Jesus Gonzalo
Personal Details
First Name: | Jesus |
Middle Name: | |
Last Name: | Gonzalo |
Suffix: | |
RePEc Short-ID: | pgo192 |
[This author has chosen not to make the email address public] | |
http://www.eco.uc3m.es/jgonzalo | |
Terminal Degree: | 1991 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy) |
Affiliation
Departamento de Economía
Universidad Carlos III de Madrid
Madrid, Spainhttp://www.eco.uc3m.es/
RePEc:edi:deuc3es (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Maria Dolores Gadea & Jesus Gonzalo, 2023.
"Climate change heterogeneity: A new quantitative approach,"
Papers
2301.02648, arXiv.org.
- Gadea Rivas, Marta Dolores, 2022. "Climate change heterogeneity: a new quantitative approach," UC3M Working papers. Economics 35442, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2023.
"Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates,"
Papers
2302.02866, arXiv.org, revised Oct 2023.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2024. "Out-of-sample predictability in predictive regressions with many predictor candidates," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1166-1178.
- Pitarakis, Jean-Yves, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Maria Dolores Gadea & Jesus Gonzalo & Andrey Ramos, 2023.
"Trends in Temperature Data: Micro-foundations of Their Nature,"
Papers
2312.06379, arXiv.org.
- Gadea Rivas, María Dolores & Ramos, Andrey, 2023. "Trends in temperature data: micro-foundations of their nature," UC3M Working papers. Economics 39045, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J & Gonzalo, Jesus & Ramos, Andrey, 2023.
"Heterogeneous Predictive Association of CO2 with Global Warming,"
CEPR Discussion Papers
18114, C.E.P.R. Discussion Papers.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo & Andrey Ramos, 2023. "Heterogeneous predictive association of CO2 with global warming," Economica, London School of Economics and Political Science, vol. 90(360), pages 1397-1421, October.
- Chen, Liang & Ramos Ramirez, Andrey David, 2023. "Heterogeneous Predictive Association of CO2 with Global Warming," UC3M Working papers. Economics 36451, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo & Haozi Pan, 2023.
"Estimation of Characteristics-based Quantile Factor Models,"
Papers
2304.13206, arXiv.org.
- Chen, Liang & Pan, Haozi, 2023. "Estimation of characteristics-based quantile factor models," UC3M Working papers. Economics 37095, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J & Gonzalo, Jesus & Pan, Haozi, 2023. "Estimation of Characteristics-based Quantile Factor Models," CEPR Discussion Papers 18115, C.E.P.R. Discussion Papers.
- Gadea Rivas, María Dolores, 2021. "A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado)," UC3M Working papers. Economics 32200, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2020.
"Spurious relationships in high dimensional systems with strong or mild persistence,"
UC3M Working papers. Economics
31553, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021. "Spurious relationships in high-dimensional systems with strong or mild persistence," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Mario Alloza & Jesus Gonzalo & Carlos Sanz, 2020.
"Dynamic Effects of Persistent Shocks,"
Papers
2006.14047, arXiv.org.
- Mario Alloza & Jesús Gonzalo & Carlos Sanz, 2019. "Dynamic effects of persistent shocks," Working Papers 1944, Banco de España.
- Alloza, Mario & Sanz, Carlos, 2019. "Dynamic Effects of Persistent Shocks," UC3M Working papers. Economics 29187, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2020.
"Uncovering regimes in out of sample forecast errors from predictive regressions,"
UC3M Working papers. Economics
31555, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021. "Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
- Pitarakis, Jean-Yves, 2019. "Predictive Regressions," UC3M Working papers. Economics 28554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019.
"Quantile Factor Models,"
Papers
1911.02173, arXiv.org, revised Sep 2020.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Chen, Liang, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
- Gonzalo, Jesús & Taamouti, Abderrahim, 2017. "The Reaction of Stock Market Returns to Unemployment," UC3M Working papers. Economics 24120, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gadea Rivas, María Dolores, 2017.
"Trends in distributional characteristics : Existence of global warming,"
UC3M Working papers. Economics
24121, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020. "Trends in distributional characteristics: Existence of global warming," Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
- Olmo, José, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Ramos Ramirez, Andrey David, 2013. "Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach," DES - Working Papers. Statistics and Econometrics. WS 35531, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Berenguer Rico, Vanessa, 2013. "Co-summability from linear to non-linear cointegration," UC3M Working papers. Economics we1312, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2012.
