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Details about Jesus Gonzalo

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Homepage:http://www.eco.uc3m.es/jgonzalo
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 Jesus Gonzalo.

Last updated 2017-04-05. Update your information in the RePEc Author Service.

Short-id: pgo192


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Working Papers

2017

  1. The Reaction of Stock Market Returns to Unemployment
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  2. Trends in distributional characteristics: Existence of global warming
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2016

  1. Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2015

  1. Inferring the predictability induced by a persistent regressor in a predictive threshold model
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads

2013

  1. Co-summability from linear to non-linear cointegration
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (14)
  2. Conditional stochastic dominance tests in dynamic settings
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) Downloads View citations (1)

    See also Journal Article in International Economic Review (2014)
  3. Detecting Big Structural Breaks in Large Factor Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (8)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2014)

2012

  1. Estimation and inference in threshold type regime switching models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
    See also Chapter (2013)
  2. The reaction of stock market returns to anticipated unemployment
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads

2011

  1. Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (11)

2010

  1. Regime Specific Predictability in Predictive Regressions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) Downloads View citations (6)

    See also Journal Article in Journal of Business & Economic Statistics (2011)

2009

  1. Downside Risk Efficiency Under Market Distress
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2008

  1. Modelling and Measuring Price Discovery in Commodity Markets
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads View citations (1)
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2007) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2010)
  2. Simple Wald tests of the fractional integration parameter: an overview of new results
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  3. Testing Downside Risk Efficiency Under Market Distress
    Working Papers, Department of Economics, City University London Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads

2007

  1. Permanent and transitory components of GDP and stock prices: further analysis
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article in Macroeconomics and Finance in Emerging Market Economies (2008)
  2. The impact of heavy tails and comovements in downside-risk diversification
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    Also in Working Papers, Department of Economics, City University London (2007) Downloads
  3. Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)

2006

  1. Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
  2. Threshold effects in cointegrating relationships
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (21)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)

2005

  1. Contagion versus flight to quality in financial markets
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (10)
  2. Testing I(1) against I(d) alternatives in the presence of deteministic components
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (8)
  3. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
    Working Papers, Czech National Bank, Research Department Downloads View citations (29)
  4. What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (1)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2005) Downloads View citations (16)

2004

  1. Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (4)
    Also in DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía (2003) Downloads
  2. Which Extreme Values are Really Extremes?
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (9)
    See also Journal Article in Journal of Financial Econometrics (2004)

2003

  1. Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (6)

2001

  1. Lag Length Estimation in Large Dimensional Systems
    Econometrics, EconWPA Downloads View citations (11)
    Also in Econometrics, EconWPA (2001) Downloads
  2. Subsampling inference in threshold autoregressive models
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2005)

2000

  1. Econometric implications of non-exact present value models
    DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía Downloads

1997

  1. Threshold unit root models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (5)

1996

  1. A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (5)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1996) Downloads View citations (6)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (5)

    See also Journal Article in Journal of Economic Dynamics and Control (2001)
  2. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. Non-exact present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  4. On the robustness of cointegration tests when series are fractionally integrated
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside (1995) View citations (1)

    See also Journal Article in Journal of Applied Statistics (2000)
  5. P-values for non-standard distributions with an application to the DF test
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (4)
    Also in Boston University - Institute for Economic Development, Boston University, Institute for Economic Development (1995) View citations (3)

    See also Journal Article in Economics Letters (1996)

1995

  1. Comovements in large systems
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) Downloads View citations (6)
  2. No lack of relative power of the Dickey-Fuller tests for unit roots
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors
    Working Papers, Boston University - Department of Economics
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995) Downloads
  4. Pitfalls in Testing for Long Run Relationships
    Working Papers, Boston University - Department of Economics View citations (17)
    See also Journal Article in Journal of Econometrics (1998)
  5. Relative Power of t Type Tests of Stationary and Unit Root Processes
    Working Papers, Boston University - Department of Economics View citations (1)

1992

  1. Cointegration and Aggregation
    Working Papers, Boston University - Department of Economics View citations (3)
    See also Journal Article in Ricerche Economiche (1993)
  2. Estimation of Common Long-Memory Components in Cointegrated Systems
    Working Papers, Boston University - Department of Economics View citations (95)
    See also Journal Article in Journal of Business & Economic Statistics (1995)

