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Citations of
M. Angeles Carnero

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. 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. [Downloadable!]
    Published as:

    Cited by:

    1. Fell, Harrison, 2008. "EU-ETS and Nordic Electricity: A CVAR Approach," Discussion Papers dp-08-31, Resources For the Future. [Downloadable!]
    2. Hipòlit Torró & Julio Lucia, 2008. "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC 2008-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    3. andrés M. Alonso & Carolina Garcia-Martos & Julio Rodriguez & Maria Jesus Sanchez, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," Statistics and Econometrics Working Papers ws081406, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    4. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute. [Downloadable!]
    5. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    6. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2007. "A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching," CREATES Research Papers 2007-29, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    7. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    8. Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer, vol. 13(4), pages 415-432, November. [Downloadable!] (restricted)

  2. 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. [Downloadable!]

    Cited by:

    1. Esther Ruiz & Helena Veiga, 2006. "Modelling Long-Memory Volatilities With Leverage Effect: Almsv Versus Fiegarch," Statistics and Econometrics Working Papers ws066016, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:

  3. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2003. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Statistics and Econometrics Working Papers ws036313, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    Other versions:

    Cited by:

    1. Pedro Galeano, 2004. "Use Of Cumulative Sums For Detection Of Changepoints In The Rate Parameter Of A Poisson Process," Statistics and Econometrics Working Papers ws046816, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Pedro Galeano & Daniel Peña & Ruey S. Tsay, 2004. "Outlier Detection In Multivariate Time Series Via Projection Pursuit," Statistics and Econometrics Working Papers ws044211, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

  4. 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. [Downloadable!]
    Other versions:

    Cited by:

    1. Sandro Sapio, 2004. "Market Design, Bidding Rules, and Long Memory in Electricity Prices," LEM Papers Series 2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    2. Hipòlit Torró, 2007. "Forecasting Weekly Electricity Prices at Nord Pool," Working Papers 2007.88, Fondazione Eni Enrico Mattei. [Downloadable!]
    3. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    4. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:

  5. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Is Stochastic Volatility More Flexible Than Garch?," Statistics and Econometrics Working Papers ws010805, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

    Cited by:

    1. Ana Pérez & Esther Ruiz, 2001. "PROPERTIES OF THE SAMPLE AUTOCORRELATIONS IN AUTOREGRESSIVE STOCHASTIC VOLATlLITY MODELS," Statistics and Econometrics Working Papers ws011208, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Julio Rodríguez & Esther Ruiz, 2003. "A Powerful Test For Conditional Heteroscedasticity For Financial Time Series With Highly Persistent Volatilities," Statistics and Econometrics Working Papers ws036716, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    3. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers ws025414, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:
    4. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    5. Michel Beine & Charles S. Bos & Sebastian Laurent, 2005. "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers 05-103/4, Tinbergen Institute. [Downloadable!]
      Other versions:

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007. "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Blackwell Publishing, vol. 28(4), pages 471-497, 07. [Downloadable!] (restricted)

    Cited by:

    1. Aurea Grané & Helena Veiga, 2009. "Wavelet-based detection of outliers in volatility models," Statistics and Econometrics Working Papers ws090403, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Carmen Broto, 2008. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Banco de España Working Papers 0826, Banco de España. [Downloadable!]

  3. 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. [Downloadable!] (restricted)

    Cited by:

    1. PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    2. Christian Bauer, 2007. "A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH," European Journal of Finance, Taylor and Francis Journals, vol. 13(1), pages 65-87, January. [Downloadable!] (restricted)
    3. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    4. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
    5. María José Rodríguez & Esther Ruiz, 2009. "GARCH models with leverage effect : differences and similarities," Statistics and Econometrics Working Papers ws090302, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    6. Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An objective function for simulation based inference on exchange rate data," Journal of Economic Interaction and Coordination, Springer, vol. 2(2), pages 125-145, December. [Downloadable!] (restricted)
      Other versions:
    7. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, EconWPA. [Downloadable!]
      Other versions:
    8. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]
    9. Hafner, Christian M. & Manner, Hans, 2008. "Dynamic stochastic copula models: Estimation, inference and applications," Research Memoranda 043, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    10. Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    11. Esther Ruiz & Helena Veiga, 2006. "Modelling Long-Memory Volatilities With Leverage Effect: Almsv Versus Fiegarch," Statistics and Econometrics Working Papers ws066016, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:

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This page was last updated on 2009-12-9.

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