"Estimation and inference in threshold type regime switching models,"
UC3M Working papers. Economics
we1204, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2013. "Estimation and inference in threshold type regime switching models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205, Edward Elgar Publishing.
- Gonzalo, Jesús & Taamouti, Abderrahim, 2012. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1237, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang, 2011.
"Detecting big structural breaks in large factor models,"
UC3M Working papers. Economics
we1141, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
- Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011. "Detecting big structural breaks in large factor models," MPRA Paper 31344, University Library of Munich, Germany.
- Berenguer Rico, Vanessa, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesús & Taamouti, Abderrahim, 2011. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1145, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Olmo, José, 2010.
"Conditional stochastic dominance tests in dynamic settings,"
UC3M Working papers. Economics
we1029, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo & Jose Olmo, 2014. "Conditional Stochastic Dominance Tests In Dynamic Settings," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
- Olmo, José, 2013. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1205, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2010.
"Regime specific predictability in predictive regressions,"
UC3M Working papers. Economics
we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Olmo, José, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Figuerola-Ferretti, Isabel, 2008.
"Modelling and Measuring Price Discovery in Commodity Markets,"
DEE - Working Papers. Business Economics. WB
15951, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
- Figuerola-Ferretti, Isabel, 2007. "Modelling and measuring price discovery in commodity markets," DEE - Working Papers. Business Economics. WB wb074510, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Mayoral, Laura, 2008. "Simple Wald tests of the fractional integration parameter : an overview of new results," UC3M Working papers. Economics we20080129, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Olmo, José, 2008.
"Testing downside risk efficiency under market distress,"
UC3M Working papers. Economics
we084321, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, J. & Olmo, J., 2008. "Testing Downside Risk Efficiency Under Market Distress," Working Papers 08/11, Department of Economics, City University London.
- Mayoral, Laura, 2007.
"Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components,"
UC3M Working papers. Economics
we20070625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008. "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
- Olmo, José, 2007.
"The impact of heavy tails and comovements in downside-risk diversification,"
UC3M Working papers. Economics
we20070208, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, J. & Olmo, J., 2007. "The impact of heavy tails and comovements in downside-risk diversification," Working Papers 07/02, Department of Economics, City University London.
- Lee, Tae-Hwy & Yang, Weiping, 2007.
"Permanent and transitory components of GDP and stock prices: further analysis,"
UC3M Working papers. Economics
we20070525, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008. "Permanent and transitory components of GDP and stock prices: further analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 105-120.
- Mayoral, Laura, 2006. "Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components," UC3M Working papers. Economics we20061221, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2006.
"Threshold effects in cointegrating relationships,"
UC3M Working papers. Economics
we20060621, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesús Gonzalo & Jean‐Yves Pitarakis, 2006. "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005.
"What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks,"
Working Papers
258, Barcelona School of Economics.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.
- Olmo, José, 2005. "Contagion versus flight to quality in financial markets," UC3M Working papers. Economics we051810, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank.
- Jose Olmo & Jesus Gonzalo, 2004.
"Which Extreme Values are Really Extremes?,"
Econometric Society 2004 North American Winter Meetings
144, Econometric Society.
- Jesus Gonzalo, 2004. "Which Extreme Values Are Really Extreme?," Journal of Financial Econometrics, Oxford University Press, vol. 2(3), pages 349-369.
- Martínez, Oscar, 2003.
"Threshold integrated moving average models: does size matter? maybe so,"
DE - Documentos de Trabajo. EconomÃa. DE
16008, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Oscar Martin & Jesus Gonzalo, 2004. "Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)," Econometric Society 2004 North American Winter Meetings 145, Econometric Society.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2003. "Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend," Working Papers 29, Barcelona School of Economics.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001.
"Lag Length Estimation in Large Dimensional Systems,"
Econometrics
0108002, University Library of Munich, Germany.
- Jesús Gonzalo & Jean‐Yves Pitarakis, 2002. "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
- Jesús Gonzalo & Michael Wolf, 2001.
"Subsampling inference in threshold autoregressive models,"
Economics Working Papers
573, Department of Economics and Business, Universitat Pompeu Fabra.
- Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
- González, Martín, 2000. "Econometric implications of non-exact present value models," DE - Documentos de Trabajo. EconomÃa. DE 16009, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- González, M., 1997. "Threshold unit root models," DES - Working Papers. Statistics and Econometrics. WS 6214, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Lee, Tae-Hwy, 1996.
