Information about:
Emma M. Iglesias

Other registered authors

Email:
Homepage: http://www.msu.edu/~ec/faculty/emma/emma.htm
Postal Address:
Phone:

Affiliation

• Economics Department
  Michigan State University

  Location: East Lansing, Michigan (United States)
  Homepage: http://www.msu.edu/~ec/
  Email:
  Phone: 517.355.7583
  Fax: 517.432.1068
  Postal: 101 Marshall, E. Lansing, MI 48824
  Handle: RePEc:edi:edmsuus (registered authors at this institution)

• Economics Department
  University of Essex

  Location: Colchester, United Kingdom
  Homepage: http://www.essex.ac.uk/economics/
  Email:
  Phone: +44-1206-872728
  Fax: +44-1206-872724
  Postal: Wivenhoe Park, COLCHESTER. CO4 3SQ
  Handle: RePEc:edi:edessuk (registered authors at this institution)

Working papers

1. Emma M. Iglesias & Oliver Linton, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," Economics Working Papers we094726, Universidad Carlos III, Departamento de Economía. [Downloadable!]

2. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, School of Economics and Management, University of Aarhus. [Downloadable!]

3. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, School of Economics and Management, University of Aarhus. [Downloadable!]

4. Bunzel, Helle & Iglesias, Emma M, 2008. "Extending the Use of the Block-Block Bootstrap to AR(∞) Processes," Staff General Research Papers 12965, Iowa State University, Department of Economics.

5. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers 12694, Iowa State University, Department of Economics. [Downloadable!]

6. Emma Iglesias & Jean Marie Dufour, 2004. "Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors," Econometric Society 2004 North American Summer Meetings 161, Econometric Society. [Downloadable!]

7. Garry Phillips & Emma Iglesias, 2004. "The estimation of simultaneous equation models under conditional heteroscedasticity," Econometric Society 2004 Latin American Meetings 91, Econometric Society. [Downloadable!]

8. Garry Phillips & Emma Iglesias, 2004. "Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances," Econometric Society 2004 Far Eastern Meetings 567, Econometric Society. [Downloadable!]

9. Emma M. Iglesias & Garry D.A. Phillips, 2004. "Multivariate Arch Models: Finite Sample Properties Of Ml Estimators And An Application To An Lm-Type Test," Working Papers. Serie AD 2004-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]

1. Emma M. Iglesias, 2009. "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 13(2). [Downloadable!]

2. Dahl, Christian M. & Iglesias, Emma M., 2009. "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, vol. 26(3), pages 601-607, May. [Downloadable!] (restricted)

3. Carles Maixé-Altés, J. & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April. [Downloadable!] (restricted)

4. Emma M. Iglesias & Garry D. A. Phillips, 2008. "Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(4), pages 719-737, 07. [Downloadable!] (restricted)

5. Iglesias, Emma M. & Phillips, Garry D.A., 2008. "Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence," Economics Letters, Elsevier, vol. 99(2), pages 393-397, May. [Downloadable!] (restricted)

6. Corradi, Valentina & Iglesias, Emma M., 2008. "Bootstrap refinements for QML estimators of the GARCH(1,1) parameters," Journal of Econometrics, Elsevier, vol. 144(2), pages 500-510, June. [Downloadable!] (restricted)

7. Iglesias, Emma M. & Linton, Oliver B., 2007. "Higher Order Asymptotic Theory When A Parameter Is On A Boundary With An Application To Garch Models," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1136-1161, December. [Downloadable!]

8. Iglesias, Emma M., 2006. "Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models," Economics Letters, Elsevier, vol. 93(2), pages 261-266, November. [Downloadable!] (restricted)

9. Emma M. Iglesias & Garry D. A. Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 95-106, January. [Downloadable!] (restricted)

10. Iglesias, Emma M. & Phillips, Garry D.A., 2005. "Bivariate Arch Models: Finite-Sample Properties Of Qml Estimators And An Application To An Lm-Type Test," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1058-1086, December. [Downloadable!]

11. Iglesias, Emma M. & Phillips, Garry D. A., 2003. "Another look about the evolution of the risk premium: a VAR-GARCH-M model," Economic Modelling, Elsevier, vol. 20(4), pages 777-789, July. [Downloadable!] (restricted)

12. Iglesias, Emma M. & Phillips, Garry D. A., 2001. "Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models," Economics Letters, Elsevier, vol. 74(1), pages 21-24, December. [Downloadable!] (restricted)

13. Iglesias Vázquez, E.M. & Arranz Pérez, M., 2001. "Análisis de las relaciones entre el tipo de interés a corto plazo y su incertidumbre en Alemania, España y Suiza," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 19, pages 37-47, Diciembre. [Downloadable!] (restricted)

1. NEP-ECM: Econometrics (6) 2004-10-30 2004-10-30 2006-11-25 2008-07-14 2008-09-05 2009-08-16 Author is listed
2. NEP-ETS: Econometric Time Series (4) 2004-10-30 2008-07-14 2008-09-05 2009-08-16 Author is listed
3. NEP-FIN: Finance (1) 2004-10-30
4. NEP-RMG: Risk Management (1) 2009-08-16

This page was last updated on 2009-11-16.