Journal Articles

2014

  1. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
    International Economic Review, 2014, 55, 819-838 Downloads View citations (4)
    See also Working Paper (2013)
  2. Detecting big structural breaks in large factor models
    Journal of Econometrics, 2014, 180, (1), 30-48 Downloads View citations (21)
    See also Working Paper (2013)
  3. Summability of stochastic processes—A generalization of integration for non-linear processes
    Journal of Econometrics, 2014, 178, (P2), 331-341 Downloads View citations (11)

2011

  1. Regime-Specific Predictability in Predictive Regressions
    Journal of Business & Economic Statistics, 2011, 30, (2), 229-241 Downloads
    See also Working Paper (2010)

2010

  1. Modelling and measuring price discovery in commodity markets
    Journal of Econometrics, 2010, 158, (1), 95-107 Downloads View citations (30)
    See also Working Paper (2008)
  2. The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"
    Journal of Financial Econometrics, 2010, 8, (2), 174-176 Downloads

2008

  1. Permanent and transitory components of GDP and stock prices: further analysis
    Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 105-120 Downloads
    See also Working Paper (2007)
  2. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
    Review of Financial Studies, 2008, 21, (3), 1187-1222 Downloads View citations (194)
  3. Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (4), 1-35 Downloads View citations (1)
    See also Working Paper (2007)

2006

  1. Large shocks vs. small shocks. (Or does size matter? May be so.)
    Journal of Econometrics, 2006, 135, (1-2), 311-347 Downloads View citations (6)
  2. Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
    Journal of Econometrics, 2006, 135, (1-2), 1-9 Downloads View citations (2)
  3. Threshold Effects in Cointegrating Relationships
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 813-833 Downloads View citations (32)
    See also Working Paper (2006)

2005

  1. Subsampling inference in threshold autoregressive models
    Journal of Econometrics, 2005, 127, (2), 201-224 Downloads View citations (35)
    See also Working Paper (2001)

2004

  1. Which Extreme Values Are Really Extreme?
    Journal of Financial Econometrics, 2004, 2, (3), 349-369 Downloads View citations (13)
    See also Working Paper (2004)

2003

  1. Long-range dependence in Spanish political opinion poll series
    Journal of Applied Econometrics, 2003, 18, (2), 137-155 Downloads View citations (16)

2002

  1. A Fractional Dickey-Fuller Test for Unit Roots
    Econometrica, 2002, 70, (5), 1963-2006 Downloads View citations (45)
  2. Estimation and model selection based inference in single and multiple threshold models
    Journal of Econometrics, 2002, 110, (2), 319-352 Downloads View citations (75)

2001

  1. A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1527-1546 Downloads View citations (90)
    See also Working Paper (1996)

2000

  1. On the robustness of cointegration tests when series are fractionally intergrated
    Journal of Applied Statistics, 2000, 27, (7), 821-827 Downloads View citations (3)
    See also Working Paper (1996)

1998

  1. On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors
    International Economic Review, 1998, 39, (1), 71-88 View citations (7)
  2. Pitfalls in testing for long run relationships
    Journal of Econometrics, 1998, 86, (1), 129-154 Downloads View citations (96)
    See also Working Paper (1995)
  3. Specification via model selection in vector error correction models
    Economics Letters, 1998, 60, (3), 321-328 Downloads View citations (36)

1997

  1. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 Downloads View citations (26)

1996

  1. P-Values for non-standard distributions with an application to the DF test
    Economics Letters, 1996, 50, (2), 155-160 Downloads View citations (4)
    See also Working Paper (1996)

1995

  1. Estimation of Common Long-Memory Components in Cointegrated Systems
    Journal of Business & Economic Statistics, 1995, 13, (1), 27-35 View citations (363)
    See also Working Paper (1992)

1994

  1. Five alternative methods of estimating long-run equilibrium relationships
    Journal of Econometrics, 1994, 60, (1-2), 203-233 Downloads View citations (478)

1993

  1. Cointegration and aggregation
    Ricerche Economiche, 1993, 47, (3), 281-291 Downloads View citations (7)
    See also Working Paper (1992)

Chapters

2013

  1. Estimation and inference in threshold type regime switching models
    Chapter 8 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 189-205 Downloads
    See also Working Paper (2012)

Software Items

 
Page updated 2017-06-27