Details about M. Angeles Carnero

Access statistics for papers by M. Angeles Carnero.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pca153

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)
   See also Journal Article Outliers and misleading leverage effect in asymmetric GARCH-type models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2021) (2021)

2014

2. 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
   See also Journal Article Identification of asymmetric conditional heteroscedasticity in the presence of outliers, SERIEs: Journal of the Spanish Economic Association, Springer (2016) View citations (7) (2016)

2012

3. Estimating VAR-MGARCH models in multiple steps
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (11)
   See also Journal Article Estimating VAR-MGARCH models in multiple steps, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) View citations (14) (2014)

2011

4. Rental Housing Discrimination and the Persistence of Ethnic Enclaves
   IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (9)
   Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2011) 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) View citations (6) (2015)

2010

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

2009

6. 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) 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) View citations (101) (2010)

2008

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

2005

8. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
   Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (155) (2007)

2004

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

2001

13. Is stochastic volatility more flexible than garch?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)
14. Outliers and conditional autoregressive heteroscedasticity in time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (25)

Journal Articles

2023

1. Skewness in energy returns: estimation, testing and retain-->implications for tail risk
   The Quarterly Review of Economics and Finance, 2023, 90, (C), 178-189 View citations (1)

2021

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

2019

3. Leverage effect in energy futures revisited
   Energy Economics, 2019, 82, (C), 237-252 View citations (6)

2018

4. Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS
   Energies, 2018, 11, (11), 1-23 View citations (7)

2016

5. Identification of asymmetric conditional heteroscedasticity in the presence of outliers
   SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 179-201 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) (2014)

2015

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

2014

8. Estimating VAR-MGARCH models in multiple steps
   Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 339-365 View citations (14)
   See also Working Paper Estimating VAR-MGARCH models in multiple steps, Working Papers. Serie AD (2012) View citations (11) (2012)

2012

9. Estimating GARCH volatility in the presence of outliers
   Economics Letters, 2012, 114, (1), 86-90 View citations (41)
10. Mobbing and workers’ health: empirical analysis for Spain
    International Journal of Manpower, 2012, 33, (3), 322-339 View citations (5)
    See also Working Paper Mobbing and workers' health: an empirical analysis for Spain, Working Papers. Serie AD (2010) (2010)

2010

11. Information and discrimination in the rental housing market: Evidence from a field experiment
    Regional Science and Urban Economics, 2010, 40, (1), 11-19 View citations (101)
    See also Working Paper Information and discrimination in the rental housing market: evidence from a field experiment, Working Papers. Serie AD (2009) View citations (12) (2009)
12. Mobbing and its determinants: the case of Spain
    Applied Economics, 2010, 42, (29), 3777-3787 View citations (2)

2007

13. Effects of outliers on the identification and estimation of GARCH models
    Journal of Time Series Analysis, 2007, 28, (4), 471-497 View citations (60)
14. Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
    Journal of the American Statistical Association, 2007, 102, 16-27 View citations (155)
    See also Working Paper Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices, Tinbergen Institute Discussion Papers (2005) View citations (4) (2005)

2004

15. Persistence and Kurtosis in GARCH and Stochastic Volatility Models
    Journal of Financial Econometrics, 2004, 2, (2), 319-342 View citations (98)