Jesus Gonzalo
Personal Details
First Name: | Jesus |
Middle Name: | |
Last Name: | Gonzalo |
Suffix: | |
RePEc Short-ID: | pgo192 |
| |
http://www.eco.uc3m.es/jgonzalo | |
Terminal Degree: | 1991 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy) |
Affiliation
Departamento de Economía
Universidad Carlos III de Madrid
Madrid, Spainhttp://www.eco.uc3m.es/
RePEc:edi:deuc3es (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2021. "A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado)," UC3M Working papers. Economics 32200, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de Economía.
- Da Silva Neto, Anibal Emiliano & Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020.
"Uncovering regimes in out of sample forecast errors from predictive regressions,"
UC3M Working papers. Economics
31555, Universidad Carlos III de Madrid. Departamento de Economía.
- Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021. "Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020.
"Spurious relationships in high dimensional systems with strong or mild persistence,"
UC3M Working papers. Economics
31553, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021. "Spurious relationships in high-dimensional systems with strong or mild persistence," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2019. "Predictive Regressions," UC3M Working papers. Economics 28554, Universidad Carlos III de Madrid. Departamento de Economía.
- Alloza, Mario & Gonzalo Muñoz, Jesus & Sanz, Carlos, 2019.
"Dynamic Effects of Persistent Shocks,"
UC3M Working papers. Economics
29187, Universidad Carlos III de Madrid. Departamento de Economía.
- Mario Alloza & Jesus Gonzalo & Carlos Sanz, 2020. "Dynamic Effects of Persistent Shocks," Papers 2006.14047, arXiv.org.
- Mario Alloza & Jesús Gonzalo & Carlos Sanz, 2019. "Dynamic effects of persistent shocks," Working Papers 1944, Banco de España.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2017.
"Trends in distributional characteristics : Existence of global warming,"
UC3M Working papers. Economics
24121, Universidad Carlos III de Madrid. Departamento de Economía.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020. "Trends in distributional characteristics: Existence of global warming," Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
- Gonzalo, Jesús & Taamouti, Abderrahim, 2017.
"The Reaction of Stock Market Returns to Unemployment,"
UC3M Working papers. Economics
24120, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo Jesús & Taamouti Abderrahim, 2017. "The reaction of stock market returns to unemployment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-20, September.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2017.
"Quantile Factor Models,"
UC3M Working papers. Economics
25299, Universidad Carlos III de Madrid. Departamento de Economía.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
- Gonzalo, Jesús & Olmo, José, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de Economía.
- Berenguer Rico, Vanessa & Gonzalo, Jesús, 2013. "Co-summability from linear to non-linear cointegration," UC3M Working papers. Economics we1312, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2012.
"Estimation and inference in threshold type regime switching models,"
UC3M Working papers. Economics
we1204, Universidad Carlos III de Madrid. Departamento de Economía.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2013. "Estimation and inference in threshold type regime switching models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205, Edward Elgar Publishing.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011.
"Detecting big structural breaks in large factor models,"
MPRA Paper
31344, University Library of Munich, Germany.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de Economía.
- Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
- Berenguer Rico, Vanessa & Gonzalo, Jesús, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Taamouti, Abderrahim, 2011.
"The reaction of stock market returns to anticipated unemployment,"
UC3M Working papers. Economics
we1145, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Taamouti, Abderrahim, 2012. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1237, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Olmo, José, 2010.
"Conditional stochastic dominance tests in dynamic settings,"
UC3M Working papers. Economics
we1029, Universidad Carlos III de Madrid. Departamento de Economía.
- Jesus Gonzalo & Jose Olmo, 2014. "Conditional Stochastic Dominance Tests In Dynamic Settings," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
- Gonzalo, Jesús & Olmo, José, 2013. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1205, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2010.
"Regime specific predictability in predictive regressions,"
UC3M Working papers. Economics
we097844, Universidad Carlos III de Madrid. Departamento de Economía.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Gonzalo, Jesús & Olmo, José, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Olmo, José, 2008.
"Testing downside risk efficiency under market distress,"
UC3M Working papers. Economics
we084321, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, J. & Olmo, J., 2008. "Testing Downside Risk Efficiency Under Market Distress," Working Papers 08/11, Department of Economics, City University London.
- Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2008. "Simple Wald tests of the fractional integration parameter : an overview of new results," UC3M Working papers. Economics we20080129, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Olmo, José, 2007.
"The impact of heavy tails and comovements in downside-risk diversification,"
UC3M Working papers. Economics
we20070208, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, J. & Olmo, J., 2007. "The impact of heavy tails and comovements in downside-risk diversification," Working Papers 07/02, Department of Economics, City University London.
- Gonzalo, Jesús & Lee, Tae-Hwy & Yang, Weiping, 2007.
