Details about Juncal Cuñado

Access statistics for papers by Juncal Cuñado.

Last updated 2020-11-05. Update your information in the RePEc Author Service.

Short-id: pcu62

Working Papers

2020

1. Oil Price and Exchange Rate Behaviour of the BRICS for Over a Century
   Working Papers, University of Pretoria, Department of Economics View citations (8)
2. Stock Markets and Exchange Rate Behaviour of the BRICS
   Working Papers, University of Pretoria, Department of Economics View citations (2)

2019

3. Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States
   Working Papers, University of Pretoria, Department of Economics
4. Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains
   Working Papers, University of Pretoria, Department of Economics

2018

5. Oil volatility, oil and gas firms and portfolio diversification
   BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University View citations (166)
   See also Journal Article Oil volatility, oil and gas firms and portfolio diversification, Energy Economics, Elsevier (2018) View citations (131) (2018)
6. Time-Varying Impact of Geopolitical Risks on Oil Prices
   Working Papers, University of Pretoria, Department of Economics View citations (4)

2016

7. Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (15) (2017)
8. Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model
   Working Papers, University of Pretoria, Department of Economics
9. Is Inflation Persistence Different in Reality?
   Working Papers, University of Pretoria, Department of Economics View citations (11)
   See also Journal Article Is inflation persistence different in reality?, Economics Letters, Elsevier (2016) View citations (11) (2016)
10. Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013
    Working Papers, University of Pretoria, Department of Economics
11. The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis, Finance Research Letters, Elsevier (2018) View citations (10) (2018)

2015

12. Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
13. Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data
    Working Papers, University of Pretoria, Department of Economics
14. Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates, Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer (2017) View citations (3) (2017)
15. Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies
    Staff Working Papers, Bank of Canada View citations (21)
16. The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (6)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
    See also Journal Article The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis, Empirical Economics, Springer (2018) View citations (1) (2018)
17. The Resource Curse Hypothesis Revisited: Evidence from a Panel VAR
    MPRA Paper, University Library of Munich, Germany

2013

18. Life Satisfaction and Air Quality in Europe
    Stirling Economics Discussion Papers, University of Stirling, Division of Economics View citations (109)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (7)
    See also Journal Article Life satisfaction and air quality in Europe, Ecological Economics, Elsevier (2013) View citations (113) (2013)

2012

19. Modelling Long Run Trends and Cycles in Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
    Also in CESifo Working Paper Series, CESifo (2008) View citations (2)
    See also Journal Article Modelling long-run trends and cycles in financial time series data, Journal of Time Series Analysis, Wiley Blackwell (2013) View citations (2) (2013)

2011

20. The Macroeconomic Impacts of Natural Disasters: New Evidence from Floods
    2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania, Agricultural and Applied Economics Association View citations (8)

2009

21. AK growth models: new evidence based on fractional integration and breaking trends
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
    See also Journal Article AK growth models: new evidence based on fractional integration and breaking trends, Recherches économiques de Louvain, De Boeck Université (2009) View citations (4) (2009)

2007

22. Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
    CESifo Working Paper Series, CESifo View citations (4)
23. Real convergence in some emerging countries: a fractionally integrated approach
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
    See also Journal Article Real convergence in some emerging countries: a fractionally integrated approach, Recherches économiques de Louvain, De Boeck Université (2007) View citations (2) (2007)
24. Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
    See also Journal Article Tourism in the Canary Islands: forecasting using several seasonal time series models, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) View citations (22) (2008)

2006

25. Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (27)

2004

26. Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (8)
    See also Journal Article Oil prices, economic activity and inflation: evidence for some Asian countries, The Quarterly Review of Economics and Finance, Elsevier (2005) View citations (349) (2005)

2003

27. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
    See also Journal Article Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2006) View citations (11) (2006)
28. Structural Changes in Volatility and Stock Market Development: Evidence for Spain
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
    See also Journal Article Structural changes in volatility and stock market development: Evidence for Spain, Journal of Banking & Finance, Elsevier (2004) View citations (6) (2004)

2002

29. Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
30. Stock Market Cycles and Stock Market Development in Spain
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra

2001

31. Do oil price shocks matter? Evidence for some European countries
    Working Papers, Asociación Española de Economía y Finanzas Internacionales
    Also in Working Papers on International Economics and Finance, FEDEA
    See also Journal Article Do oil price shocks matter? Evidence for some European countries, Energy Economics, Elsevier (2003) View citations (238) (2003)
32. INTERTEMPORAL CURRENT ACCOUNT AND PRODUCTIVITY SHOCKS: EVIDENCE FOR SOME EUROPEAN COUNTRIES
    Working Papers, Asociación Española de Economía y Finanzas Internacionales
    Also in Working Papers on International Economics and Finance, FEDEA

2000

33. REGIONAL DISPARITIES AND ASYMMETRIC SHOCKS: THE CASE OF THE SPANISH REGIONS
    ERSA conference papers, European Regional Science Association View citations (1)

