Research

2024


57. Expecting the unexpected: Stressed scenarios for economic growth, 2024, with González-Rivera, G. and C.V. Rodríguez-Caballero, Journal of Applied Econometrics, En prensa  [link]

2023


56. The factor structure of exchange rates volatility: Global and intermittent factors, 2023, with Caporin, M. and C.V. Rodríguez-Caballero, Empirical Economics, En prensa [link to publication ]

55. Direct versus iterated multi-period Value at Risk, 2023, with M.R. Nieto, Journal of Economic Surveys, 37(3), 915-949 [link to publication ]

54. Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models, 2023, with D. Fresoli and  P. Poncela, Economic Letters [link to publication ]

2022


53. Factor extraction in Dynamic Factor Models: Kalman filter versus Principal Components, 2022, with P. Poncela, Foundations and Trends in Econometrics [link to publication ]

52. Dynamic factor models: Does the specification matter?, 2022, with P. Poncela and K. Miranda, SERIES, 13, 397-428. [link]  

2021


51. 30 years of cointegration and dynamic factor models. Forecasting and its future with Big Data: Editorial, 2021, with A. Escribano and D. Peña, International Journal of Forecasting, 37(4). 1333-1337.

50. Accurate confidence regions for principal component factors, 2021, with J.V. Maldonado, Oxford Bulletin of Economics and Statistics, 83(6), 1432-1453. [link WP]

49. Factor extraction using Kalman filter and smoothing: This is not just another survey, 2021, with P. Poncela and K. Miranda, International Journal of Forecasting, 37(4), 1399-1425. [link publication] [link WP]

48. A bootstrap approach for generalized autocontour testing, 2021, with Mazzeu, J.H.G., G. González-Rivera and H. Veiga, Econometric Reviews, 39(10), 971-990. [link publication] [link WP]

2020


47. Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection, 2020, with G. Moura and A. Santos, Journal of Banking and Finance, 118, 105882.  [link publication] [link WP]

46. Prediction regions for interval-valued time series, 2020, with González-Rivera, G. and Luo, Y., Journal of Applied Econometrics,35(4), 373-390. [link publication] [link WP]

45. Asymmetric stochastic volatility models: properties and particle filter-based simulated maximum likelihood estimation, 2020, with Mao, X., Czellar, V., E. Ruiz and H. Veiga, Econometrics and Statistics, 13, 84-105. [link publication] [link WP]

44. Estimating non-stationary common factors: Implications for risk sharing, 2020, with Corona, F. and P. Poncela, Computational Economics, 55, 37-60. [open access]

2019


43. Growth in stress, 2019, with G. González-Rivera and J. Vicente, International Journal of Forecasting, 35(3), 948-966 [link publication] [link WP]

2018


42. Dynamic conditional correlations: Implications for portfolio selection and value-at-risk, 2018, with C. Trucíos, C. and L. Hotta, Journal of Statistical Computation and Simulation, 88(10), 1976-2000 

41. MGARCH models: Trade-off between feasibility and flexibility, 2018, with D. Almedia and L.K. Hotta, International Journal of Forecasting, 34, 45-63.

40. Model uncertainty and the forecast accuracy of ARMA models: A survey, 2018, with J.H.G. Mazzeu and M.H. Veiga, Journal of Economic Surveys, 32(2), 388-419

2017


39. Robust bootstrap forecast densities for GARCH returns and volatilities, 2017, with C. Trucíos and L.K. Hotta, Journal of Statistical Computation and Simulation, 87(16), 3152-3174 

38. Threshold stochastic volatility models, 2017, with X. Mao and M.H. Veiga, International Journal of Forecasting, 33(4), 1105-1123

37. Determining the number of factors after stationary univariate transformations, 2017 with F. Corona and P. Poncela, Empirical Economics, 53, 351-372

2016

36. Identification of asymmetric conditional heteroscedasticity in the presence of outliers, 2016, joint with A. Perez and M.A. Carnero, SERIEs, 7, 179-201.

35. Frontiers in VaR forecasting and backtesting, 2016, joint with M.R. Nieto, International Journal of Forecasting, 32, 475-501

34. The uncertainty of conditional returns, volatilities and correlations in DCC models, 2016, joint with D. Fresoli, Computational Statistics & Data Analysis, 100, 170-185.

