Access Statistics for Jesus Gonzalo

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks 0 0 0 149 1 2 6 406
A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks 0 0 0 4 0 2 5 646
A systematic framework for analyzing the dynamic effects of permanent and transitory shocks 0 0 0 6 0 1 6 47
Co-summability from linear to non-linear cointegration 0 0 6 129 1 2 19 248
Cointegration and Aggregation 0 0 0 1 0 0 6 657
Comovements in Large Systems 0 0 1 13 1 1 3 36
Comovements in large systems 0 0 0 1 2 2 5 15
Conditional stochastic dominance tests in dynamic settings 0 0 0 43 1 1 7 108
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 0 0 5 87
Contagion versus flight to quality in financial markets 0 4 8 369 2 8 37 861
Detecting Big Structural Breaks in Large Factor Models 0 0 1 29 1 3 13 85
Detecting big structural breaks in large factor models 0 0 3 93 0 1 12 223
Detecting big structural breaks in large factor models 1 1 2 44 2 5 17 159
Downside Risk Efficiency Under Market Distress 0 0 2 43 1 2 13 142
Dynamic Effects of Persistent Shocks 1 4 64 64 1 10 65 65
Dynamic Effects of Persistent Shocks 0 0 0 0 4 6 6 6
Dynamic effects of persistent shocks 5 37 92 92 8 47 79 79
Econometric implications of non-exact present value models 0 0 0 2 3 5 8 23
Estimation and inference in threshold type regime switching models 0 0 2 117 2 2 9 160
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 6 2 6 34 1,779
Lag Length Estimation in Large Dimensional Systems 0 0 0 100 2 2 3 227
Lag Length Estimation in Large Dimensional Systems 0 0 2 230 2 2 6 651
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 4 47 1 2 17 88
Modelling and Measuring Price Discovery in Commodity Markets 0 0 1 6 2 2 11 37
Modelling and measuring price discovery in commodity markets 2 2 2 240 2 3 13 657
Multicointegration and present value relations 0 0 0 1 1 1 8 21
No lack of relative power of the Dickey-Fuller tests for unit roots 0 0 0 1 1 2 3 10
Non-exact present value relations 0 0 0 0 0 1 10 17
On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors 0 0 0 0 2 2 6 252
On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors 0 0 0 8 0 0 3 136
On the Robustness of Cointegration Tests when Series Are Fractionally Integrated 0 0 0 0 1 1 2 97
On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors 0 0 0 1 0 0 4 8
On the robustness of cointegration tests when series are fractionally integrated 0 0 0 3 1 2 5 16
P-Values for Non-Standard Distributions with an Application to the DF Test 0 0 0 0 0 0 8 441
P-values for non-standard distributions with an application to the DF test 0 0 0 1 0 1 11 27
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 155 0 2 10 635
Pitfalls in Testing for Long Run Relationships 0 0 0 3 0 1 5 591
Predictive Regressions 2 11 50 89 2 13 67 83
Quantile Factor Models 0 0 9 9 1 4 23 23
Quantile Factor Models 0 3 52 190 3 16 113 294
Quantile Factor Models 0 0 7 29 1 5 38 107
Regime Specific Predictability in Predictive Regressions 0 0 0 33 1 1 6 73
Regime specific predictability in predictive regressions 0 0 1 34 0 1 12 128
Relative Power of t Type Tests of Stationary and Unit Root Processes 0 0 0 0 1 1 5 668
Simple Wald tests of the fractional integration parameter: an overview of new results 0 0 0 90 2 2 7 241
Subsampling inference in threshold autoregressive models 0 0 0 206 0 0 4 594
Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes 0 0 2 79 1 4 9 243
Testing Downside Risk Efficiency Under Market Distress 0 0 1 4 2 2 5 42
Testing I(1) against I(d) alternatives in the presence of deteministic components 0 0 1 74 1 1 5 293
Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components 0 0 0 82 1 1 4 138
Testing downside risk efficiency under market distress 0 0 0 60 0 0 3 169
Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend 0 0 0 5 2 3 13 45
The Reaction of Stock Market Returns to Unemployment 2 9 55 183 17 214 797 1,234
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes 1 3 9 599 1 7 38 1,413
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 2 6 9 37
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 88 2 2 8 202
The reaction of stock market returns to anticipated unemployment 0 0 2 112 3 4 20 575
The reaction of stock market returns to anticipated unemployment 0 0 1 65 0 0 9 381
Threshold Integrated Moving Average Models (Does Size Matter? Maybe So) 0 0 0 1 0 0 8 1,075
Threshold effects in cointegrating relationships 0 0 1 145 0 0 8 310
Threshold integrated moving average models: does size matter? maybe so 0 0 1 5 2 2 7 37
Threshold unit root models 0 0 1 17 2 3 10 60
Trends in distributional characteristics: Existence of global warming 0 0 8 79 1 1 94 227
Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components 0 0 0 72 2 2 9 166
What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks 0 0 1 5 1 2 16 67
What is what?: A simple time-domain test of long-memory vs. structural breaks 0 0 1 203 2 3 22 718
Which Extreme Values are Really Extremes? 0 1 2 141 1 2 6 458
Total Working Papers 14 75 395 4,715 101 432 1,855 19,844


