Details about Jesus Gonzalo
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Short-id: pgo192
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Working Papers
2023
- Climate change heterogeneity: A new quantitative approach
Papers, arXiv.org 
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2022)
2021
- A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado)
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
2020
- Dynamic Effects of Persistent Shocks
Papers, arXiv.org View citations (5)
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2019) View citations (6) Working Papers, Banco de España (2019) View citations (7)
- Out of sample predictability in predictive regressions with many predictor candidates
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
- Quantile Factor Models
Papers, arXiv.org View citations (2)
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2017) View citations (2) IZA Discussion Papers, Institute of Labor Economics (IZA) (2020) View citations (1) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (5)
See also Journal Article in Econometrica (2021)
- Spurious relationships in high dimensional systems with strong or mild persistence
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía 
See also Journal Article in International Journal of Forecasting (2021)
- Uncovering regimes in out of sample forecast errors from predictive regressions
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía 
See also Journal Article in Oxford Bulletin of Economics and Statistics (2021)
2019
- Predictive Regressions
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
2017
- The Reaction of Stock Market Returns to Unemployment
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía 
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2017)
- Trends in distributional characteristics: Existence of global warming
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía 
See also Journal Article in Journal of Econometrics (2020)
2016
- Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
2013
- Co-summability from linear to non-linear cointegration
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (19)
- 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)
- 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 (9) UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) View citations (6)
See also Journal Article in Journal of Econometrics (2014)
- Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
2012
- 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)
- 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) View citations (1)
2011
- 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 (13)
2010
- 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
- Downside Risk Efficiency Under Market Distress
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
2008
- 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 (2)
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)
- 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
- Testing downside risk efficiency under market distress
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
2007
- 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)
- The impact of heavy tails and comovements in downside-risk diversification
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
- 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
- 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 (5)
- Threshold effects in cointegrating relationships
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (37)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)
2005
- Contagion versus flight to quality in financial markets
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (18)
- 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)
- The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
Working Papers, Czech National Bank View citations (35)
- What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks
Working Papers, Barcelona School of Economics View citations (19)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2005) View citations (22)
2004
- 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) View citations (1)
- Which Extreme Values are Really Extremes?
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (12)
See also Journal Article in The Journal of Financial Econometrics (2004)
2003
- Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend
Working Papers, Barcelona School of Economics View citations (6)
2001
- Lag Length Estimation in Large Dimensional Systems
Econometrics, University Library of Munich, Germany 
Also in Econometrics, University Library of Munich, Germany (2001) View citations (11)
See also Journal Article in Journal of Time Series Analysis (2002)
- Subsampling inference in threshold autoregressive models
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (3)
See also Journal Article in Journal of Econometrics (2005)
2000
- Econometric implications of non-exact present value models
DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía
1997
- Threshold unit root models
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (18)
1996
- 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 (7)
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 (6)
See also Journal Article in Journal of Economic Dynamics and Control (2001)
- Multicointegration and present value relations
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
- Non-exact present value relations
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
- 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)
- 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 (5)
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
- Comovements in large systems
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (9)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) View citations (8)
- 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
- 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 LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995)  DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995)
- 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)
