Jesus Gonzalo
Names
| first: |
Jesus |
| last: |
Gonzalo |
Identifer
Contact
Affiliations
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Universidad Carlos III de Madrid
/ Departamento de Economía
Research profile
author of:
- Quantile Factor Models (RePEc:arx:papers:1911.02173)
by Liang Chen & Juan Jose Dolado & Jesus Gonzalo - Dynamic Effects of Persistent Shocks (RePEc:arx:papers:2006.14047)
by Mario Alloza & Jesus Gonzalo & Carlos Sanz - Climate change heterogeneity: A new quantitative approach (RePEc:arx:papers:2301.02648)
by Maria Dolores Gadea & Jesus Gonzalo - Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates (RePEc:arx:papers:2302.02866)
by Jesus Gonzalo & Jean-Yves Pitarakis - Estimation of Characteristics-based Quantile Factor Models (RePEc:arx:papers:2304.13206)
by Liang Chen & Juan Jose Dolado & Jesus Gonzalo & Haozi Pan - Trends in Temperature Data: Micro-foundations of Their Nature (RePEc:arx:papers:2312.06379)
by Maria Dolores Gadea & Jesus Gonzalo & Andrey Ramos - Dynamic effects of persistent shocks (RePEc:bde:wpaper:1944)
by Mario Alloza & Jesús Gonzalo & Carlos Sanz - Estimation of Common Long-Memory Components in Cointegrated Systems (RePEc:bes:jnlbes:v:13:y:1995:i:1:p:27-35)
by Gonzalo, Jesus & Granger, Clive W J - What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks (RePEc:bge:wpaper:258)
by Juan J. Dolado & Jesús Gonzalo & Laura Mayoral - Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend (RePEc:bge:wpaper:29)
by Juan J. Dolado & Jesús Gonzalo & Laura Mayoral - Heterogeneous predictive association of CO2 with global warming (RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421)
by Liang Chen & Juan J. Dolado & Jesús Gonzalo & Andrey Ramos - RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES (RePEc:bla:jtsera:v:17:y:1996:i:1:p:37-47)
by Jesus Gonzalo & Tae‐Hwy Lee - Lag length estimation in large dimensional systems (RePEc:bla:jtsera:v:23:y:2002:i:4:p:401-423)
by Jesús Gonzalo & Jean‐Yves Pitarakis - Threshold Effects in Cointegrating Relationships (RePEc:bla:obuest:v:68:y:2006:i:s1:p:813-833)
by Jesús Gonzalo & Jean‐Yves Pitarakis - Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective (RePEc:bla:obuest:v:81:y:2019:i:1:p:42-61)
by Jesus Gonzalo & Jose Olmo - Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions (RePEc:bla:obuest:v:83:y:2021:i:3:p:713-741)
by Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis - Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components (RePEc:bpj:sndecm:v:12:y:2008:i:4:n:1)
by Dolado Juan J. & Gonzalo Jesus & Mayoral Laura - The reaction of stock market returns to unemployment (RePEc:bpj:sndecm:v:21:y:2017:i:4:p:20:n:3)
by Gonzalo Jesús & Taamouti Abderrahim - The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes (RePEc:cnb:wpaper:2005/13)
by Robert F. Engle & Jose Gonzalo Rangel - Comovements in Large Systems (RePEc:cor:louvco:1994065)
by GONZALO, Jesus & PITARAKIS, Jean-Yves - On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors (RePEc:cor:louvco:1995034)
by GONZALO , Jesus & PITARAKIS , Jean-Yves - Quantile Factor Models (RePEc:cpr:ceprdp:12716)
by Dolado, Juan J & Chen, Liang & Gonzalo, Jesus - Heterogeneous Predictive Association of CO2 with Global Warming (RePEc:cpr:ceprdp:18114)
by Chen, Liang & Dolado, Juan J & Gonzalo, Jesus & Ramos, Andrey - Estimation of Characteristics-based Quantile Factor Models (RePEc:cpr:ceprdp:18115)
by Chen, Liang & Dolado, Juan J & Gonzalo, Jesus & Pan, Haozi - Threshold integrated moving average models: does size matter? maybe so (RePEc:cte:derepe:16008)
by Martínez, Oscar - Econometric implications of non-exact present value models (RePEc:cte:derepe:16009)
by González, Martín - Modelling and Measuring Price Discovery in Commodity Markets (RePEc:cte:wbrepe:15951)
by Figuerola-Ferretti, Isabel - Modelling and measuring price discovery in commodity markets (RePEc:cte:wbrepe:wb074510)
by Figuerola-Ferretti, Isabel - Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion (RePEc:cte:werepe:23599)
