the federal funds effective rate and US inflation rate
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
16. Efectos de la digitalización y la productividad en la economía española: una comparación internacional
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
17. Investment Climate Effects on Alternative Firm-Level Productivity Measures
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
18. Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
19. Maximum likelihood estimation of score-driven models with dynamic shape parameters: an application to Monte Carlo value-at-risk
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
20. Score-driven time series models with dynamic shape: an application to the Standard & Poor's 500 index
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
21. Transporte, infraestructura y crecimiento económico en España
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2018

22. Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
23. Seasonal quasi-vector autoregressive models for macroeconomic data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
24. Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2017

25. Dynamic conditional score models with time-varying location, scale and shape parameters
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)
26. Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
    See also Journal Article Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2018) View citations (4) (2018)
27. Score-driven non-linear multivariate dynamic location models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (4)

2016

28. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
    MPRA Paper, University Library of Munich, Germany
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2016)
    See also Journal Article Equation-by-equation estimation of multivariate periodic electricity price volatility, Energy Economics, Elsevier (2018) View citations (7) (2018)
29. Score-driven dynamic patent count panel data models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (7)
    See also Journal Article Score-driven dynamic patent count panel data models, Economics Letters, Elsevier (2016) View citations (7) (2016)

2015

30. Dynamic conditional score patent count panel data models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2014

31. Propensity to patent, R&D and market competition: dynamic spillovers of innovation leaders and followers
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)

2013

32. Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown, Computational Statistics & Data Analysis, Elsevier (2016) View citations (20) (2016)
33. Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
    MPRA Paper, University Library of Munich, Germany View citations (6)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2013) View citations (3)

2012

34. Patents, secret innovations and firm's rate of return: differential effects of the innovation leader
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
35. Robust investment climate effects on alternative firm-level productivity measures
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2011

36. Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations
    Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales View citations (2)
37. Catching up in total factor productivity through the business cycle: Evidence from Spanish manufacturing firms
    Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales View citations (3)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) View citations (12)
38. EU Patent System: to be or not to be?
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2010

39. Assessing the impact of infrastructure quality on firm productivity in Africa: cross-country comparisons based on investment climate surveys from 1999 to 2005
    Policy Research Working Paper Series, The World Bank View citations (16)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) View citations (4)
40. Empirical econometric evaluation of alternative methods of dealing with missing values in investment climate surveys
    Policy Research Working Paper Series, The World Bank
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009)
41. Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors
    Post-Print, HAL View citations (11)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) View citations (1)
    See also Journal Article Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors, Journal of Econometrics, Elsevier (2010) View citations (15) (2010)
42. The power log-GARCH model
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (7)

2009

43. Automated financial multi-path GETS modelling
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2008

44. Investment climate and firm’s economic performance: econometric methodology and application to Turkey's investment climate survey
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)
45. Investment climate assessment based on demean Olley and Pakes decompositions: methodology and application to Turkey's investment climate survey
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (8)
46. Robust methodology for investment climate assessment on productivity: application to investment climate surveys from Central America
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (9)

2005

47. Assessing the impact of the investment climate on productivity using firm-level data: methodology and the cases of Guatemala, Honduras, and Nicaragua
    Policy Research Working Paper Series, The World Bank View citations (93)

2004

48. A range unit root test
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2003) View citations (2)

2003

49. Cointegration tests based on record counting statistics
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
50. IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS
    Working Papers, University of California, Davis, Department of Economics
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1997) View citations (6)
    Department of Economics, California Davis - Department of Economics View citations (35)

2002

51. Effects of Applying Linear and Nonlinear Filters on Tests for Unit Roots with Additive Outliers
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
52. Modeling electricity prices: international evidence
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (78)
    See also Journal Article Modelling Electricity Prices: International Evidence, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2011) View citations (111) (2011)

2001

53. Nonlinear error correction models
    Documentos de trabajo conjunto ULL-ULPGC, Facultad de Ciencias Económicas de la ULPGC View citations (25)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1997) View citations (4)
    See also Journal Article Nonlinear error correction models, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (29) (2002)

2000

54. A model free cointegration approach for pairs of I(d) variables
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
55. Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
56. BLM: bidimensional approach to measure liquidity
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (1)
57. Dynamic asymmetries in bid-ask responses to innovations in the trading process
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
58. Outliers robust ECM cointegration test based on the trend components
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Outliers - robust ECM cointegration tests based on the trend components, Spanish Economic Review, Springer (2004) View citations (4) (2004)
59. Syncronicity between macroeconomic time series: an exploratory analysis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)

1999

60. A new instrumental variable approach for estimation and testing in fractional cointegrating regressions
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
61. How does liquidity behave? A multidimensional analysis of NYSE stocks
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

