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Details about Emma M. Iglesias

E-mail:
Homepage:http://www.gcd.udc.es/emma
Workplace:Facultade de Economía e Empresa (Faculty of Economics and Business), Universidade da Coruña (University of A Coruna), (more information at EDIRC)

Access statistics for papers by Emma M. Iglesias.

Last updated 2017-10-13. Update your information in the RePEc Author Service.

Short-id: pig10


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Working Papers

2015

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

2011

  1. Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section Downloads View citations (1)

2010

  1. Asymptotic normality of the QMLE in the level-effect ARCH model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2009

  1. Estimation of tail thickness parameters from GJR-GARCH models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (4)
  2. Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Time Series Econometrics (2011)

2008

  1. Extending the Use of the Block-Block Bootstrap to AR(∞) Processes
    Staff General Research Papers Archive, Iowa State University, Department of Economics
  2. Semiparametric Inference in a GARCH-in-Mean Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2012)
  3. 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 Downloads View citations (3)

2006

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

2004

  1. 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 Downloads View citations (2)
  2. 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) Downloads
  3. Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads View citations (3)
  4. The estimation of simultaneous equation models under conditional heteroscedasticity
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads

Journal Articles

2017

  1. 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 Downloads
  2. 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 Downloads

2015

  1. 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 Downloads View citations (3)
  2. Value at Risk of the main stock market indexes in the European Union (2000–2012)
    Journal of Policy Modeling, 2015, 37, (1), 1-13 Downloads

2014

  1. Testing of the mean reversion parameter in continuous time models
    Economics Letters, 2014, 122, (2), 187-189 Downloads

2013

  1. ASSESSING LONG‐RUN MONEY NEUTRALITY IN MONETARY UNIONS
    International Journal of Finance & Economics, 2013, 18, (1), 25-50
  2. Capital-Energy Relationships: An Analysis when Disaggregating by Industry and Different Types of Capital
    The Energy Journal, 2013, Volume 34, (Number 4) Downloads View citations (6)
  3. Editorial
    Applied Economics, 2013, 45, (30), 4203-4203 Downloads
  4. Evolution over time of the determinants of preferences for redistribution and the support for the welfare state
    Applied Economics, 2013, 45, (30), 4260-4274 Downloads View citations (1)
  5. Interaction between monetary policy and stock prices: a comparison between the Caribbean and the US
    Applied Financial Economics, 2013, 23, (6), 515-534 Downloads View citations (6)
  6. Partial maximum likelihood estimation of spatial probit models
    Journal of Econometrics, 2013, 172, (1), 77-89 Downloads View citations (11)

2012

  1. Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments
    Journal of Business & Economic Statistics, 2012, 30, (4), 505-520 Downloads View citations (2)
  2. 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 Downloads View citations (3)
  3. Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models
    Econometric Reviews, 2012, 31, (5), 532-557 Downloads View citations (1)
  4. 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 Downloads View citations (2)
  5. Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances
    Journal of Applied Econometrics, 2012, 27, (3), 474-499 View citations (9)
  6. 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 Downloads View citations (3)
  7. Semiparametric inference in a GARCH-in-mean model
    Journal of Econometrics, 2012, 167, (2), 458-472 Downloads View citations (7)
    See also Working Paper (2008)
  8. Voter decisions on eminent domain and police power reforms
    Journal of Housing Economics, 2012, 21, (2), 187-194 Downloads

2011

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

2010

  1. 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), 1-30 Downloads View citations (1)
  2. 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 Downloads View citations (4)

2009

  1. 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 Downloads View citations (4)
  2. 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), 1-30 Downloads View citations (2)
  3. Volatility spill-overs in commodity spot prices: New empirical results
    Economic Modelling, 2009, 26, (3), 601-607 Downloads View citations (12)

2008

  1. Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence
    Economics Letters, 2008, 99, (2), 393-397 Downloads View citations (2)
  2. Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
    Journal of Econometrics, 2008, 144, (2), 500-510 Downloads View citations (19)
  3. Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation
    Journal of Time Series Analysis, 2008, 29, (4), 719-737 Downloads View citations (3)

2007

  1. HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
    Econometric Theory, 2007, 23, (06), 1136-1161 Downloads View citations (4)

2006

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

2005

  1. Analysing one-month Euro-market interest rates by fractionally integrated models
    Applied Financial Economics, 2005, 15, (2), 95-106 Downloads View citations (7)
  2. BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
    Econometric Theory, 2005, 21, (06), 1058-1086 Downloads View citations (4)

2003

  1. Another look about the evolution of the risk premium: a VAR-GARCH-M model
    Economic Modelling, 2003, 20, (4), 777-789 Downloads View citations (5)

2001

  1. Análisis de las relaciones entre el tipo de interés a corto plazo y su incertidumbre en Alemania, España y Suiza
    Estudios de Economía Aplicada, 2001, 19, 37-47 Downloads
  2. Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models
    Economics Letters, 2001, 74, (1), 21-24 Downloads View citations (1)
 
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