Undated

34. Convergencia real o acercamiento cíclico? Espana y la Unión Europea
    Studies on the Spanish Economy, FEDEA
35. Inflación y rendimientos bursátiles en el caso espanol, 1941-1999
    Studies on the Spanish Economy, FEDEA
36. Tasa de sacrificio en la UEM: Un análisis empírico
    Studies on the Spanish Economy, FEDEA

Journal Articles

2020

1. Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data
   The North American Journal of Economics and Finance, 2020, 51, (C) View citations (18)

2019

2. Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
   Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (3), 17 View citations (9)
3. Persistence in trends and cycles of gold and silver prices: Evidence from historical data
   Physica A: Statistical Mechanics and its Applications, 2019, 514, (C), 345-354 View citations (8)

2018

4. Oil volatility, oil and gas firms and portfolio diversification
   Energy Economics, 2018, 70, (C), 499-515 View citations (131)
   See also Working Paper Oil volatility, oil and gas firms and portfolio diversification, BAFES Working Papers (2018) View citations (166) (2018)
5. The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis
   Finance Research Letters, 2018, 24, (C), 1-9 View citations (10)
   See also Working Paper The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis, Working Papers (2016) (2016)
6. The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis
   Empirical Economics, 2018, 55, (3), 913-935 View citations (1)
   See also Working Paper The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis, Discussion Papers of DIW Berlin (2015) View citations (6) (2015)
7. The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test
   Journal of Multinational Financial Management, 2018, 45, (C), 52-71 View citations (63)

2017

8. Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area
   Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 129-139 View citations (15)
   See also Working Paper Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area, Working Papers (2016) (2016)
9. Evidence of persistence in U.S. short and long-term interest rates
   Journal of Policy Modeling, 2017, 39, (5), 775-789 View citations (3)
10. Oil dependence, quality of political institutions and economic growth: A panel VAR approach
    Resources Policy, 2017, 53, (C), 147-163 View citations (47)
11. Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries
    Environmental & Resource Economics, 2017, 67, (4), 869-883 View citations (6)
12. Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 131, (1), 393-405 View citations (3)
    See also Working Paper Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates, Working Papers (2015) View citations (3) (2015)

2016

13. Is inflation persistence different in reality?
    Economics Letters, 2016, 148, (C), 55-58 View citations (11)
    See also Working Paper Is Inflation Persistence Different in Reality?, Working Papers (2016) View citations (11) (2016)
14. Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score
    Applied Economics, 2016, 48, (29), 2675-2696

2015

15. Macroeconomic impacts of oil price shocks in Asian economies
    Energy Policy, 2015, 86, (C), 867-879 View citations (86)

2014

16. Oil price shocks and stock market returns: Evidence for some European countries
    Energy Economics, 2014, 42, (C), 365-377 View citations (215)

2013

17. Environment and Happiness: New Evidence for Spain
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2013, 112, (3), 549-567 View citations (44)
18. Life satisfaction and air quality in Europe
    Ecological Economics, 2013, 88, (C), 1-10 View citations (113)
    See also Working Paper Life Satisfaction and Air Quality in Europe, Stirling Economics Discussion Papers (2013) View citations (109) (2013)
19. Modelling long-run trends and cycles in financial time series data
    Journal of Time Series Analysis, 2013, 34, (3), 405-421 View citations (2)
    See also Working Paper Modelling Long Run Trends and Cycles in Financial Time Series Data, Faculty Working Papers (2012) View citations (3) (2012)
20. Real convergence: empirical evidence for Latin America
    Applied Economics, 2013, 45, (22), 3220-3229 View citations (4)
21. Salient features of dependence in daily US stock market indices
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (15), 3198-3212 View citations (3)

2012

22. Does Education Affect Happiness? Evidence for Spain
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2012, 108, (1), 185-196 View citations (100)
23. Does Media Consumption Make Us Happy? Evidence for Spain
    Journal of Media Economics, 2012, 25, (1), 8-34 View citations (12)
24. Persistence, Long Memory, and Unit Roots in Commodity Prices
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2012, 60, (4), 451-468 View citations (6)
25. Real convergence in Latin America: a fractionally integrated approach
    Applied Financial Economics, 2012, 22, (20), 1713-1717
26. Testing for persistent deviations of stock prices to dividends in the Nasdaq index
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (20), 4675-4685
27. Unemployment hysteresis: empirical evidence for Latin America
    Journal of Applied Economics, 2012, 15, 213-233 View citations (12)

2011

28. La diversificación del riesgo en los mercados de deuda pública de la zona euro
    Cuadernos de Economía - Spanish Journal of Economics and Finance, 2011, 34, (94), 1-8
29. Structural breaks and real convergence in OPEC countries
    Journal of Applied Economics, 2011, 14, 101-117 View citations (10)