"Permanent and transitory components of GDP and stock prices: further analysis,"
UC3M Working papers. Economics
we20070525, Universidad Carlos III de Madrid. Departamento de Economía.
- Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008. "Permanent and transitory components of GDP and stock prices: further analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 105-120.
- Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2007.
"Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components,"
UC3M Working papers. Economics
we20070625, Universidad Carlos III de Madrid. Departamento de Economía.
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008. "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2007.
"Modelling and measuring price discovery in commodity markets,"
DEE - Working Papers. Business Economics. WB
wb074510, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2008. "Modelling and Measuring Price Discovery in Commodity Markets," DEE - Working Papers. Business Economics. WB 15951, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2006. "Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components," UC3M Working papers. Economics we20061221, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2006.
"Threshold effects in cointegrating relationships,"
UC3M Working papers. Economics
we20060621, Universidad Carlos III de Madrid. Departamento de Economía.
- 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.
- 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.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Working Papers 258, Barcelona Graduate School of Economics.
- 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.
- Gonzalo, Jesús & Olmo, José, 2005. "Contagion versus flight to quality in financial markets," UC3M Working papers. Economics we051810, Universidad Carlos III de Madrid. Departamento de Economía.
- 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.
- Jose Olmo & Jesus Gonzalo, 2004.
"Which Extreme Values are Really Extremes?,"
Econometric Society 2004 North American Winter Meetings
144, Econometric Society.
- Jesus Gonzalo, 2004. "Which Extreme Values Are Really Extreme?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(3), pages 349-369.
- 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.
- Martínez, Oscar & Gonzalo, Jesús, 2003. "Threshold integrated moving average models: does size matter? maybe so," DE - Documentos de Trabajo. Economía. DE 16008, Universidad Carlos III de Madrid. Departamento de Economía.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2003. "Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend," Working Papers 29, Barcelona Graduate School of Economics.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001.
"Lag Length Estimation in Large Dimensional Systems,"
Econometrics
0108002, University Library of Munich, Germany.
- Jesús Gonzalo & Jean‐Yves Pitarakis, 2002. "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
- Jesús Gonzalo & Michael Wolf, 2001.
"Subsampling inference in threshold autoregressive models,"
Economics Working Papers
573, Department of Economics and Business, Universitat Pompeu Fabra.
- Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
- González, Martín & Gonzalo, Jesús, 2000. "Econometric implications of non-exact present value models," DE - Documentos de Trabajo. Economía. DE 16009, Universidad Carlos III de Madrid. Departamento de Economía.
- González, M. & Gonzalo, Jesús, 1997. "Threshold unit root models," DES - Working Papers. Statistics and Econometrics. WS 6214, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- 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.
- Gonzalo, Jesús & Ng, Serena, 1996. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," DES - Working Papers. Statistics and Econometrics. WS 6203, Universidad Carlos III de Madrid. Departamento de Estadística.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- Engsted, Tom & Gonzalo, Jesús & Haldrup, Niels, 1996. "Multicointegration and present value relations," DES - Working Papers. Statistics and Econometrics. WS 4540, Universidad Carlos III de Madrid. Departamento de Estadística.
- Gonzalo, Jesús & González Rozada, Martín, 1996. "Non-exact present value relations," DES - Working Papers. Statistics and Econometrics. WS 4544, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 1995. "On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors," DES - Working Papers. Statistics and Econometrics. WS 4513, Universidad Carlos III de Madrid. Departamento de Estadística.
- GONZALO , Jesus & PITARAKIS , Jean-Yves, 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors," LIDAM Discussion Papers CORE 1995034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Jesus Gonzalo & Tae‐Hwy Lee, 1996. "RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(1), pages 37-47, January.
- 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.
- Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
- Gonzalo, Jesús & Lee, Tae-Hwy, 1996. "On the robustness of cointegration tests when series are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS 4542, Universidad Carlos III de Madrid. Departamento de Estadística.
- Gonzalo, J. & Lee, T.H., 1995.
"Pitfalls in Testing for Long Run Relationships,"
Papers
38, Boston University - Department of Economics.
- Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
- Gonzalo, Jesús & Lee, Tae-Hwy, 1995. "No lack of relative power of the Dickey-Fuller tests for unit roots," DES - Working Papers. Statistics and Econometrics. WS 4512, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- 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.
- Adda, Jerome & Gonzalo, Jesús, 1996. "P-values for non-standard distributions with an application to the DF test," DES - Working Papers. Statistics and Econometrics. WS 4541, Universidad Carlos III de Madrid. Departamento de Estadística.
- GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994.
"Comovements in Large Systems,"
LIDAM Discussion Papers CORE
1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 1995. "Comovements in large systems," DES - Working Papers. Statistics and Econometrics. WS 5825, Universidad Carlos III de Madrid. Departamento de Estadística.