1998

62. A characterization of cointegrating relationships using induced-order statistics
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
63. Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test, TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer (2006) View citations (4) (2006)
64. Cointegration testing using the ranges
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
65. Detrending procedures and cointegration testing: ECM tests under structural breaks
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
66. Nonlinearities and outliers: robust specification of STAR models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)

1997

67. Information-theoretic analysis of seral dependence and cointegration
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
    See also Journal Article Information-Theoretic Analysis of Serial Dependence and Cointegration, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1998) View citations (12) (1998)
68. Nonlinear cointegration with mixing errors
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (7)
69. Searching for linear and nonlinear cointegration: a new approach
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
70. Testing nonlinearity: decision rules for selecting between logistic and exponential star models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
    See also Journal Article Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models, Spanish Economic Review, Springer (2001) View citations (42) (2001)

1996

71. Nonlinear cointegration and nonlinear error correction
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (10)

1995

72. Investigating the relationship between gold and silver prices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (22)
73. Nonlinear time series models: consistency and asymptotic normality of nls under new conditions
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)

1993

74. Asymmetric and time-varying error-correction: an application to labour demand in the UK
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

1991

75. Nonlinear error correction, asymmetric adjusment and cointegration
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

1987

76. Co-integration, time co-trends and error-correction systems: an alternative approach
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
77. Error-correction systems: nonlinear adjustments to linear long-run relationships
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (15)

Journal Articles

2024

1. Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models
   Energy Economics, 2024, 134, (C) View citations (1)
   See also Working Paper Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models, UC3M Working papers. Economics (2024) View citations (1) (2024)
2. Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
   Macroeconomic Dynamics, 2024, 28, (1), 32-50
3. Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (1), 61-82

2023

4. Anticipating extreme losses using score-driven shape filters
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 449-484 View citations (1)
5. Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate
   Macroeconomic Dynamics, 2023, 27, (1), 203-223
6. Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts
   Energy Economics, 2023, 118, (C) View citations (2)
   See also Working Paper Score-driven threshold ice-age models: benchmark models for long-run climate forecasts, UC3M Working papers. Economics (2022) (2022)

2022

7. Multivariate Markov-switching score-driven models: an application to the global crude oil market
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (3), 313-335 View citations (1)
8. Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models
   Econometrics, 2022, 10, (1), 1-29 View citations (3)
   See also Working Paper Robust estimation and forecasting of climate change using score-driven ice-age models, UC3M Working papers. Economics (2021) (2021)
9. What drives spectrum prices in multi-band spectrum markets? An empirical analysis of 4G and 5G auctions in Europe
   Applied Economics, 2022, 54, (5), 536-553

2021

10. 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial
    International Journal of Forecasting, 2021, 37, (4), 1333-1337
11. Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models
    Journal of Econometric Methods, 2021, 10, (1), 53-66
12. Mixed random forest, cointegration, and forecasting gasoline prices
    International Journal of Forecasting, 2021, 37, (4), 1442-1462 View citations (7)

2020

13. European gasoline markets: price transmission asymmetries in mean and variance
    Applied Economics, 2020, 52, (42), 4621-4638 View citations (3)
    See also Working Paper European gasoline markets: price transmission asymmetries in mean and variance, UC3M Working papers. Economics (2020) View citations (3) (2020)

2018

14. A new Cramer-Von Misses cointegration test with application to environmental Kuznets curve
    Applied Economics, 2018, 50, (36), 3966-3978
15. Equation-by-equation estimation of multivariate periodic electricity price volatility
    Energy Economics, 2018, 74, (C), 287-298 View citations (7)
    See also Working Paper Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility, MPRA Paper (2016) (2016)
16. Estimation of log-GARCH models in the presence of zero returns
    The European Journal of Finance, 2018, 24, (10), 809-827 View citations (8)
17. Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 19 View citations (4)
    See also Working Paper Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market, UC3M Working papers. Economics (2017) View citations (1) (2017)

2017

18. The impact of health research on length of stay in Spanish public hospitals
    Research Policy, 2017, 46, (3), 591-604 View citations (2)

2016

19. Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
    Computational Statistics & Data Analysis, 2016, 100, (C), 582-594 View citations (20)
    See also Working Paper Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown, MPRA Paper (2013) View citations (10) (2013)
20. Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers
    Journal of Econometrics, 2016, 191, (1), 145-163 View citations (19)
21. Score-driven dynamic patent count panel data models
    Economics Letters, 2016, 149, (C), 116-119 View citations (7)
    See also Working Paper Score-driven dynamic patent count panel data models, UC3M Working papers. Economics (2016) View citations (7) (2016)

2014

22. Does recession drive convergence in firms’ productivity? Evidence from Spanish manufacturing firms
    Journal of Productivity Analysis, 2014, 41, (3), 339-349 View citations (17)