- Relative Power of t Type Tests of Stationary and Unit Root Processes
Working Papers, Boston University - Department of Economics View citations (1)
See also Journal Article in Journal of Time Series Analysis (1996)
1992
- Cointegration and Aggregation
Working Papers, Boston University - Department of Economics View citations (2)
See also Journal Article in Ricerche Economiche (1993)
- Estimation of Common Long-Memory Components in Cointegrated Systems
Working Papers, Boston University - Department of Economics View citations (94)
See also Journal Article in Journal of Business & Economic Statistics (1995)
Journal Articles
2022
- A tale of three cities: climate heterogeneity
SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 475-511
- Nonparametric estimation of functional dynamic factor model
Journal of Nonparametric Statistics, 2022, 34, (4), 895-916
2021
- Quantile Factor Models
Econometrica, 2021, 89, (2), 875-910 View citations (13)
See also Working Paper (2020)
- Spurious relationships in high-dimensional systems with strong or mild persistence
International Journal of Forecasting, 2021, 37, (4), 1480-1497 View citations (1)
See also Working Paper (2020)
- Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions
Oxford Bulletin of Economics and Statistics, 2021, 83, (3), 713-741 
See also Working Paper (2020)
2020
- Trends in distributional characteristics: Existence of global warming
Journal of Econometrics, 2020, 214, (1), 153-174 View citations (4)
See also Working Paper (2017)
2019
- Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
Oxford Bulletin of Economics and Statistics, 2019, 81, (1), 42-61
2017
- Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
Journal of Business & Economic Statistics, 2017, 35, (2), 202-217 View citations (7)
- The reaction of stock market returns to unemployment
Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 20 
See also Working Paper (2017)
2014
- CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
International Economic Review, 2014, 55, (3), 819-838 View citations (2)
See also Working Paper (2013)
- Detecting big structural breaks in large factor models
Journal of Econometrics, 2014, 180, (1), 30-48 View citations (70)
See also Working Paper (2013)
- Summability of stochastic processes—A generalization of integration for non-linear processes
Journal of Econometrics, 2014, 178, (P2), 331-341 View citations (23)
2011
- Regime-Specific Predictability in Predictive Regressions
Journal of Business & Economic Statistics, 2011, 30, (2), 229-241 
See also Working Paper (2010)
2010
- Modelling and measuring price discovery in commodity markets
Journal of Econometrics, 2010, 158, (1), 95-107 View citations (80)
See also Working Paper (2008)
- The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"
The Journal of Financial Econometrics, 2010, 8, (2), 174-176
2008
- Permanent and transitory components of GDP and stock prices: further analysis
Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 105-120 View citations (2)
See also Working Paper (2007)
- The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
Review of Financial Studies, 2008, 21, (3), 1187-1222 View citations (432)
- 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 (8)
See also Working Paper (2007)
2006
- Large shocks vs. small shocks. (Or does size matter? May be so.)
Journal of Econometrics, 2006, 135, (1-2), 311-347 View citations (8)
- 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 (3)
- Threshold Effects in Cointegrating Relationships*
Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 813-833 View citations (50)
See also Working Paper (2006)
2005
- Subsampling inference in threshold autoregressive models
Journal of Econometrics, 2005, 127, (2), 201-224 View citations (63)
See also Working Paper (2001)
2004
- Which Extreme Values Are Really Extreme?
The Journal of Financial Econometrics, 2004, 2, (3), 349-369 View citations (16)
See also Working Paper (2004)
2003
- Long-range dependence in Spanish political opinion poll series
Journal of Applied Econometrics, 2003, 18, (2), 137-155 View citations (19)
2002
- A Fractional Dickey-Fuller Test for Unit Roots
Econometrica, 2002, 70, (5), 1963-2006 View citations (69)
- Estimation and model selection based inference in single and multiple threshold models
Journal of Econometrics, 2002, 110, (2), 319-352 View citations (130)
- Lag length estimation in large dimensional systems
Journal of Time Series Analysis, 2002, 23, (4), 401-423 View citations (17)
See also Working Paper (2001)
2001
- 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 (125)
See also Working Paper (1996)
2000
- On the robustness of cointegration tests when series are fractionally intergrated
Journal of Applied Statistics, 2000, 27, (7), 821-827 View citations (9)
See also Working Paper (1996)
1998
- 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 (9)
- Pitfalls in testing for long run relationships
Journal of Econometrics, 1998, 86, (1), 129-154 View citations (127)
See also Working Paper (1995)
- Specification via model selection in vector error correction models
Economics Letters, 1998, 60, (3), 321-328 View citations (56)
1997
- Testing for multicointegration
Economics Letters, 1997, 56, (3), 259-266 View citations (42)
1996
- P-Values for non-standard distributions with an application to the DF test
Economics Letters, 1996, 50, (2), 155-160 View citations (5)
See also Working Paper (1996)
- RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
Journal of Time Series Analysis, 1996, 17, (1), 37-47 View citations (9)
See also Working Paper (1995)
1995
- Estimation of Common Long-Memory Components in Cointegrated Systems
Journal of Business & Economic Statistics, 1995, 13, (1), 27-35 View citations (642)
See also Working Paper (1992)
1994
- Five alternative methods of estimating long-run equilibrium relationships
Journal of Econometrics, 1994, 60, (1-2), 203-233 View citations (613)
1993
- Cointegration and aggregation
Ricerche Economiche, 1993, 47, (3), 281-291 View citations (9)
See also Working Paper (1992)
Chapters
2013
- 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)
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