by Olmo, José - Unknown item RePEc:cte:werepe:24120 (paper)
- Trends in distributional characteristics : Existence of global warming (RePEc:cte:werepe:24121)
by Gadea Rivas, María Dolores - Quantile Factor Models (RePEc:cte:werepe:25299)
by Chen, Liang - Predictive Regressions (RePEc:cte:werepe:28554)
by Pitarakis, Jean-Yves - Dynamic Effects of Persistent Shocks (RePEc:cte:werepe:29187)
by Alloza, Mario & Sanz, Carlos - Spurious relationships in high dimensional systems with strong or mild persistence (RePEc:cte:werepe:31553)
by Pitarakis, Jean-Yves - Out of sample predictability in predictive regressions with many predictor candidates (RePEc:cte:werepe:31554)
by Pitarakis, Jean-Yves - Uncovering regimes in out of sample forecast errors from predictive regressions (RePEc:cte:werepe:31555)
by Pitarakis, Jean-Yves - A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) (RePEc:cte:werepe:32200)
by Gadea Rivas, María Dolores - Climate change heterogeneity: a new quantitative approach (RePEc:cte:werepe:35442)
by Gadea Rivas, Marta Dolores - Heterogeneous Predictive Association of CO2 with Global Warming (RePEc:cte:werepe:36451)
by Chen, Liang & Ramos Ramirez, Andrey David - Estimation of characteristics-based quantile factor models (RePEc:cte:werepe:37095)
by Chen, Liang & Pan, Haozi - Trends in temperature data: micro-foundations of their nature (RePEc:cte:werepe:39045)
by Gadea Rivas, María Dolores & Ramos, Andrey - Regional heterogeneity and warming dominance in the United States (RePEc:cte:werepe:45017)
by Gadea Rivas, María Dolores & Gonzalo, Jesús - Testing extreme warming and geographical heterogeneity (RePEc:cte:werepe:45023)
by Gadea Rivas, María Dolores & Gonzalo, Jesús & Olmo, José - Contagion versus flight to quality in financial markets (RePEc:cte:werepe:we051810)
by Olmo, José - Testing downside risk efficiency under market distress (RePEc:cte:werepe:we084321)
by Olmo, José - Downside Risk Efficiency Under Market Distress (RePEc:cte:werepe:we094423)
by Olmo, José - Regime specific predictability in predictive regressions (RePEc:cte:werepe:we097844)
by Pitarakis, Jean-Yves - Conditional stochastic dominance tests in dynamic settings (RePEc:cte:werepe:we1029)
by Olmo, José - Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes (RePEc:cte:werepe:we1115)
by Berenguer Rico, Vanessa - Detecting big structural breaks in large factor models (RePEc:cte:werepe:we1141)
by Chen, Liang - Unknown item RePEc:cte:werepe:we1145 (paper)
- Estimation and inference in threshold type regime switching models (RePEc:cte:werepe:we1204)
by Pitarakis, Jean-Yves - Conditional stochastic dominance tests in dynamic settings (RePEc:cte:werepe:we1205)
by Olmo, José - Unknown item RePEc:cte:werepe:we1237 (paper)
- Co-summability from linear to non-linear cointegration (RePEc:cte:werepe:we1312)
by Berenguer Rico, Vanessa - Threshold effects in cointegrating relationships (RePEc:cte:werepe:we20060621)
by Pitarakis, Jean-Yves - Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components (RePEc:cte:werepe:we20061221)
by Mayoral, Laura - The impact of heavy tails and comovements in downside-risk diversification (RePEc:cte:werepe:we20070208)
by Olmo, José - Permanent and transitory components of GDP and stock prices: further analysis (RePEc:cte:werepe:we20070525)
by Lee, Tae-Hwy & Yang, Weiping - Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components (RePEc:cte:werepe:we20070625)
by Mayoral, Laura - Simple Wald tests of the fractional integration parameter : an overview of new results (RePEc:cte:werepe:we20080129)
by Mayoral, Laura - Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach (RePEc:cte:wsrepe:35531)
by Chen, Liang & Ramos Ramirez, Andrey David - No lack of relative power of the Dickey-Fuller tests for unit roots (RePEc:cte:wsrepe:4512)
by Lee, Tae-Hwy - On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors (RePEc:cte:wsrepe:4513)
by Pitarakis, Jean-Yves - Multicointegration and present value relations (RePEc:cte:wsrepe:4540)