2012

23. Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications
    Oxford Bulletin of Economics and Statistics, 2012, 74, (5), 716-735 View citations (15)

2011

24. Modelling Electricity Prices: International Evidence
    Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 622-650 View citations (111)
    See also Working Paper Modeling electricity prices: international evidence, UC3M Working papers. Economics (2002) View citations (78) (2002)

2010

25. Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors
    Journal of Econometrics, 2010, 159, (1), 14-32 View citations (15)
    See also Working Paper Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors, Post-Print (2010) View citations (11) (2010)

2009

26. INVESTMENT CLIMATE ASSESSMENT IN INDONESIA, MALAYSIA, THE PHILIPPINES AND THAILAND: RESULTS FROM POOLING FIRM-LEVEL DATA
    The Singapore Economic Review (SER), 2009, 54, (03), 335-366 View citations (4)
27. Managing external knowledge flows: The moderating role of absorptive capacity
    Research Policy, 2009, 38, (1), 96-105 View citations (225)

2008

28. Testing for cointegration using induced-order statistics
    Computational Statistics, 2008, 23, (1), 131-151 View citations (1)

2007

29. The Econometrics of Industrial Organization
    Journal of Applied Econometrics, 2007, 22, (7), 1153-1156 View citations (1)

2006

30. Asymmetries in bid and ask responses to innovations in the trading process
    Empirical Economics, 2006, 30, (4), 913-946 View citations (22)
    See also Chapter Asymmetries in bid and ask responses to innovations in the trading process, Studies in Empirical Economics, 2008, 49-82 (2008) (2008)
31. Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2006, 15, (1), 179-208 View citations (4)
    See also Working Paper Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test, DES - Working Papers. Statistics and Econometrics. WS (1998) (1998)
32. Range Unit‐Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
    Journal of Time Series Analysis, 2006, 27, (4), 545-576 View citations (28)

2004

33. Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis
    Journal of Banking & Finance, 2004, 28, (1), 107-128 View citations (7)
34. NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
    Macroeconomic Dynamics, 2004, 8, (1), 76-116 View citations (22)
35. On the bi-dimensionality of liquidity
    The European Journal of Finance, 2004, 10, (6), 542-566 View citations (4)
36. Outliers - robust ECM cointegration tests based on the trend components
    Spanish Economic Review, 2004, 6, (4), 243-266 View citations (4)
    See also Working Paper Outliers robust ECM cointegration test based on the trend components, DES - Working Papers. Statistics and Econometrics. WS (2000) (2000)

2002

37. INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
    Econometric Theory, 2002, 18, (3), 646-672 View citations (6)
38. Nonlinear error correction models
    Journal of Time Series Analysis, 2002, 23, (5), 509-522 View citations (29)
    See also Working Paper Nonlinear error correction models, Documentos de trabajo conjunto ULL-ULPGC (2001) View citations (25) (2001)

2001

39. Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models
    Spanish Economic Review, 2001, 3, (3), 193-209 View citations (42)
    See also Working Paper Testing nonlinearity: decision rules for selecting between logistic and exponential star models, DES - Working Papers. Statistics and Econometrics. WS (1997) View citations (1) (1997)

2000

40. Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 23-52 View citations (13)

1999

41. Predicción y análisis de funciones de exportación e importación en España
    Investigaciones Economicas, 1999, 23, (1), 55-94 View citations (1)

1998

42. Information-Theoretic Analysis of Serial Dependence and Cointegration
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 24 View citations (12)
    See also Working Paper Information-theoretic analysis of seral dependence and cointegration, DES - Working Papers. Statistics and Econometrics. WS (1997) View citations (1) (1997)
43. Non-linear error correction, asymmetric adjustment and cointegration
    Economic Modelling, 1998, 15, (2), 197-216 View citations (36)
44. The Spanish 1898 Disaster: The Drift towards Natonal-Protectionism
    Revista de Historia Económica / Journal of Iberian and Latin American Economic History, 1998, 16, (1), 265-290

1996

45. Editor's introduction: Asymmetries and nonlinearities in dynamic economic models
    Journal of Econometrics, 1996, 74, (1), 1-2

1995

46. PcGive Professional 8: A Review
    Journal of Applied Econometrics, 1995, 10, (1), 79-86

1994

47. COINTEGRATION AND COMMON FACTORS
    Journal of Time Series Analysis, 1994, 15, (6), 577-586 View citations (32)

Books

2021

1. Productivity in Emerging Countries
   Cambridge Books, Cambridge University Press

Chapters

2008

1. Asymmetries in bid and ask responses to innovations in the trading process
   Springer
   See also Journal Article Asymmetries in bid and ask responses to innovations in the trading process, Springer (2006) View citations (22) (2006)