Details about Jesus Gonzalo

Access statistics for papers by Jesus Gonzalo.

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

Short-id: pgo192

Working Papers

2017

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

2016

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

2015

4. 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

2013

5. Co-summability from linear to non-linear cointegration
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (15)
6. Conditional stochastic dominance tests in dynamic settings
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) View citations (1)
   See also Journal Article in International Economic Review (2014)
7. Detecting Big Structural Breaks in Large Factor Models
   Economics Series Working Papers, University of Oxford, Department of Economics
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (8)
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) View citations (1)
   See also Journal Article in Journal of Econometrics (2014)

2012

8. Estimation and inference in threshold type regime switching models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)
   See also Chapter (2013)
9. The reaction of stock market returns to anticipated unemployment
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011)

2011

10. 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 View citations (11)

2010

11. Regime Specific Predictability in Predictive Regressions
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2011)

2009

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

2008

13. 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 View citations (1)
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2007) View citations (2)
    See also Journal Article in Journal of Econometrics (2010)
14. 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
15. Testing Downside Risk Efficiency Under Market Distress
    Working Papers, Department of Economics, City University London
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008)

2007

16. Permanent and transitory components of GDP and stock prices: further analysis
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
    See also Journal Article in Macroeconomics and Finance in Emerging Market Economies (2008)
17. The impact of heavy tails and comovements in downside-risk diversification
    Working Papers, Department of Economics, City University London
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2007)
18. 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 View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)

2006

19. 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 View citations (2)
20. Threshold effects in cointegrating relationships
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (22)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)

2005

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

2004

25. 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)
26. Which Extreme Values are Really Extremes?
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (9)
    See also Journal Article in Journal of Financial Econometrics (2004)

2003

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

2001

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

2000

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

1997

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

1996

32. A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1996) 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)
33. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
34. Non-exact present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
35. 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
    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)
36. 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 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

37. Comovements in large systems
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) View citations (6)
38. 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
39. 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 DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995)
40. 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)
41. Relative Power of t Type Tests of Stationary and Unit Root Processes
    Working Papers, Boston University - Department of Economics View citations (1)

1992

42. Cointegration and Aggregation
    Working Papers, Boston University - Department of Economics View citations (3)
    See also Journal Article in Ricerche Economiche (1993)
43. 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 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 View citations (22)
   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 View citations (12)

2011

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

2010

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

2008

7. Permanent and transitory components of GDP and stock prices: further analysis
   Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 105-120
   See also Working Paper (2007)
8. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
   Review of Financial Studies, 2008, 21, (3), 1187-1222 View citations (205)
9. 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 View citations (1)
   See also Working Paper (2007)

2006

10. Large shocks vs. small shocks. (Or does size matter? May be so.)
    Journal of Econometrics, 2006, 135, (1-2), 311-347 View citations (7)
11. 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 View citations (2)
12. Threshold Effects in Cointegrating Relationships
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 813-833 View citations (33)
    See also Working Paper (2006)

2005

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

2004

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

2003

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

2002

16. A Fractional Dickey-Fuller Test for Unit Roots
    Econometrica, 2002, 70, (5), 1963-2006 View citations (46)
17. Estimation and model selection based inference in single and multiple threshold models
    Journal of Econometrics, 2002, 110, (2), 319-352 View citations (77)

2001

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

2000

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

1998

20. 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)
21. Pitfalls in testing for long run relationships
    Journal of Econometrics, 1998, 86, (1), 129-154 View citations (96)
    See also Working Paper (1995)
22. Specification via model selection in vector error correction models
    Economics Letters, 1998, 60, (3), 321-328 View citations (36)

1997

23. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 View citations (28)

1996

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

1995

25. Estimation of Common Long-Memory Components in Cointegrated Systems
    Journal of Business & Economic Statistics, 1995, 13, (1), 27-35 View citations (368)
    See also Working Paper (1992)

1994

26. Five alternative methods of estimating long-run equilibrium relationships
    Journal of Econometrics, 1994, 60, (1-2), 203-233 View citations (479)

1993

27. Cointegration and aggregation
    Ricerche Economiche, 1993, 47, (3), 281-291 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
   See also Working Paper (2012)

Software Items