"On the robustness of cointegration tests when series are fractionally integrated,"
DES - Working Papers. Statistics and Econometrics. WS
4542, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
- Lee, T.H. & Gonzalo, J., 1995. "On the Robustness of Cointegration Tests when Series Are Fractionally Integrated," The A. Gary Anderson Graduate School of Management 95-11, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Engsted, Tom & Haldrup, Niels, 1996. "Multicointegration and present value relations," DES - Working Papers. Statistics and Econometrics. WS 4540, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Adda, Jerome, 1996.
"P-values for non-standard distributions with an application to the DF test,"
DES - Working Papers. Statistics and Econometrics. WS
4541, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Adda, Jerome & Gonzalo, Jesus, 1996. "P-Values for non-standard distributions with an application to the DF test," Economics Letters, Elsevier, vol. 50(2), pages 155-160, February.
- Jerome Adda & Jesus Gonzalo, 1995. "P-Values for Non-Standard Distributions with an Application to the DF Test," Boston University - Institute for Economic Development 61, Boston University, Institute for Economic Development.
- Ng, Serena, 1996.
"A systematic framework for analyzing the dynamic effects of permanent and transitory shocks,"
DES - Working Papers. Statistics and Econometrics. WS
6203, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- González Rozada, Martín, 1996. "Non-exact present value relations," DES - Working Papers. Statistics and Econometrics. WS 4544, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Lee, T.H., 1995.
"Pitfalls in Testing for Long Run Relationships,"
Papers
38, Boston University - Department of Economics.
- Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
- Lee, Tae-Hwy, 1995. "No lack of relative power of the Dickey-Fuller tests for unit roots," DES - Working Papers. Statistics and Econometrics. WS 4512, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- GONZALO , Jesus & PITARAKIS , Jean-Yves, 1995.
"On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors,"
LIDAM Discussion Papers CORE
1995034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pitarakis, Jean-Yves, 1995. "On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors," DES - Working Papers. Statistics and Econometrics. WS 4513, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Pitaris, J.Y., 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors," Papers 35, Boston University - Department of Economics.
- Gonzalo, J. & Lee, T.H., 1995.
"Relative Power of t Type Tests of Stationary and Unit Root Processes,"
Papers
36, Boston University - Department of Economics.
- Jesus Gonzalo & Tae‐Hwy Lee, 1996. "RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(1), pages 37-47, January.
- GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994.
"Comovements in Large Systems,"
LIDAM Discussion Papers CORE
1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pitarakis, Jean-Yves, 1995. "Comovements in large systems," DES - Working Papers. Statistics and Econometrics. WS 5825, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Granger, C., 1992.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Papers
4, Boston University - Department of Economics.
- Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
- Gonzalo, J., 1992.
"Cointegration and Aggregation,"
Papers
11, Boston University - Department of Economics.
- Gonzalo, Jesus, 1993. "Cointegration and aggregation," Ricerche Economiche, Elsevier, vol. 47(3), pages 281-291, September.
Articles
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2024.
"Out-of-sample predictability in predictive regressions with many predictor candidates,"
International Journal of Forecasting, Elsevier, vol. 40(3), pages 1166-1178.
- Pitarakis, Jean-Yves, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2023. "Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates," Papers 2302.02866, arXiv.org, revised Oct 2023.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo & Andrey Ramos, 2023.
"Heterogeneous predictive association of CO2 with global warming,"
Economica, London School of Economics and Political Science, vol. 90(360), pages 1397-1421, October.
- Chen, Liang & Dolado, Juan J & Gonzalo, Jesus & Ramos, Andrey, 2023. "Heterogeneous Predictive Association of CO2 with Global Warming," CEPR Discussion Papers 18114, C.E.P.R. Discussion Papers.
- Chen, Liang & Ramos Ramirez, Andrey David, 2023. "Heterogeneous Predictive Association of CO2 with Global Warming," UC3M Working papers. Economics 36451, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- María Dolores Gadea Rivas & Jesús Gonzalo, 2022. "A tale of three cities: climate heterogeneity," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 475-511, May.
- Israel Martínez-Hernández & Jesús Gonzalo & Graciela González-Farías, 2022. "Nonparametric estimation of functional dynamic factor model," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 34(4), pages 895-916, October.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021.