by Engsted, Tom & Haldrup, Niels - P-values for non-standard distributions with an application to the DF test (RePEc:cte:wsrepe:4541)
by Adda, Jerome - On the robustness of cointegration tests when series are fractionally integrated (RePEc:cte:wsrepe:4542)
by Lee, Tae-Hwy - Non-exact present value relations (RePEc:cte:wsrepe:4544)
by González Rozada, Martín - Comovements in large systems (RePEc:cte:wsrepe:5825)
by Pitarakis, Jean-Yves - A systematic framework for analyzing the dynamic effects of permanent and transitory shocks (RePEc:cte:wsrepe:6203)
by Ng, Serena - Threshold unit root models (RePEc:cte:wsrepe:6214)
by González, M. - The impact of heavy tails and comovements in downside-risk diversification (RePEc:cty:dpaper:07/02)
by Gonzalo, J. & Olmo, J. - Testing Downside Risk Efficiency Under Market Distress (RePEc:cty:dpaper:08/11)
by Gonzalo, J. & Olmo, J. - A Fractional Dickey-Fuller Test for Unit Roots (RePEc:ecm:emetrp:v:70:y:2002:i:5:p:1963-2006)
by Juan J. Dolado & Jesus Gonzalo & Laura Mayoral - Which Extreme Values are Really Extremes? (RePEc:ecm:nawm04:144)
by Jose Olmo & Jesus Gonzalo - Threshold Integrated Moving Average Models (Does Size Matter? Maybe So) (RePEc:ecm:nawm04:145)
by Oscar Martin & Jesus Gonzalo - A systematic framework for analyzing the dynamic effects of permanent and transitory shocks (RePEc:eee:dyncon:v:25:y:2001:i:10:p:1527-1546)
by Gonzalo, Jesus & Ng, Serena - P-Values for non-standard distributions with an application to the DF test (RePEc:eee:ecolet:v:50:y:1996:i:2:p:155-160)
by Adda, Jerome & Gonzalo, Jesus - Testing for multicointegration (RePEc:eee:ecolet:v:56:y:1997:i:3:p:259-266)
by Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels - Specification via model selection in vector error correction models (RePEc:eee:ecolet:v:60:y:1998:i:3:p:321-328)
by Gonzalo, Jesus & Pitarakis, Jean-Yves - Estimation and model selection based inference in single and multiple threshold models (RePEc:eee:econom:v:110:y:2002:i:2:p:319-352)
by Gonzalo, Jesus & Pitarakis, Jean-Yves - Subsampling inference in threshold autoregressive models (RePEc:eee:econom:v:127:y:2005:i:2:p:201-224)
by Gonzalo, Jesus & Wolf, Michael - Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger (RePEc:eee:econom:v:135:y:2006:i:1-2:p:1-9)
by Swanson, Norman R. & Elliott, Graham & Ghysels, Eric & Gonzalo, Jesus - Large shocks vs. small shocks. (Or does size matter? May be so.) (RePEc:eee:econom:v:135:y:2006:i:1-2:p:311-347)
by Gonzalo, Jesus & Martinez, Oscar - Modelling and measuring price discovery in commodity markets (RePEc:eee:econom:v:158:y:2010:i:1:p:95-107)
by Figuerola-Ferretti, Isabel & Gonzalo, Jesús - Summability of stochastic processes—A generalization of integration for non-linear processes (RePEc:eee:econom:v:178:y:2014:i:p2:p:331-341)
by Berenguer-Rico, Vanessa & Gonzalo, Jesús - Detecting big structural breaks in large factor models (RePEc:eee:econom:v:180:y:2014:i:1:p:30-48)
by Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús - Trends in distributional characteristics: Existence of global warming (RePEc:eee:econom:v:214:y:2020:i:1:p:153-174)
by Gadea Rivas, María Dolores & Gonzalo, Jesús - Five alternative methods of estimating long-run equilibrium relationships (RePEc:eee:econom:v:60:y:1994:i:1-2:p:203-233)
by Gonzalo, Jesus - Pitfalls in testing for long run relationships (RePEc:eee:econom:v:86:y:1998:i:1:p:129-154)
by Gonzalo, Jesus & Lee, Tae-Hwy - Spurious relationships in high-dimensional systems with strong or mild persistence (RePEc:eee:intfor:v:37:y:2021:i:4:p:1480-1497)
by Gonzalo, Jesús & Pitarakis, Jean-Yves - Out-of-sample predictability in predictive regressions with many predictor candidates (RePEc:eee:intfor:v:40:y:2024:i:3:p:1166-1178)
by Gonzalo, Jesús & Pitarakis, Jean-Yves - Cointegration and aggregation (RePEc:eee:riceco:v:47:y:1993:i:3:p:281-291)
by Gonzalo, Jesus - Estimation and inference in threshold type regime switching models (RePEc:elg:eechap:14327_8)
by Jesús Gonzalo & Jean-Yves Pitarakis - P-Values for Non-Standard Distributions with an Application to the DF Test (RePEc:fth:bosecd:61)
