M. Angeles Carnero
Personal Details
First Name: | M. Angeles |
Middle Name: | |
Last Name: | Carnero |
Suffix: | |
RePEc Short-ID: | pca153 |
[This author has chosen not to make the email address public] | |
http://fae.ua.es/FAEX/carnero-fernandezm-angeles/ | |
Terminal Degree: | 2003 Departamento de Estadistica; Universidad Carlos III de Madrid (from RePEc Genealogy) |
Affiliation
Departamento de Fundamentos del Análisis Económico
Facultad de Ciencias Económicas y Empresariales
Universidad de Alicante
Alicante, Spainhttp://merlin.fae.ua.es/
RePEc:edi:dfalies (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018.
"Outliers and misleading leverage effect in asymmetric GARCH-type models,"
Working Papers. Serie AD
2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Pérez Ana, 2021. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
- Carnero Fernández, María Ángeles & Pérez, Ana, 2014.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
DES - Working Papers. Statistics and Econometrics. WS
ws141912, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
- M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012.
"Estimating VAR-MGARCH models in multiple steps,"
Working Papers. Serie AD
2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 339-365, May.
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2011.
"Rental housing discrimination and the persistence of ethnic enclaves,"
Working Papers. Serie AD
2011-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Mariano Bosch & M. Carnero & Lídia Farré, 2015. "Rental housing discrimination and the persistence of ethnic enclaves," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 129-152, June.
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2011. "Rental Housing Discrimination and the Persistence of Ethnic Enclaves," IZA Discussion Papers 5583, Institute of Labor Economics (IZA).
- M. Angeles Carnero Fernández & Blanca Martínez & Rocío Sánchez Mangas, 2010.
"Mobbing and workers' health: an empirical analysis for Spain,"
Working Papers. Serie AD
2010-30, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Angeles Carnero & Blanca Martínez & Rocı´o Sa´nchez‐Mangas, 2012. "Mobbing and workers’ health: empirical analysis for Spain," International Journal of Manpower, Emerald Group Publishing Limited, vol. 33(3), pages 322-339, June.
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2009.
"Information and discrimination in the rental housing market: evidence from a field experiment,"
Working Papers. Serie AD
2009-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2010. "Information and discrimination in the rental housing market: Evidence from a field experiment," Regional Science and Urban Economics, Elsevier, vol. 40(1), pages 11-19, January.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008. "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD 2008-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005.
"Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices,"
Tinbergen Institute Discussion Papers
05-091/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
- Carnero, María Ángeles, 2004.
"Spurious and hidden volatility,"
DES - Working Papers. Statistics and Econometrics. WS
ws042007, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004.
"Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices,"
Econometric Society 2004 Australasian Meetings
158, Econometric Society.
- M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
- E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
- Carnero, María Ángeles, 2003.
"Detecting level shifts in the presence of conditional heteroscedasticity,"
DES - Working Papers. Statistics and Econometrics. WS
ws036313, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Working Papers. Serie AD 2004-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, María Ángeles, 2001. "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS ws010805, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
Articles
- Carnero M. Angeles & Pérez Ana, 2021.
"Outliers and misleading leverage effect in asymmetric GARCH-type models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Working Papers. Serie AD 2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
- M. Angeles Carnero & Jose Olmo & Lorenzo Pascual, 2018. "Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS," Energies, MDPI, vol. 11(11), pages 1-23, November.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
- Carnero Fernández, María Ángeles & Pérez, Ana, 2014. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS ws141912, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Blanca Martinez & Roc�o S�nchez-Mangas, 2015. "Explaining transactions in time banks in economic crisis," Applied Economics Letters, Taylor & Francis Journals, vol. 22(9), pages 739-744, June.
- Mariano Bosch & M. Carnero & Lídia Farré, 2015.
"Rental housing discrimination and the persistence of ethnic enclaves,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 129-152, June.
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2011. "Rental Housing Discrimination and the Persistence of Ethnic Enclaves," IZA Discussion Papers 5583, Institute of Labor Economics (IZA).
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2011. "Rental housing discrimination and the persistence of ethnic enclaves," Working Papers. Serie AD 2011-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Eratalay M. Hakan, 2014.
"Estimating VAR-MGARCH models in multiple steps,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 339-365, May.
- M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Angeles Carnero & Blanca Martínez & Rocı´o Sa´nchez‐Mangas, 2012.
"Mobbing and workers’ health: empirical analysis for Spain,"
International Journal of Manpower, Emerald Group Publishing Limited, vol. 33(3), pages 322-339, June.
- M. Angeles Carnero Fernández & Blanca Martínez & Rocío Sánchez Mangas, 2010. "Mobbing and workers' health: an empirical analysis for Spain," Working Papers. Serie AD 2010-30, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, vol. 114(1), pages 86-90.
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2010.
"Information and discrimination in the rental housing market: Evidence from a field experiment,"
Regional Science and Urban Economics, Elsevier, vol. 40(1), pages 11-19, January.
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2009. "Information and discrimination in the rental housing market: evidence from a field experiment," Working Papers. Serie AD 2009-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Angeles Carnero & Blanca Martinez & Rocio Sanchez-Mangas, 2010. "Mobbing and its determinants: the case of Spain," Applied Economics, Taylor & Francis Journals, vol. 42(29), pages 3777-3787.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007. "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 471-497, July.
- M. Angeles Carnero, 2004.
"Persistence and Kurtosis in GARCH and Stochastic Volatility Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 319-342.
RePEc:eme:ijmpps:01437721211234183 is not listed on IDEAS
More information
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (9) 2004-08-16 2004-08-23 2004-10-30 2006-01-24 2006-02-19 2008-11-04 2012-04-17 2014-07-21 2018-02-05. Author is listed
- NEP-ECM: Econometrics (7) 2003-11-16 2004-08-16 2004-10-30 2008-11-04 2012-04-17 2014-07-21 2018-02-05. Author is listed
- NEP-EXP: Experimental Economics (3) 2009-09-11 2011-04-02 2011-04-23
- NEP-FIN: Finance (3) 2004-08-16 2004-10-30 2006-01-24
- NEP-MIG: Economics of Human Migration (3) 2009-09-11 2011-04-02 2011-04-23
- NEP-URE: Urban and Real Estate Economics (3) 2009-09-11 2011-04-02 2011-04-23
- NEP-ENE: Energy Economics (2) 2003-10-20 2006-01-24
- NEP-FMK: Financial Markets (1) 2006-02-19
- NEP-FOR: Forecasting (1) 2008-11-04
- NEP-HEA: Health Economics (1) 2010-10-09
- NEP-IFN: International Finance (1) 2003-11-16
- NEP-ORE: Operations Research (1) 2018-02-05
- NEP-RMG: Risk Management (1) 2003-11-16
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