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Helena Veiga

Personal Details

First Name:Helena
Middle Name:
Last Name:Veiga
Suffix:
RePEc Short-ID:pve141
[This author has chosen not to make the email address public]
http://www.est.uc3m.es/mhveiga
Department of Statistics Universidad Carlos III de Madrid C/ Madrid 126 28903 Getafe (Madrid) Spain
+34916248902

Affiliation

Departamento de Estadistica
Universidad Carlos III de Madrid

Madrid, Spain
http://halweb.uc3m.es/
RePEc:edi:dxuc3es (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Sofia B. Ramosa & Abderrahim Taamouti & Helena Veiga, 2023. "Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach," Working Papers 202309, University of Liverpool, Department of Economics.
  2. Peeters, Ronald & Vorstaz, Marc, 2022. "An experimental analysis of contagion in financial markets," DES - Working Papers. Statistics and Econometrics. WS 31230, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Zea Bermudez, Patrícia de & Rue, Havard, 2021. "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 31804, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Ramos, Sofía & Huang, I-Chuan, 2020. "Valuation in the energy sector: Fundamentals or bubbles?," DES - Working Papers. Statistics and Econometrics. WS 31056, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Casas Villalba, Maria Isabel, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Zea Bermudez, Patrícia de, 2019. "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 28214, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Casas, Isabel, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
  9. Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017. "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers 201709, University of California at Riverside, Department of Economics.
  10. Mariti, Massimo B., 2017. "Modeling and forecasting the oil volatility index," DES - Working Papers. Statistics and Econometrics. WS 25985, Universidad Carlos III de Madrid. Departamento de Estadística.
  11. González-Rivera, Gloria & Veiga, Helena, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de Estadística.
  12. Deng, Yaguo, 2016. "Efficiency evaluation of Spanish hotel chains," DES - Working Papers. Statistics and Econometrics. WS 23897, Universidad Carlos III de Madrid. Departamento de Estadística.
  13. Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
  14. Galán, Jorge & Ramos, Sofía B. & Veiga, Helena, 2015. "An analysis of the dynamics of efficiency of mutual funds," DES - Working Papers. Statistics and Econometrics. WS ws1517, Universidad Carlos III de Madrid. Departamento de Estadística.
  15. Grané, Aurea & Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
  16. Latoeiro, Pedro & Ramos, Sofía B. & Veiga, Helena, 2013. "Predictability of stock market activity using Google search queries," DES - Working Papers. Statistics and Econometrics. WS ws130605, Universidad Carlos III de Madrid. Departamento de Estadística.
  17. Martín-Barragán, Belén & Ramos, Sofía B. & Veiga, Helena, 2013. "Correlations between oil and stock markets : a wavelet-based approach," DES - Working Papers. Statistics and Econometrics. WS ws130504, Universidad Carlos III de Madrid. Departamento de Estadística.
  18. Ramos, Sofía B. & Veiga, Helena, 2012. "Asymmetric long-run effects in the oil industry," DES - Working Papers. Statistics and Econometrics. WS ws120502, Universidad Carlos III de Madrid. Departamento de Estadística.
  19. Galán, Jorge E. & Veiga, Helena & Wiper, Michael P., 2012. "Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models," Efficiency Series Papers 2012/03, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).
  20. Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de Estadística.
  21. Ramos, Sofía B. & Veiga, Helena, 2010. "Asymmetric effects of oil price fluctuations in international stock markets," DES - Working Papers. Statistics and Econometrics. WS ws100904, Universidad Carlos III de Madrid. Departamento de Estadística.
  22. Grané, Aurea & Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
  23. Ramos, Sofia B. & Veiga, Helena, 2009. "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS ws096920, Universidad Carlos III de Madrid. Departamento de Estadística.
  24. Veiga, Helena, 2009. "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS ws090403, Universidad Carlos III de Madrid. Departamento de Estadística.
  25. Veiga, Helena & Vorsatz, Marc, 2008. "The effect of short-selling of the aggregation of information in an experimental asset market," DES - Working Papers. Statistics and Econometrics. WS ws083808, Universidad Carlos III de Madrid. Departamento de Estadística.
  26. Veiga, Helena & Vorsatz, Marc, 2008. "Aggregation and dissemination of information in experimental asset markets in the presence of a manipulator," DES - Working Papers. Statistics and Econometrics. WS ws084110, Universidad Carlos III de Madrid. Departamento de Estadística.
  27. Veiga, Helena, 2007. "The sign of asymmetry and the Taylor Effect in stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws070702, Universidad Carlos III de Madrid. Departamento de Estadística.
  28. Veiga, Helena, 2007. "The effect of realised volatility on stock returns risk estimates," DES - Working Papers. Statistics and Econometrics. WS ws076316, Universidad Carlos III de Madrid. Departamento de Estadística.
  29. Veiga, Helena, 2007. "Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches," DES - Working Papers. Statistics and Econometrics. WS ws074713, Universidad Carlos III de Madrid. Departamento de Estadística.
  30. Veiga, Helena, 2006. "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS ws062509, Universidad Carlos III de Madrid. Departamento de Estadística.
  31. Veiga, H. & Vorsatz, M., 2006. "Price manipulation in an experimental asset market," Research Memorandum 024, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  32. Veiga, Helena, 2006. "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS ws066016, Universidad Carlos III de Madrid. Departamento de Estadística.
  33. Veiga, Helena, 2006. "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS ws061303, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Veiga, Helena, 2006. "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS ws060101, Universidad Carlos III de Madrid. Departamento de Estadística.
  35. Danilo Coelho & Helena Veiga & R?rt Veszteg, 2005. "Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal," UFAE and IAE Working Papers 636.05, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  36. Maria Helena Lopes Moreira da Veiga, 2003. "Forecasting Volatility Using A Continuous Time Model," UFAE and IAE Working Papers 584.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  37. Maria Helena Lopes Moreira da Veiga, 2003. "Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data," UFAE and IAE Working Papers 585.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    repec:cte:wsrepe:ws142618 is not listed on IDEAS
    repec:cte:wsrepe:ws131918 is not listed on IDEAS
    repec:cte:wsrepe:ws121007 is not listed on IDEAS
    repec:cte:wsrepe:ws131110 is not listed on IDEAS