2015

33. Bootstrap multi-step forecasts of non-Gaussian VAR models, 2015, joint with D. Fresoli and L. Pascual, International Journal of Forecasting, 31(3), 834-848.

2013

32. Comparing univariate and multivariate models to forecast portfolio Value-at-Risk, 2013, joint with Santos, A.A.P. and F.J. Nogales, Journal of Financial Econometrics, 11(2), 400-441.

2012

31. Optimal portfolios with minimum capital requirements, 2012, joint with Santos. A.A.P., F.J. Nogales and D. van Dijk, Journal of Banking and Finance, 36(7), 1928- 1942.

30. GARCH models with leverage effect: differences and similarities, 2012, joint with Rodríguez, M.J., Journal of Financial Econometrics, 10(4), 637-668.

29. Estimating and forecasting GARCH volatility in the presence of outliers, 2012, joint with Carnero, M.A. and D. Peña, Economics Letters, 114, 86-90

28. Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters, 2012, joint with Rodríguez, A., Computational Statistics & Data Analysis, 56, 62-74

27. Maximally autocorrelated power transformations: a closer look at the properties of stochastic volatility models, 2012, joint with Pérez, A., Studies in Nonlinear Dynamics & Econometrics, 16.2

2011

26. Prediction intervals in conditionally heteroscedastic time series with stochastic components, 2011, joint with Pellegrini, S. and A. Espasa, International Journal of Forecasting, 27, 308-319.

2010

25. Conditionally heterocedastic unobserved component models and their reduced form, 2010, with Pellegrini, S. and A. Espasa, Economics Letters, 107(2), 88-90.

2009

24. A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect, 2009, with Pérez, A. and Veiga, H., Computational Statistics & Data Analysis

23. Testing for condicional heterocedasticity in the components of inflation, 2009, with C. Broto, Studies in Nonlinear Dynamics & Econometrics, 13.2

22. Bootstrap Prediction Intervals in State Space Models, 2009, with A. Rodríguez, Journal of Time Series Analysis, 30(2), 167-178.

2008

21. Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH, 2008, with H. Veiga, Computational Statistics & Data Analysis, 52(6), 2846-2862.

2006

20. Effects of outliers on the identification and estimation of GARCH models, 2006, with M.A. Carnero and D. Peña, Journal of Time Series Analysis, 28(4), 471-497.

19. Bootstrap prediction for returns and volatilities in GARCH models, 2006, with L. Pascual and J. Romo, Computational Statistics & Data Analysis, 50(9), 2293-2312.

18. Unobserved component models with asymmetric conditional variances, 2006, with C. Broto, Computational Statistics & Data Analysis, 50(9), 2146-2166.

2005

17. A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities, 2005, with J. Rodríguez, J., Statistica Sinica, 15, 505- 526.

2004

16. Bootstrap prediction intervals for power-transformed time series, 2004, with L. Pascual and J. Romo, International Journal of Forecasting, 21, 219-23.

15. Estimation methods for Stochastic Volatility models: A survey, 2004, with C. Broto, Journal of Economic Surveys, 18, 613-649

14. Bootstrap predictive inference for ARIMA processes, 2004, with L. Pascual, L. and J. Romo, Journal of Time Series Analysis, 25, 449-465

13. Persistence and kurtosis in GARCH and Stochastic Volatility Models, 2004, with M.A. Carnero and D. Peña, Journal of Financial Econometrics, 2, 319-342

2003

12. Properties of the sample autocorrelations of non-linear transformations in long memory stochastic volatility models, 2003, with A. Pérez, A., Journal of Financial Econometrics, 1(3), 420-444

11. Asymmetric long memory GARCH: A reply to Hwang’s model, 2003, with A. Pérez, Economics Letters, 78(3), 415-422


2002

10. Relaciones dinámicas en el mercado internacional de carne de vacuno, 2002, with N. Hernández and C. Pañeda, Revista de Economía Aplicada, 10(29), 137-149

9. Modelos de memoria larga para series temporales económicas y financieras, 2002, with A. Pérez, Investigaciones Económicas, 26(3), 359-410

8. Bootstraping financial time series, 2002, with L. Pascual, Journal of Economic Surveys, 16, 271-300. Reprinted in Contributions to Financial Econometrics: Theoretical and Practical Issues, 2002, M. McAleer and L. Oxley (eds.), Blackwel

2001

7. Outliers and Conditional Autoregressive Heteroscedasticity in time series, 2001, with M.A. Carnero and D. Peña, Estadística, 53, 143-213.