"Quantile Factor Models,"
Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Chen, Liang, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
- Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021.
"Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
- Pitarakis, Jean-Yves, 2020. "Uncovering regimes in out of sample forecast errors from predictive regressions," UC3M Working papers. Economics 31555, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021.
"Spurious relationships in high-dimensional systems with strong or mild persistence,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020.
"Trends in distributional characteristics: Existence of global warming,"
Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
- Gadea Rivas, María Dolores, 2017. "Trends in distributional characteristics : Existence of global warming," UC3M Working papers. Economics 24121, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo & Jose Olmo, 2019. "Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 42-61, February.
- Jesùs Gonzalo & Jean-Yves Pitarakis, 2017. "Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 202-217, April.
- Gonzalo Jesús & Taamouti Abderrahim, 2017. "The reaction of stock market returns to unemployment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-20, September.
- Jesus Gonzalo & Jose Olmo, 2014.
"Conditional Stochastic Dominance Tests In Dynamic Settings,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
- Olmo, José, 2010. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1029, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Olmo, José, 2013. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1205, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014.
"Detecting big structural breaks in large factor models,"
Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
- Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
- Chen, Liang, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011. "Detecting big structural breaks in large factor models," MPRA Paper 31344, University Library of Munich, Germany.
- Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011.
"Regime-Specific Predictability in Predictive Regressions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo, 2010. "The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"," Journal of Financial Econometrics, Oxford University Press, vol. 8(2), pages 174-176, spring.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010.
"Modelling and measuring price discovery in commodity markets,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
- Figuerola-Ferretti, Isabel, 2008. "Modelling and Measuring Price Discovery in Commodity Markets," DEE - Working Papers. Business Economics. WB 15951, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Figuerola-Ferretti, Isabel, 2007. "Modelling and measuring price discovery in commodity markets," DEE - Working Papers. Business Economics. WB wb074510, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Robert F. Engle & Jose Gonzalo Rangel, 2008. "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1187-1222, May.
- Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008.
"Permanent and transitory components of GDP and stock prices: further analysis,"
Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 105-120.
- Lee, Tae-Hwy & Yang, Weiping, 2007. "Permanent and transitory components of GDP and stock prices: further analysis," UC3M Working papers. Economics we20070525, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008.
"Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
- Mayoral, Laura, 2007. "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," UC3M Working papers. Economics we20070625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
- Swanson, Norman R. & Elliott, Graham & Ghysels, Eric & Gonzalo, Jesus, 2006. "Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 1-9.
- Jesús Gonzalo & Jean‐Yves Pitarakis, 2006.
"Threshold Effects in Cointegrating Relationships,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
- Pitarakis, Jean-Yves, 2006. "Threshold effects in cointegrating relationships," UC3M Working papers. Economics we20060621, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesus & Wolf, Michael, 2005.
"Subsampling inference in threshold autoregressive models,"
Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
- Jesús Gonzalo & Michael Wolf, 2001. "Subsampling inference in threshold autoregressive models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra.
- Jesus Gonzalo, 2004.
"Which Extreme Values Are Really Extreme?,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(3), pages 349-369.
- Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society.
- Laura Mayoral & Juan J. Dolado & Jesús Gonzalo, 2003. "Long-range dependence in Spanish political opinion poll series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 137-155.
- Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2002. "A Fractional Dickey-Fuller Test for Unit Roots," Econometrica, Econometric Society, vol. 70(5), pages 1963-2006, September.
- Jesús Gonzalo & Jean‐Yves Pitarakis, 2002.
"Lag length estimation in large dimensional systems,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108002, University Library of Munich, Germany.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
- Gonzalo, Jesus & Ng, Serena, 2001.
"A systematic framework for analyzing the dynamic effects of permanent and transitory shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
- Ng, Serena, 1996. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," DES - Working Papers. Statistics and Econometrics. WS 6203, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- Jesus Gonzalo & Tae-Hwy Lee, 2000.
"On the robustness of cointegration tests when series are fractionally intergrated,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
- Lee, Tae-Hwy, 1996. "On the robustness of cointegration tests when series are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS 4542, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Lee, T.H. & Gonzalo, J., 1995. "On the Robustness of Cointegration Tests when Series Are Fractionally Integrated," The A. Gary Anderson Graduate School of Management 95-11, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 1998. "On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(1), pages 71-88, February.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 1998. "Specification via model selection in vector error correction models," Economics Letters, Elsevier, vol. 60(3), pages 321-328, September.