2010

30. European Current Account Sustainability: New Evidence Based On Unit Roots and Fractional Integration
    Eastern Economic Journal, 2010, 36, (2), 177-187 View citations (14)
31. Mean reversion in stock market prices: New evidence based on bull and bear markets
    Research in International Business and Finance, 2010, 24, (2), 113-122 View citations (8)
32. Persistence in some energy futures markets
    Journal of Futures Markets, 2010, 30, (5), 490-507 View citations (17)

2009

33. AK growth models: new evidence based on fractional integration and breaking trends
    Recherches économiques de Louvain, 2009, 75, (2), 131-149 View citations (4)
    See also Working Paper AK growth models: new evidence based on fractional integration and breaking trends, Discussion Papers (REL - Recherches Economiques de Louvain) (2009) View citations (2) (2009)
34. Financial liberalization, stock market volatility and outliers in emerging economies
    Applied Financial Economics, 2009, 19, (10), 809-823 View citations (2)
35. New evidence on long-run monetary neutrality
    Journal of Applied Economics, 2009, 12, 229-248

2008

36. New Evidence on US Current Account Sustainability
    International Journal of Business and Economics, 2008, 7, (1), 1-21 View citations (1)
37. Persistence in International Monthly Arrivals in the Canary Islands
    Tourism Economics, 2008, 14, (1), 123-129 View citations (4)
38. Stochastic volatility in the Spanish stock market: a long memory model with a structural break
    The European Journal of Finance, 2008, 14, (1), 23-31 View citations (1)
39. Tourism in the Canary Islands: forecasting using several seasonal time series models
    Journal of Forecasting, 2008, 27, (7), 621-636 View citations (22)
    See also Working Paper Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models, Faculty Working Papers (2007) View citations (1) (2007)
40. Trade Balance and Exchange Rate: Unit Roots, Co‐integration and Long Memory in the US and the UK
    Economic Notes, 2008, 37, (1), 59-74 View citations (4)

2007

41. Real convergence in some emerging countries: a fractionally integrated approach
    Recherches économiques de Louvain, 2007, 73, (3), 293-310 View citations (2)
    See also Working Paper Real convergence in some emerging countries: a fractionally integrated approach, Discussion Papers (REL - Recherches Economiques de Louvain) (2007) View citations (2) (2007)
42. Testing for stock market bubbles using nonlinear models and fractional integration
    Applied Financial Economics, 2007, 17, (16), 1313-1321 View citations (16)

2006

43. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Review of World Economics (Weltwirtschaftliches Archiv), 2006, 142, (1), 67-91 View citations (11)
    See also Working Paper Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach, Faculty Working Papers (2003) View citations (3) (2003)
44. Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization
    Emerging Markets Review, 2006, 7, (3), 261-278 View citations (32)
45. Real convergence in Africa in the second-half of the 20th century
    Journal of Economics and Business, 2006, 58, (2), 153-167 View citations (38)
46. Real convergence in some Central and Eastern European countries
    Applied Economics, 2006, 38, (20), 2433-2441 View citations (6)

2005

47. A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
    Journal of Banking & Finance, 2005, 29, (10), 2633-2654 View citations (69)
48. Current account and productivity: evidence for some European countries
    Journal of Policy Modeling, 2005, 27, (1), 75-89 View citations (1)
49. Oil prices, economic activity and inflation: evidence for some Asian countries
    The Quarterly Review of Economics and Finance, 2005, 45, (1), 65-83 View citations (349)
    See also Working Paper Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries, Faculty Working Papers (2004) View citations (8) (2004)

2004

50. Is the US fiscal deficit sustainable?: A fractionally integrated approach
    Journal of Economics and Business, 2004, 56, (6), 501-526 View citations (33)
51. Real convergence in Taiwan: a fractionally integrated approach
    Journal of Asian Economics, 2004, 15, (3), 529-547 View citations (2)
52. Structural changes in volatility and stock market development: Evidence for Spain
    Journal of Banking & Finance, 2004, 28, (7), 1745-1773 View citations (6)
    See also Working Paper Structural Changes in Volatility and Stock Market Development: Evidence for Spain, Faculty Working Papers (2003) View citations (3) (2003)

2003

53. Do oil price shocks matter? Evidence for some European countries
    Energy Economics, 2003, 25, (2), 137-154 View citations (238)
    See also Working Paper Do oil price shocks matter? Evidence for some European countries, Working Papers (2001) (2001)
54. Empirical evidence on real convergence in some OECD countries
    Applied Economics Letters, 2003, 10, (3), 173-176 View citations (9)

2000

55. Sectoral structure and real convergence among Spanish regions
    International Advances in Economic Research, 2000, 6, (2), 259-270

Chapters

2010

1. Education and happiness in Spain
   Chapter 10 in Investigaciones de Economía de la Educación 5, 2010, vol. 5, pp 206-222