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Fractional Dickey-Fuller Test for Unit Roots 0 0 0 261 1 1 5 1,657
A systematic framework for analyzing the dynamic effects of permanent and transitory shocks 0 0 4 314 0 2 23 664
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 5 0 0 6 45
Cointegration and aggregation 0 1 1 93 1 2 5 181
Detecting big structural breaks in large factor models 0 0 7 49 1 3 21 149
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 2 9 0 0 5 18
Estimation and model selection based inference in single and multiple threshold models 0 0 6 237 1 3 18 543
Estimation of Common Long-Memory Components in Cointegrated Systems 0 0 0 0 1 13 67 2,193
Five alternative methods of estimating long-run equilibrium relationships 1 5 18 919 1 11 55 2,272
Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model 0 0 2 8 0 1 5 32
Lag length estimation in large dimensional systems 0 0 0 1 0 0 3 6
Large shocks vs. small shocks. (Or does size matter? May be so.) 0 0 0 74 1 1 3 204
Leptospirosis as a risk factor for chronic kidney disease: A systematic review of observational studies 0 0 0 0 0 1 1 1
Long-range dependence in Spanish political opinion poll series 0 0 0 77 1 1 5 591
Modelling and measuring price discovery in commodity markets 0 2 6 87 1 4 28 320
On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors 0 0 0 1 0 0 1 209
On the robustness of cointegration tests when series are fractionally intergrated 0 0 0 41 0 0 1 142
P-Values for non-standard distributions with an application to the DF test 0 0 0 39 0 0 9 165
Permanent and transitory components of GDP and stock prices: further analysis 0 0 0 20 0 0 8 101
Pitfalls in testing for long run relationships 0 0 0 173 0 0 4 364
Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger 0 0 1 41 0 1 11 170
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES 0 0 0 0 0 0 0 2
Regime-Specific Predictability in Predictive Regressions 0 0 0 23 1 1 3 56
Specification via model selection in vector error correction models 0 0 0 72 0 2 3 261
Subsampling inference in threshold autoregressive models 0 0 0 84 0 1 8 179
Summability of stochastic processes—A generalization of integration for non-linear processes 0 0 1 40 0 1 9 152
Testing for multicointegration 0 1 1 70 1 2 6 175
The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems" 0 0 1 19 0 0 2 53
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 2 4 21 473 7 22 91 1,142
The reaction of stock market returns to unemployment 0 1 2 23 0 5 24 114
Threshold Effects in Cointegrating Relationships* 0 0 0 119 8 13 72 806
Trends in distributional characteristics: Existence of global warming 0 0 0 0 1 3 7 7
Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components 0 0 1 29 0 0 11 134
Which Extreme Values Are Really Extreme? 0 1 1 90 0 1 3 230
Total Journal Articles 3 15 75 3,491 27 95 523 13,338


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Estimation and inference in threshold type regime switching models 0 0 0 12 1 2 11 41
Total Chapters 0 0 0 12 1 2 11 41


Statistics updated 2020-09-04