by Jerome Adda & Jesus Gonzalo - Cointegration and Aggregation (RePEc:fth:bostec:11)
by Gonzalo, J. - On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors (RePEc:fth:bostec:35)
by Gonzalo, J. & Pitaris, J.Y. - Relative Power of t Type Tests of Stationary and Unit Root Processes (RePEc:fth:bostec:36)
by Gonzalo, J. & Lee, T.H. - Pitfalls in Testing for Long Run Relationships (RePEc:fth:bostec:38)
by Gonzalo, J. & Lee, T.H. - Estimation of Common Long-Memory Components in Cointegrated Systems (RePEc:fth:bostec:4)
by Gonzalo, J. & Granger, C. - On the Robustness of Cointegration Tests when Series Are Fractionally Integrated (RePEc:fth:caland:95-11)
by Lee, T.H. & Gonzalo, J. - On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors (RePEc:ier:iecrev:v:39:y:1998:i:1:p:71-88)
by Gonzalo, Jesus & Pitarakis, Jean-Yves - Quantile Factor Models (RePEc:iza:izadps:dp13870)
by Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús - Long-range dependence in Spanish political opinion poll series (RePEc:jae:japmet:v:18:y:2003:i:2:p:137-155)
by Laura Mayoral & Juan J. Dolado & Jesús Gonzalo - A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks (RePEc:mtl:montde:9603)
by Gonzalo, J. & Ng, S. - A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks (RePEc:mtl:montec:9603)
by Gonzalo, J. & Ng, S. - Which Extreme Values Are Really Extreme? (RePEc:oup:jfinec:v:2:y:2004:i:3:p:349-369)
by Jesus Gonzalo - The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems" (RePEc:oup:jfinec:v:8:y:2010:i:2:p:174-176)
by Jesus Gonzalo - The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (RePEc:oup:rfinst:v:21:y:2008:i:3:p:1187-1222)
by Robert F. Engle & Jose Gonzalo Rangel - Detecting Big Structural Breaks in Large Factor Models (RePEc:oxf:wpaper:677)
by Liang Chen & Juan Dolado & Jesus Gonzalo - Regime Specific Predictability in Predictive Regressions (RePEc:pra:mprapa:29190)
by Gonzalo, Jesus & Pitarakis, Jean-Yves - Detecting big structural breaks in large factor models (RePEc:pra:mprapa:31344)
by Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus - A tale of three cities: climate heterogeneity (RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00254-4)
by María Dolores Gadea Rivas & Jesús Gonzalo - Nonparametric estimation of functional dynamic factor model (RePEc:taf:gnstxx:v:34:y:2022:i:4:p:895-916)
by Israel Martínez-Hernández & Jesús Gonzalo & Graciela González-Farías - On the robustness of cointegration tests when series are fractionally intergrated (RePEc:taf:japsta:v:27:y:2000:i:7:p:821-827)
by Jesus Gonzalo & Tae-Hwy Lee - Regime-Specific Predictability in Predictive Regressions (RePEc:taf:jnlbes:v:30:y:2011:i:2:p:229-241)
by Jesús Gonzalo & Jean-Yves Pitarakis - Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model (RePEc:taf:jnlbes:v:35:y:2017:i:2:p:202-217)
by Jesùs Gonzalo & Jean-Yves Pitarakis - Permanent and transitory components of GDP and stock prices: further analysis (RePEc:taf:macfem:v:1:y:2008:i:1:p:105-120)
by Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang - Subsampling inference in threshold autoregressive models (RePEc:upf:upfgen:573)
by Jesús Gonzalo & Michael Wolf - What is what?: A simple time-domain test of long-memory vs. structural breaks (RePEc:upf:upfgen:954)
by Juan J. Dolado & Jesús Gonzalo & Laura Mayoral - Testing I(1) against I(d) alternatives in the presence of deteministic components (RePEc:upf:upfgen:957)
by Juan J. Dolado & Jesús Gonzalo & Laura Mayoral - Quantile Factor Models (RePEc:wly:emetrp:v:89:y:2021:i:2:p:875-910)
by Liang Chen & Juan J. Dolado & Jesús Gonzalo - Conditional Stochastic Dominance Tests In Dynamic Settings (RePEc:wly:iecrev:v:55:y:2014:i:3:p:819-838)
by Jesus Gonzalo & Jose Olmo - Lag Length Estimation in Large Dimensional Systems (RePEc:wpa:wuwpem:0108002)
by Jesus Gonzalo & Jean-Yves Pitarakis - Lag Length Estimation in Large Dimensional Systems (RePEc:wpa:wuwpem:0108003)
by Jesus Gonzalo & Jean-Yves Pitarakis