Details about Emma M. Iglesias

Access statistics for papers by Emma M. Iglesias.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pig10

Working Papers

2021

1. Money Market Integration in Spain in the Ninetheen Century: The Role of the 1875-1885 Decade
   MPRA Paper, University Library of Munich, Germany

2015

2. Banking, Currency, Stock Market and Debt Crises: Revisiting Reinhart & Rogoff Debt Analysis in Spain, 1850-1995
   MPRA Paper, University Library of Munich, Germany

2011

3. Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)
   See also Journal Article Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (7) (2012)

2010

4. Asymptotic normality of the QMLE in the level-effect ARCH model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Asymptotic normality of the MLE in the level-effect ARCH model, Statistical Papers, Springer (2021) View citations (1) (2021)

2009

5. Estimation of tail thickness parameters from GJR-GARCH models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (7)
6. Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary, Journal of Time Series Econometrics, De Gruyter (2011) (2011)

2008

7. Extending the Use of the Block-Block Bootstrap to AR(∞) Processes
   Staff General Research Papers Archive, Iowa State University, Department of Economics
8. Semiparametric Inference in a GARCH-in-Mean Model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
   See also Journal Article Semiparametric inference in a GARCH-in-mean model, Journal of Econometrics, Elsevier (2012) View citations (16) (2012)
9. The limiting properties of the QMLE in a general class of asymmetric volatility models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2006

10. Testing for Breaks Using Alternating Observations
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (1)

2004

11. Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (2)
12. MULTIVARIATE ARCH MODELS: FINITE SAMPLE PROPERTIES OF ML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
13. Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (3)
14. The estimation of simultaneous equation models under conditional heteroscedasticity
    Econometric Society 2004 Latin American Meetings, Econometric Society

Journal Articles

2025

1. Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
   Econometric Reviews, 2025, 44, (3), 312-334

2024

2. Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?
   Resources Policy, 2024, 90, (C)

2022

3. The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models*
   (Stock Returns and Volatility)
   Journal of Financial Econometrics, 2022, 20, (1), 139-159 View citations (1)
4. The influence of extreme events such as Brexit and Covid-19 on equity markets
   Journal of Policy Modeling, 2022, 44, (2), 418-430 View citations (2)

2021

5. Asymptotic normality of the MLE in the level-effect ARCH model
   Statistical Papers, 2021, 62, (1), 117-135 View citations (1)
   See also Working Paper Asymptotic normality of the QMLE in the level-effect ARCH model, CREATES Research Papers (2010) (2010)
6. Inversión privada, gasto público y presión tributaria en Ecuador
   Revista de Estudios Regionales, 2021, 3, 81-118

2020

7. Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model
   Journal of Time Series Analysis, 2020, 41, (2), 357-364

2018

8. Banking, currency, stock market and debt crises in Spain, 1850–1995
   Applied Economics, 2018, 50, (18), 2056-2069
9. Inversión privada, gasto publico e impuestos en la Unión Europea
   Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2018, 26, (1), 3-24

2017

10. Exchange Rate Movements, Stock Prices and Volatility in the Caribbean and Latin America
    International Journal of Economics and Financial Issues, 2017, 7, (2), 437-447 View citations (2)
11. Inversión privada, gasto público y presión tributaria en América Latina
    Estudios de Economia, 2017, 44, (2 Year 2017), 131-156
12. The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models
    Monte Carlo Methods and Applications, 2017, 23, (3), 159-164 View citations (1)

2015

13. Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation
    Economic Modelling, 2015, 50, (C), 1-8 View citations (12)
14. Value at Risk of the main stock market indexes in the European Union (2000–2012)
    Journal of Policy Modeling, 2015, 37, (1), 1-13 View citations (14)

2014

15. Testing of the mean reversion parameter in continuous time models
    Economics Letters, 2014, 122, (2), 187-189 View citations (3)

