All Stories

  1. Asset Allocation with Different Short- and Long-Term Risk Aversion

    Article • Oxford Bulletin of Economics and Statistics, July 2018, Wiley

    Professor jesus gonzalo

  2. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS

    Article • International Economic Review, July 2014, Wiley

    Professor jesus gonzalo

  3. Detecting big structural breaks in large factor models

    Article • Journal of Econometrics, May 2014, Elsevier

    Professor jesus gonzalo

  4. Summability of stochastic processes—A generalization of integration for non-linear processes

    Article • Journal of Econometrics, January 2014, Elsevier

    Professor jesus gonzalo

  5. Regime-Specific Predictability in Predictive Regressions

    Article • Journal of Business and Economic Statistics, April 2012, Taylor & Francis

    Professor jesus gonzalo

  6. Modelling and measuring price discovery in commodity markets

    Article • Journal of Econometrics, September 2010, Elsevier

    Professor jesus gonzalo

  7. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results*

    Article • April 2009, Oxford University Press (OUP)

    Professor jesus gonzalo

  8. Threshold Effects in Cointegrating Relationships*

    Article • Oxford Bulletin of Economics and Statistics, November 2006, Wiley

    Professor jesus gonzalo

  9. Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger

    Article • Journal of Econometrics, November 2006, Elsevier

    Professor jesus gonzalo

  10. Large shocks vs. small shocks. (Or does size matter? May be so.)

    Article • Journal of Econometrics, November 2006, Elsevier

    Professor jesus gonzalo

  11. Estimation and model selection based inference in single and multiple threshold models

    Article • Journal of Econometrics, October 2002, Elsevier

    Professor jesus gonzalo

  12. A Fractional Dickey-Fuller Test for Unit Roots

    Article • Econometrica, September 2002, The Econometric Society

    Professor jesus gonzalo

  13. Lag length estimation in large dimensional systems

    Article • Journal of Time Series Analysis, July 2002, Wiley

    Professor jesus gonzalo

  14. A systematic framework for analyzing the dynamic effects of permanent and transitory shocks

    Article • Journal of Economic Dynamics and Control, October 2001, Elsevier

    Professor jesus gonzalo

  15. On the robustness of cointegration tests when series are fractionally intergrated

    Article • Journal of Applied Statistics, September 2000, Taylor & Francis

    Professor jesus gonzalo

  16. Specification via model selection in vector error correction models

    Article • Economics Letters, September 1998, Elsevier

    Professor jesus gonzalo

  17. Pitfalls in testing for long run relationships

    Article • Journal of Econometrics, September 1998, Elsevier

    Professor jesus gonzalo

  18. On the Exact Moments of Asymptotic Distributions in an Unstable Ar(1) with Dependent Errors

    Article • International Economic Review, February 1998, JSTOR

    Professor jesus gonzalo

  19. Testing for multicointegration

    Article • Economics Letters, November 1997, Elsevier

    Professor jesus gonzalo

  20. P-Values for non-standard distributions with an application to the DF test

    Article • Economics Letters, February 1996, Elsevier

    Professor jesus gonzalo

  21. RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES

    Article • Journal of Time Series Analysis, January 1996, Wiley

    Professor jesus gonzalo

  22. Estimation of Common Long-Memory Components in Cointegrated Systems

    Article • Journal of Business and Economic Statistics, January 1995, JSTOR

    Professor jesus gonzalo

  23. Estimation of Common Long-Memory Components in Cointegrated Systems

    Article • Journal of Business and Economic Statistics, January 1995, Taylor & Francis

    Professor jesus gonzalo

  24. Five alternative methods of estimating long-run equilibrium relationships

    Article • Journal of Econometrics, January 1994, Elsevier

    Professor jesus gonzalo

  25. Cointegration and aggregation

    Article • Ricerche Economiche, September 1993, Elsevier

    Professor jesus gonzalo

  26. Regime Specific Predictability in Predictive Regressions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor jesus gonzalo

  27. Testing for Multicointegration

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor jesus gonzalo

  28. Modelling and Measuring Price Discovery in Commodity Markets

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor jesus gonzalo

  29. What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor jesus gonzalo

  30. Testing I(1) Against I(d) Alternatives in the Presence of Deteministic Components

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor jesus gonzalo

  31. Estimation and inference in threshold type regime switching models

    Article • Edward Elgar Publishing

    Professor jesus gonzalo

  32. Estimation of Common Long-Memory Components in Cointegrated Systems

    Article • Cambridge University Press

    Professor jesus gonzalo

  33. Estimation of Common Long Memory Components in Cointegrated Systems

    Article • Cambridge University Press

    Professor jesus gonzalo