Articles

  1. Luís F. Costa & Helena Veiga, 2024. "Editors’ note," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 1-2, January.
  2. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  3. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
  4. P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020. "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1057-1074, November.
  5. Ramos, Sofia B. & Latoeiro, Pedro & Veiga, Helena, 2020. "Limited attention, salience of information and stock market activity," Economic Modelling, Elsevier, vol. 87(C), pages 92-108.
  6. Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
  7. João H. Gonçalves Mazzeu & Helena Veiga & Massimo B. Mariti, 2019. "Modeling and forecasting the oil volatility index," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(8), pages 773-787, December.
  8. Yaguo Deng & Helena Veiga & Michael P. Wiper, 2019. "Efficiency evaluation of hotel chains: a Spanish case study," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 10(2), pages 115-139, June.
  9. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
  10. Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017. "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1105-1123.
  11. Galán, Jorge E. & Veiga, Helena & Wiper, Michael P., 2015. "Dynamic effects in inefficiency: Evidence from the Colombian banking sector," European Journal of Operational Research, Elsevier, vol. 240(2), pages 562-571.
  12. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
  13. Jorge Galán & Helena Veiga & Michael Wiper, 2014. "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 42(1), pages 85-101, August.
  14. Ramos, Sofia B. & Veiga, Helena, 2013. "Oil price asymmetric effects: Answering the puzzle in international stock markets," Energy Economics, Elsevier, vol. 38(C), pages 136-145.
  15. Aurea Grané & Helena Veiga, 2012. "Asymmetry, realised volatility and stock return risk estimates," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 11(2), pages 147-164, August.
  16. Ramos, Sofia B. & Veiga, Helena, 2011. "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
  17. Helena Veiga & Marc Vorsatz, 2010. "Information aggregation in experimental asset markets in the presence of a manipulator," Experimental Economics, Springer;Economic Science Association, vol. 13(4), pages 379-398, December.
  18. Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
  19. Helena Veiga, 2009. "Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models," Economics Bulletin, AccessEcon, vol. 29(1), pages 265-276.
  20. Veiga, Helena & Vorsatz, Marc, 2009. "Price manipulation in an experimental asset market," European Economic Review, Elsevier, vol. 53(3), pages 327-342, April.
  21. Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3593-3600, August.
  22. Grané, A. & Veiga, H., 2008. "Accurate minimum capital risk requirements: A comparison of several approaches," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2482-2492, November.
  23. Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
  24. Helena Veiga, 2007. "Are Feedback Factors Important in Modeling Financial Data?," International Review of Finance, International Review of Finance Ltd., vol. 7(3‐4), pages 105-118, September.