6. Finite sample properties of a QML estimator of Stochastic Volatility models with long memory, 2001, with A. Pérez, Economics Letters, 70(2), 157-164

5. Effects of parameter estimation on prediction densities: A bootstrap approach, 2001, with L. Pascual, L. and J. Romo, International Journal of Forecasting, 17(1), 83-103

1995

4. Stock Market Regulations and Internacional Financial Integration: the case of Spain, 1995, with J.I. Peña, European Journal of Finance, 1, 367-382

1994

3. Quasi-Maximum Likelihood Estimation of Stochastic Variance Models, 1994, Journal of Econometrics, 63, 289-306. Reprinted in Recent Developments in Time Series, 2003, P. Newbold and S.J. Leyburne (eds.), Edgard Elgar.

2. Multivariate Stochastic Variance Models, 1994, with A.C. Harvey and N.G. Shephard, Review of Economic Studies, 61, 247-264. Reprinted in ARCH: Selected Readings, 1995, R.F. Engle (ed.), Oxford University Press. Reprinted in Recent Developments in Time Series, 2003, P. Newbold and S.J. Leyburne (eds.), Edgard Elgar. Reprinted in Selected Readings for Stochastic Volatility, 2005, N.G. Shephard (ed.), Oxford University Press.

1992

1. Unobserved Component Time Series Models with ARCH Disturbances, 1992, with A.C. Harvey and E. Sentana, Journal of Econometrics, 52(1/2), 129-158.

6. Structural breaks and common factors, 2024, with A. Montañés,  in Chang, C., A. Pinheiro and C.M.C. Toloi (eds.), Time Series and Wavelets Analysis, Festschrift in Honor of Pedro A. Morettin, Springer Nature. [link ]

5. Common factors and common shocks: A tale of three (close) signal extraction procedures, 2023, with P. Poncela, in Barigozzi, M., Hömann, S. and Paindaveine, D. (eds.), Recent Advances in Econometrics and Statistics, Springer Nature 

4. Predicción de series temporales basada en Machine Learning: Aplicaciones económicas y financieras, 2021, with L. Pascual, in Peña, D., P. Poncela and E. Ruiz, Nuevos Métodos de Predicción Económica con Datos Masivos, FUNCAS, Madrid. 

3. Small versus big-data factor extraction in dynamic factor models: An empirical assesment, 2015, with P. Poncela, in Hillebrand, E. and S.J. Koopman (eds.), Advance Econometrics, Vol. 35, Dynamic Factor Models, Emerald Publishing Group.

2. More is not always better: Kalman filtering in Dynamic Factor Models, 2015, with P. Poncela, in Koopman, S.J. and N.G. Shephard (eds.), Unobserved Components and Time Series Econometrics, Oxford University Press.

1. An overview of probabilistic and time series models in finance, 2005, with A. Balbás and M.R. Romera, in Baeza-Yates, R., J. Glaz, H. Gzil, J. Hüsler and J.L. Palacios (eds.), Recent Advances in Applied Probability, Springer.


6. Economic activity and climate change, 2022, with A. de Juan, P. Poncela and V. Rodríguez-Caballero, Universidad Carlos III de Madrid, WP 22-03 (Statistics and Econometrics) and arXiv.2206.03187v1[econ.EM] [link]


5. Direct versus iterated multi-period Value at  Risk, 2020, with M.R. Nieto, Universidad Carlos III de Madrid, WP 20-02 (Statistics and Econometrics)


4. Score driven asymmetric stochastic volatility, 2014, with M. Xiuping and M.H. Veiga, Universidad Carlos III de Madrid, WP 14-26

 

3. Comparing sample and plug-in moments in asymmetric GARCH models, 2010, with M.J. Rodríguez, Universidad Carlos III de Madrid, WP 10-41


2. Modelling intra-daily volatility by functional data analysis: an empirical application to the Spanish stock market, 2009, with Alva, P.K. and J. Romo, Universidad Carlos III de Madrid, WP 09-28