2013

16. ASSESSING LONG‐RUN MONEY NEUTRALITY IN MONETARY UNIONS
    International Journal of Finance & Economics, 2013, 18, (1), 25-50
17. Capital-Energy Relationships: An Analysis when Disaggregating by Industry and Different Types of Capital
    The Energy Journal, 2013, 34, (4), 129-150
    Also in The Energy Journal, 2013, Volume 34, (Number 4) (2013) View citations (15)
18. Editorial
    Applied Economics, 2013, 45, (30), 4203-4203
19. Evolution over time of the determinants of preferences for redistribution and the support for the welfare state
    Applied Economics, 2013, 45, (30), 4260-4274 View citations (2)
20. Interaction between monetary policy and stock prices: a comparison between the Caribbean and the US
    Applied Financial Economics, 2013, 23, (6), 515-534 View citations (10)
21. Partial maximum likelihood estimation of spatial probit models
    Journal of Econometrics, 2013, 172, (1), 77-89 View citations (35)

2012

22. Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments
    Journal of Business & Economic Statistics, 2012, 30, (4), 505-520 View citations (7)
    See also Working Paper Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments, Cardiff Economics Working Papers (2011) View citations (2) (2011)
23. An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market
    Applied Economics, 2012, 44, (35), 4631-4637 View citations (4)
24. Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models
    Econometric Reviews, 2012, 31, (5), 532-557 View citations (4)
25. Extreme movements of the main stocks traded in the Eurozone: an analysis by sectors in the 2000's decade
    Applied Financial Economics, 2012, 22, (24), 2085-2100 View citations (2)
26. Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances
    Journal of Applied Econometrics, 2012, 27, (3), 474-499 View citations (10)
27. Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia
    Economic Modelling, 2012, 29, (6), 2071-2089 View citations (9)
28. Semiparametric inference in a GARCH-in-mean model
    Journal of Econometrics, 2012, 167, (2), 458-472 View citations (16)
    See also Working Paper Semiparametric Inference in a GARCH-in-Mean Model, CREATES Research Papers (2008) View citations (4) (2008)
29. Voter decisions on eminent domain and police power reforms
    Journal of Housing Economics, 2012, 21, (2), 187-194 View citations (1)

2011

30. Constrained k-class Estimators in the Presence of Weak Instruments
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 13
31. Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary
    Journal of Time Series Econometrics, 2011, 3, (1), 32
    See also Working Paper Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary, CREATES Research Papers (2009) View citations (1) (2009)
32. Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation
    Econometric Reviews, 2011, 30, (3), 303-336 View citations (8)
33. XV Applied Economics Meeting
    Economics Bulletin, 2011, 31, (4), A52

2010

34. First and Second Order Asymptotic Bias Correction of Nonlinear Estimators in a Non-Parametric Setting and an Application to the Smoothed Maximum Score Estimator
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (3), 30 View citations (2)
35. The bias to order T-Â 2 for the general k-class estimator in a simultaneous equation model
    Economics Letters, 2010, 109, (1), 42-45 View citations (5)

2009

36. Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)
    Journal of International Money and Finance, 2009, 28, (3), 496-521 View citations (7)
37. Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 30 View citations (2)
38. Volatility spill-overs in commodity spot prices: New empirical results
    Economic Modelling, 2009, 26, (3), 601-607 View citations (15)

2008

39. Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence
    Economics Letters, 2008, 99, (2), 393-397 View citations (3)
40. Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
    Journal of Econometrics, 2008, 144, (2), 500-510 View citations (32)
41. Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation
    Journal of Time Series Analysis, 2008, 29, (4), 719-737 View citations (7)

2007

42. HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
    Econometric Theory, 2007, 23, (6), 1136-1161 View citations (12)

2006

43. Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models
    Economics Letters, 2006, 93, (2), 261-266

2005

44. Analysing one-month Euro-market interest rates by fractionally integrated models
    Applied Financial Economics, 2005, 15, (2), 95-106 View citations (7)
45. BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
    Econometric Theory, 2005, 21, (6), 1058-1086 View citations (3)

2003

46. Another look about the evolution of the risk premium: a VAR-GARCH-M model
    Economic Modelling, 2003, 20, (4), 777-789 View citations (6)

2001

47. Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models
    Economics Letters, 2001, 74, (1), 21-24 View citations (1)