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Details about M. Angeles Carnero

Homepage:http://fae.ua.es/FAEX/carnero-fernandezm-angeles/
Workplace:Departamento de Fundamentos del Análisis Económico (Department of Foundations of Economic Analysis), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Management), Universidad de Alicante (University of Alicante), (more information at EDIRC)

Access statistics for papers by M. Angeles Carnero.

Last updated 2023-03-14. Update your information in the RePEc Author Service.

Short-id: pca153


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Working Papers

2018

  1. Outliers and misleading leverage effect in asymmetric GARCH-type models
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    See also Journal Article Outliers and misleading leverage effect in asymmetric GARCH-type models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2021) Downloads (2021)

2014

  1. Identification of asymmetric conditional heteroscedasticity in the presence of outliers
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article Identification of asymmetric conditional heteroscedasticity in the presence of outliers, SERIEs: Journal of the Spanish Economic Association, Springer (2016) Downloads View citations (7) (2016)

2012

  1. Estimating VAR-MGARCH models in multiple steps
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (12)
    See also Journal Article Estimating VAR-MGARCH models in multiple steps, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) Downloads View citations (14) (2014)

2011

  1. Rental Housing Discrimination and the Persistence of Ethnic Enclaves
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (9)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2011) Downloads View citations (7)

    See also Journal Article Rental housing discrimination and the persistence of ethnic enclaves, SERIEs: Journal of the Spanish Economic Association, Springer (2015) Downloads View citations (6) (2015)

2010

  1. Mobbing and workers' health: an empirical analysis for Spain
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    See also Journal Article Mobbing and workers’ health: empirical analysis for Spain, International Journal of Manpower, Emerald Group Publishing Limited (2012) Downloads View citations (5) (2012)

2009

  1. Information and discrimination in the rental housing market: evidence from a field experiment
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (12)
    See also Journal Article Information and discrimination in the rental housing market: Evidence from a field experiment, Regional Science and Urban Economics, Elsevier (2010) Downloads View citations (95) (2010)

2008

  1. Estimating and Forecasting GARCH Volatility in the Presence of Outiers
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (3)

2005

  1. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    See also Journal Article Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices, Journal of the American Statistical Association, American Statistical Association (2007) Downloads View citations (151) (2007)

2004

  1. DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2003) Downloads View citations (3)
  2. Effects of Level Outliers on the Identification and Estimation of GARCH Models
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (1)
  3. Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (14)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) Downloads View citations (13)
  4. SPURIOUS AND HIDDEN VOLATILITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2004) Downloads View citations (2)

2001

  1. Is stochastic volatility more flexible than garch?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (5)
  2. Outliers and conditional autoregressive heteroscedasticity in time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (24)

Journal Articles

2021

  1. Outliers and misleading leverage effect in asymmetric GARCH-type models
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (1), 19 Downloads
    See also Working Paper Outliers and misleading leverage effect in asymmetric GARCH-type models, Working Papers. Serie AD (2018) Downloads (2018)

2019

  1. Leverage effect in energy futures revisited
    Energy Economics, 2019, 82, (C), 237-252 Downloads View citations (5)

2018

  1. Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS
    Energies, 2018, 11, (11), 1-23 Downloads View citations (6)

2016

  1. Identification of asymmetric conditional heteroscedasticity in the presence of outliers
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 179-201 Downloads View citations (7)
    See also Working Paper Identification of asymmetric conditional heteroscedasticity in the presence of outliers, DES - Working Papers. Statistics and Econometrics. WS (2014) Downloads (2014)

2015

  1. Explaining transactions in time banks in economic crisis
    Applied Economics Letters, 2015, 22, (9), 739-744 Downloads
  2. Rental housing discrimination and the persistence of ethnic enclaves
    SERIEs: Journal of the Spanish Economic Association, 2015, 6, (2), 129-152 Downloads View citations (6)
    See also Working Paper Rental Housing Discrimination and the Persistence of Ethnic Enclaves, IZA Discussion Papers (2011) Downloads View citations (9) (2011)

2014

  1. Estimating VAR-MGARCH models in multiple steps
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 27 Downloads View citations (14)
    See also Working Paper Estimating VAR-MGARCH models in multiple steps, Working Papers. Serie AD (2012) Downloads View citations (12) (2012)

2012

  1. Estimating GARCH volatility in the presence of outliers
    Economics Letters, 2012, 114, (1), 86-90 Downloads View citations (38)
  2. Mobbing and workers’ health: empirical analysis for Spain
    International Journal of Manpower, 2012, 33, (3), 322-339 Downloads View citations (5)
    See also Working Paper Mobbing and workers' health: an empirical analysis for Spain, Working Papers. Serie AD (2010) Downloads (2010)

2010

  1. Information and discrimination in the rental housing market: Evidence from a field experiment
    Regional Science and Urban Economics, 2010, 40, (1), 11-19 Downloads View citations (95)
    See also Working Paper Information and discrimination in the rental housing market: evidence from a field experiment, Working Papers. Serie AD (2009) Downloads View citations (12) (2009)
  2. Mobbing and its determinants: the case of Spain
    Applied Economics, 2010, 42, (29), 3777-3787 Downloads View citations (1)

2007

  1. Effects of outliers on the identification and estimation of GARCH models
    Journal of Time Series Analysis, 2007, 28, (4), 471-497 Downloads View citations (58)
  2. Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
    Journal of the American Statistical Association, 2007, 102, 16-27 Downloads View citations (151)
    See also Working Paper Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices, Tinbergen Institute Discussion Papers (2005) Downloads View citations (4) (2005)

2004

  1. Persistence and Kurtosis in GARCH and Stochastic Volatility Models
    Journal of Financial Econometrics, 2004, 2, (2), 319-342 Downloads View citations (90)
 
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