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Information about:
Jesus Gonzalo

Personal Details | Affiliation | Works
This is information that was supplied by Jesus Gonzalo in registering through RePEc. If you are Jesus Gonzalo , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Jesus
Middle Name:
Last Name: Gonzalo
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RePEc Short-ID: pgo192

Email:
Homepage: http://www.eco.uc3m.es/jgonzalo
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Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Weighted by Number of Authors
  3. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  4. Number of Registered Citing Authors
  5. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  6. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Juan Jose Dolado & Jesus Gonzalo & Laura Mayoral, 2008. "Simple Wald tests of the fractional integration parameter : an overview of new results," Economics Working Papers we20080129, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  2. Jesus Gonzalo & Jose Olmo, 2008. "Testing downside risk efficiency under market distress," Economics Working Papers we084321, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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  3. Jesus Gonzalo & Jose Olmo, 2007. "The impact of heavy tails and comovements in downside-risk diversification," Economics Working Papers we20070208, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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  4. Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2007. "Permanent and transitory components of GDP and stock prices: further analysis," Economics Working Papers we20070525, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  5. Isabel Figuerola-Ferretti & Jesus Gonzalo, 2007. "Modelling and measuring price discovery in commodity markets," Business Economics Working Papers wb074510, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]

  6. Juan Jose Dolado & Jesús Gonzalo & Laura Mayoral, 2007. "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," Economics Working Papers we20070625, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  7. Juan José Dolado & Jesús Gonzalo & Laura Mayoral, 2006. "Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components," Economics Working Papers we20061221, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  8. 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, Research Department. [Downloadable!]

  9. Gonzalo, J. & Pitarakis, J., 2005. "Threshold Effects In Cointegrating Relationships," Discussion Paper Series In Economics And Econometrics 0506, Economics Division, School of Social Sciences, University of Southampton.
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  10. 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. [Downloadable!]

  11. 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. [Downloadable!]

  12. Jesus Gonzalo & Jose Olmo, 2005. "Contagion Versus Flight To Quality In Financial Markets," Economics Working Papers we051810, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  13. Gonzalo, J. & Pitarakis, J., 2005. "Threshold Effects In Multivariate Error Correction Models," Discussion Paper Series In Economics And Econometrics 0501, Economics Division, School of Social Sciences, University of Southampton.

  14. 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.

  15. Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society. [Downloadable!]
    Published as:

  16. Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108002, EconWPA. [Downloadable!]
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  17. Jesús Gonzalo & Michael Wolf, 2001. "Subsampling Inference in Threshold Autoregressive Models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Published as:

  18. 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.
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  19. Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
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  20. 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.

  21. 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.

  22. 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.
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  23. 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.
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  24. Engest, T. & Gonzalo, J. & Haldrup, N., 1994. "Multicointegration and Present Value Relations," Economics Working Papers 1995-13, School of Economics and Management, University of Aarhus.

  25. Gonzalo, J., 1992. "Cointegration and Aggregation," Papers 11, Boston University - Department of Economics.
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  26. Jesus Gonzalo & Clive W.J. Granger, 1991. "Estimation of Common Long-Memory Components in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series 91-33, Department of Economics, UC San Diego.
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  27. Tom Engsted & Jesus Gonzalo & Niels Haldrup, . "Testing for Multicointegration," Economics Working Papers 1997-1, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

Articles

  1. 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. [Downloadable!] (restricted)

  2. 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. [Downloadable!] (restricted)

  3. 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. [Downloadable!] (restricted)
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  4. Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August. [Downloadable!] (restricted)
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  5. Jesus Gonzalo, 2004. "Which Extreme Values Are Really Extreme?," Journal of Financial Econometrics, Oxford University Press, vol. 2(3), pages 349-369. [Downloadable!] (restricted)
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  6. 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. [Downloadable!]

  7. 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. [Downloadable!] (restricted)

  8. 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. [Downloadable!] (restricted)

  9. 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. [Downloadable!] (restricted)
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  10. Jesús Gonzalo, Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor and Francis Journals, vol. 27(7), pages 821-827, September. [Downloadable!] (restricted)
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  11. 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.

  12. 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. [Downloadable!] (restricted)

  13. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June. [Downloadable!] (restricted)
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  14. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November. [Downloadable!] (restricted)
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  15. 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. [Downloadable!] (restricted)
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  16. 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.
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  17. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233. [Downloadable!] (restricted)

  18. Gonzalo, Jesus, 1993. "Cointegration and aggregation," Ricerche Economiche, Elsevier, vol. 47(3), pages 281-291, September. [Downloadable!] (restricted)
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  19. RePEc:bep:sndecm:12:2008:4:1562-1562 is not listed on IDEAS

NEP Fields

16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-06-10
  2. NEP-CBA: Central Banking (1) 2008-04-29
  3. NEP-ECM: Econometrics (10) 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 Author is listed
  4. NEP-ETS: Econometric Time Series (9) 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 Author is listed
  5. NEP-FIN: Finance (1) 2005-09-11
  6. NEP-FMK: Financial Markets (1) 2005-09-11
  7. NEP-FOR: Forecasting (1) 2006-06-10
  8. NEP-MAC: Macroeconomics (3) 2006-06-10 2007-09-24 2007-09-24
  9. NEP-MST: Market Microstructure (1) 2007-05-19
  10. NEP-ORE: Operations Research (1) 2008-04-29
  11. NEP-RMG: Risk Management (2) 2007-02-17 2008-09-29
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This page was last updated on 2009-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.