- Gonzalo, Jesus & Lee, Tae-Hwy, 1998.
"Pitfalls in testing for long run relationships,"
Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
- Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
- Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.
- Adda, Jerome & Gonzalo, Jesus, 1996.
"P-Values for non-standard distributions with an application to the DF test,"
Economics Letters, Elsevier, vol. 50(2), pages 155-160, February.
- Adda, Jerome, 1996. "P-values for non-standard distributions with an application to the DF test," DES - Working Papers. Statistics and Econometrics. WS 4541, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jerome Adda & Jesus Gonzalo, 1995. "P-Values for Non-Standard Distributions with an Application to the DF Test," Boston University - Institute for Economic Development 61, Boston University, Institute for Economic Development.
- Jesus Gonzalo & Tae‐Hwy Lee, 1996.
"RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 17(1), pages 37-47, January.
- Gonzalo, J. & Lee, T.H., 1995. "Relative Power of t Type Tests of Stationary and Unit Root Processes," Papers 36, Boston University - Department of Economics.
- Gonzalo, Jesus & Granger, Clive W J, 1995.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
- Tom Doan, "undated". "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Gonzalo, Jesus, 1993.
"Cointegration and aggregation,"
Ricerche Economiche, Elsevier, vol. 47(3), pages 281-291, September.
- Gonzalo, J., 1992. "Cointegration and Aggregation," Papers 11, Boston University - Department of Economics.
Chapters
- Jesús Gonzalo & Jean-Yves Pitarakis, 2013.
"Estimation and inference in threshold type regime switching models,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205,
Edward Elgar Publishing.
- Pitarakis, Jean-Yves, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de EconomÃa.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 45 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-ECM: Econometrics (22) 2001-09-10 2001-10-29 2006-04-22 2006-04-22 2006-06-10 2007-02-17 2007-03-03 2007-09-24 2008-04-29 2008-09-29 2010-01-30 2010-12-04 2011-06-18 2011-07-21 2013-07-15 2017-10-01 2019-07-22 2019-11-25 2021-01-04 2021-01-04 2021-01-04 2023-05-01. Author is listed
- NEP-ETS: Econometric Time Series (18) 2001-10-29 2006-04-22 2006-04-22 2006-06-10 2007-02-17 2007-03-03 2007-09-24 2007-09-24 2008-04-29 2012-04-17 2013-07-15 2013-11-02 2020-01-06 2021-01-04 2021-01-04 2021-01-04 2023-03-06 2023-12-18. Author is listed
- NEP-MAC: Macroeconomics (8) 2006-06-10 2007-09-24 2007-09-24 2016-10-02 2017-02-12 2019-11-25 2020-01-06 2023-05-29. Author is listed
- NEP-ENV: Environmental Economics (7) 2017-02-12 2021-03-29 2022-08-15 2023-01-30 2023-02-20 2023-12-18 2024-01-22. Author is listed
- NEP-ORE: Operations Research (7) 2008-04-29 2011-07-21 2019-11-25 2020-01-06 2020-12-07 2021-01-04 2021-01-04. Author is listed
- NEP-AGR: Agricultural Economics (6) 2012-06-13 2017-02-12 2021-03-29 2022-08-15 2023-01-30 2023-02-20. Author is listed
- NEP-FOR: Forecasting (3) 2006-06-10 2011-03-19 2021-01-04
- NEP-RMG: Risk Management (3) 2007-02-17 2008-09-29 2010-01-30
- NEP-CBA: Central Banking (2) 2008-04-29 2020-01-06
- NEP-DCM: Discrete Choice Models (2) 2023-05-01 2023-05-29
- NEP-ENE: Energy Economics (2) 2023-01-30 2023-02-20
- NEP-BEC: Business Economics (1) 2006-06-10
- NEP-DES: Economic Design (1) 2023-05-29
- NEP-FIN: Finance (1) 2005-09-11
- NEP-FMK: Financial Markets (1) 2005-09-11
- NEP-HIS: Business, Economic and Financial History (1) 2012-06-13
- NEP-LAB: Labour Economics (1) 2012-05-15
- NEP-MST: Market Microstructure (1) 2007-05-19
- NEP-OPM: Open Economy Macroeconomics (1) 2020-01-06
- NEP-UPT: Utility Models and Prospect Theory (1) 2016-10-02
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