Details about Emma M. Iglesias

Access statistics for papers by Emma M. Iglesias.

Last updated 2009-11-30. Update your information in the RePEc Author Service.

Short-id: pig10

Working Papers

2009

1. Estimation of tail thickness parameters from GJR-GARCH models
   Economics Working Papers, Universidad Carlos III, Departamento de Economía

2008

2. Extending the Use of the Block-Block Bootstrap to AR(∞) Processes
   Staff General Research Papers, Iowa State University, Department of Economics
3. Semiparametric Inference in a GARCH-in-Mean Model
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
4. The limiting properties of the QMLE in a general class of asymmetric volatility models
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2006

5. Testing for Breaks Using Alternating Observations
   Staff General Research Papers, Iowa State University, Department of Economics

2004

6. Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors
   Econometric Society 2004 North American Summer Meetings, Econometric Society
7. MULTIVARIATE ARCH MODELS: FINITE SAMPLE PROPERTIES OF ML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
8. Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances
   Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations
9. The estimation of simultaneous equation models under conditional heteroscedasticity
   Econometric Society 2004 Latin American Meetings, Econometric Society

Journal Articles

2009

1. Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)
   Journal of International Money and Finance, 2009, 28, (3), 496-521 View citations
2. Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation
   Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2)
3. Volatility spill-overs in commodity spot prices: New empirical results
   Economic Modelling, 2009, 26, (3), 601-607

2008

4. Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence
   Economics Letters, 2008, 99, (2), 393-397 View citations
5. Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
   Journal of Econometrics, 2008, 144, (2), 500-510 View citations
6. Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation
   Journal of Time Series Analysis, 2008, 29, (4), 719-737 View citations

2007

7. HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
   Econometric Theory, 2007, 23, (06), 1136-1161

2006

8. Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models
   Economics Letters, 2006, 93, (2), 261-266

2005

9. Analysing one-month Euro-market interest rates by fractionally integrated models
   Applied Financial Economics, 2005, 15, (2), 95-106 View citations
10. BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
    Econometric Theory, 2005, 21, (06), 1058-1086

2003

11. Another look about the evolution of the risk premium: a VAR-GARCH-M model
    Economic Modelling, 2003, 20, (4), 777-789

2001

12. Análisis de las relaciones entre el tipo de interés a corto plazo y su incertidumbre en Alemania, España y Suiza
    Estudios de Economía Aplicada, 2001, 19, 37-47
13. Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models
    Economics Letters, 2001, 74, (1), 21-24