More information

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Statistics

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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. Portuguese Economists

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 40 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.
  1. NEP-ECM: Econometrics (19) 2003-09-14 2006-02-26 2006-04-29 2006-10-28 2007-03-03 2007-06-02 2009-02-22 2010-04-17 2012-05-29 2013-05-24 2013-07-15 2014-03-22 2014-11-12 2015-05-16 2016-08-14 2017-09-17 2017-12-03 2019-04-01 2021-02-01. Author is listed
  2. NEP-ETS: Econometric Time Series (18) 2003-09-14 2003-09-28 2006-01-24 2006-02-26 2006-04-29 2006-10-28 2007-03-03 2009-02-22 2010-04-17 2011-10-01 2013-05-24 2014-03-22 2014-11-12 2015-05-16 2017-09-17 2019-04-01 2021-01-04 2021-02-01. Author is listed
  3. NEP-RMG: Risk Management (11) 2003-09-14 2003-09-28 2007-03-03 2007-06-02 2007-09-24 2010-04-17 2014-03-22 2019-02-11 2019-04-01 2021-01-04 2021-02-01. Author is listed
  4. NEP-FMK: Financial Markets (9) 2003-09-14 2003-09-28 2006-01-24 2006-02-26 2007-09-24 2013-03-09 2013-03-23 2015-08-13 2021-01-04. Author is listed
  5. NEP-FOR: Forecasting (8) 2006-04-29 2011-10-01 2013-03-23 2015-05-16 2016-08-14 2017-09-17 2017-12-03 2021-01-04. Author is listed
  6. NEP-CFN: Corporate Finance (6) 2003-09-14 2003-09-28 2015-08-13 2019-02-11 2019-04-01 2021-01-04. Author is listed
  7. NEP-ENE: Energy Economics (6) 2010-01-10 2010-04-17 2012-06-05 2013-03-09 2017-12-03 2020-10-19. Author is listed
  8. NEP-ORE: Operations Research (6) 2011-10-01 2012-05-29 2013-05-24 2017-12-03 2019-04-01 2021-02-01. Author is listed
  9. NEP-EFF: Efficiency and Productivity (4) 2012-05-29 2013-07-15 2015-08-13 2016-11-27
  10. NEP-EXP: Experimental Economics (4) 2008-07-14 2008-07-30 2008-09-29 2020-11-02
  11. NEP-MST: Market Microstructure (3) 2008-07-14 2008-07-30 2011-10-01
  12. NEP-BAN: Banking (1) 2013-07-15
  13. NEP-BEC: Business Economics (1) 2012-06-05
  14. NEP-CTA: Contract Theory and Applications (1) 2008-09-29
  15. NEP-CWA: Central and Western Asia (1) 2012-06-05
  16. NEP-DCM: Discrete Choice Models (1) 2005-01-16
  17. NEP-EDU: Education (1) 2005-01-16
  18. NEP-FIN: Finance (1) 2003-09-28
  19. NEP-GTH: Game Theory (1) 2006-07-09
  20. NEP-LAB: Labour Economics (1) 2005-01-16
  21. NEP-LTV: Unemployment, Inequality and Poverty (1) 2005-01-16
  22. NEP-MAC: Macroeconomics (1) 2006-04-29
  23. NEP-TUR: Tourism Economics (1) 2016-11-27
  24. NEP-UPT: Utility Models and Prospect Theory (1) 2019-02-11

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