Details about Jesus Gonzalo

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Homepage:	http://www.eco.uc3m.es/jgonzalo
Workplace:	Departamento de Economía (Department of Economics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Jesus Gonzalo.

Last updated 2023-01-22. Update your information in the RePEc Author Service.

Short-id: pgo192

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Working Papers

2023

1. 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

2. 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

3. 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)
4. Out of sample predictability in predictive regressions with many predictor candidates
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
5. 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)
6. 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)
7. 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

8. Predictive Regressions
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2017

9. 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)
10. 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

11. 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

12. Co-summability from linear to non-linear cointegration
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (19)
13. 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)
14. 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)
15. 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

16. 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)
17. 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

18. 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

19. 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

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

2008

21. 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)
22. 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
23. Testing downside risk efficiency under market distress
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2007

24. 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)
25. The impact of heavy tails and comovements in downside-risk diversification
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
26. 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

27. 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)
28. 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

29. Contagion versus flight to quality in financial markets
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (18)
30. 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)
31. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
    Working Papers, Czech National Bank View citations (35)
32. 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

33. 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)
34. 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

35. 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

36. 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)
37. 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

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

1997

39. Threshold unit root models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (18)

1996

40. 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)
41. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
42. Non-exact present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
43. 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)
44. 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

45. 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)
46. 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
47. 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)
48. 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)
49. 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

50. Cointegration and Aggregation
    Working Papers, Boston University - Department of Economics View citations (2)
    See also Journal Article in Ricerche Economiche (1993)
51. 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

1. A tale of three cities: climate heterogeneity
   SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 475-511
2. Nonparametric estimation of functional dynamic factor model
   Journal of Nonparametric Statistics, 2022, 34, (4), 895-916

2021

3. Quantile Factor Models
   Econometrica, 2021, 89, (2), 875-910 View citations (13)
   See also Working Paper (2020)
4. 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)
5. 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

6. 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

7. 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

8. 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)
9. The reaction of stock market returns to unemployment
   Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 20
   See also Working Paper (2017)

2014

10. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
    International Economic Review, 2014, 55, (3), 819-838 View citations (2)
    See also Working Paper (2013)
11. Detecting big structural breaks in large factor models
    Journal of Econometrics, 2014, 180, (1), 30-48 View citations (70)
    See also Working Paper (2013)
12. Summability of stochastic processes—A generalization of integration for non-linear processes
    Journal of Econometrics, 2014, 178, (P2), 331-341 View citations (23)

2011

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

2010

14. Modelling and measuring price discovery in commodity markets
    Journal of Econometrics, 2010, 158, (1), 95-107 View citations (80)
    See also Working Paper (2008)
15. The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"
    The Journal of Financial Econometrics, 2010, 8, (2), 174-176

2008

16. 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)
17. 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)
18. 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

19. Large shocks vs. small shocks. (Or does size matter? May be so.)
    Journal of Econometrics, 2006, 135, (1-2), 311-347 View citations (8)
20. 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)
21. 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

22. Subsampling inference in threshold autoregressive models
    Journal of Econometrics, 2005, 127, (2), 201-224 View citations (63)
    See also Working Paper (2001)

2004

23. 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

24. Long-range dependence in Spanish political opinion poll series
    Journal of Applied Econometrics, 2003, 18, (2), 137-155 View citations (19)

2002

25. A Fractional Dickey-Fuller Test for Unit Roots
    Econometrica, 2002, 70, (5), 1963-2006 View citations (69)
26. Estimation and model selection based inference in single and multiple threshold models
    Journal of Econometrics, 2002, 110, (2), 319-352 View citations (130)
27. 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

28. 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

29. 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

30. 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)
31. Pitfalls in testing for long run relationships
    Journal of Econometrics, 1998, 86, (1), 129-154 View citations (127)
    See also Working Paper (1995)
32. Specification via model selection in vector error correction models
    Economics Letters, 1998, 60, (3), 321-328 View citations (56)

1997

33. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 View citations (42)

1996

34. 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)
35. 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

36. 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

37. Five alternative methods of estimating long-run equilibrium relationships
    Journal of Econometrics, 1994, 60, (1-2), 203-233 View citations (613)

1993

38. Cointegration and aggregation
    Ricerche Economiche, 1993, 47, (3), 281-291 View citations (9)
    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