- Gonzalo, J. & Granger, C., 1992.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Papers
4, Boston University - Department of Economics.
- 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.
- Gonzalo, J., 1992.
"Cointegration and Aggregation,"
Papers
11, Boston University - Department of Economics.
- Gonzalo, Jesus, 1993. "Cointegration and aggregation," Ricerche Economiche, Elsevier, vol. 47(3), pages 281-291, September.
Articles
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021.
"Quantile Factor Models,"
Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de Economía.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
- Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021.
"Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
- Da Silva Neto, Anibal Emiliano & Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020. "Uncovering regimes in out of sample forecast errors from predictive regressions," UC3M Working papers. Economics 31555, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021.
"Spurious relationships in high-dimensional systems with strong or mild persistence,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de Economía.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020.
"Trends in distributional characteristics: Existence of global warming,"
Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2017. "Trends in distributional characteristics : Existence of global warming," UC3M Working papers. Economics 24121, Universidad Carlos III de Madrid. Departamento de Economía.
- Jesus Gonzalo & Jose Olmo, 2019. "Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 42-61, February.
- Jesùs Gonzalo & Jean-Yves Pitarakis, 2017. "Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 202-217, April.
- Gonzalo Jesús & Taamouti Abderrahim, 2017.
"The reaction of stock market returns to unemployment,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-20, September.
- Gonzalo, Jesús & Taamouti, Abderrahim, 2017. "The Reaction of Stock Market Returns to Unemployment," UC3M Working papers. Economics 24120, Universidad Carlos III de Madrid. Departamento de Economía.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014.
"Detecting big structural breaks in large factor models,"
Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de Economía.
- Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011. "Detecting big structural breaks in large factor models," MPRA Paper 31344, University Library of Munich, Germany.
- Jesus Gonzalo & Jose Olmo, 2014.
"Conditional Stochastic Dominance Tests In Dynamic Settings,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
- Gonzalo, Jesús & Olmo, José, 2013. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1205, Universidad Carlos III de Madrid. Departamento de Economía.
- Gonzalo, Jesús & Olmo, José, 2010. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1029, Universidad Carlos III de Madrid. Departamento de Economía.
- Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011.
"Regime-Specific Predictability in Predictive Regressions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de Economía.
- Jesus Gonzalo, 2010. "The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 174-176, spring.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010.
"Modelling and measuring price discovery in commodity markets,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2008. "Modelling and Measuring Price Discovery in Commodity Markets," DEE - Working Papers. Business Economics. WB 15951, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2007. "Modelling and measuring price discovery in commodity markets," DEE - Working Papers. Business Economics. WB wb074510, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008.
"Permanent and transitory components of GDP and stock prices: further analysis,"
Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 105-120.
- Gonzalo, Jesús & Lee, Tae-Hwy & Yang, Weiping, 2007. "Permanent and transitory components of GDP and stock prices: further analysis," UC3M Working papers. Economics we20070525, Universidad Carlos III de Madrid. Departamento de Economía.
- Robert F. Engle & Jose Gonzalo Rangel, 2008. "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1187-1222, May.
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008.
"Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
- Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2007. "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," UC3M Working papers. Economics we20070625, Universidad Carlos III de Madrid. Departamento de Economía.
- 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.
- 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.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2006. "Threshold effects in cointegrating relationships," UC3M Working papers. Economics we20060621, Universidad Carlos III de Madrid. Departamento de Economía.
- 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.
- Gonzalo, Jesus & Wolf, Michael, 2005.
"Subsampling inference in threshold autoregressive models,"
Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
- Jesús Gonzalo & Michael Wolf, 2001. "Subsampling inference in threshold autoregressive models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra.
- Jesus Gonzalo, 2004.
"Which Extreme Values Are Really Extreme?,"
Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(3), pages 349-369.
- Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society.
- 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.
- Jesús Gonzalo & Jean‐Yves Pitarakis, 2002.
"Lag length estimation in large dimensional systems,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108002, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Gonzalo, Jesús & Ng, Serena, 1996. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," DES - Working Papers. Statistics and Econometrics. WS 6203, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- Jesus Gonzalo & Tae-Hwy Lee, 2000.
"On the robustness of cointegration tests when series are fractionally intergrated,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
- Gonzalo, Jesús & Lee, Tae-Hwy, 1996. "On the robustness of cointegration tests when series are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS 4542, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- 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.
- 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.
- Gonzalo, Jesus & Lee, Tae-Hwy, 1998.
"Pitfalls in testing for long run relationships,"
Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
- Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
- Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.
- 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.
- Adda, Jerome & Gonzalo, Jesús, 1996. "P-values for non-standard distributions with an application to the DF test," DES - Working Papers. Statistics and Econometrics. WS 4541, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- Jesus Gonzalo & Tae‐Hwy Lee, 1996.
"RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 17(1), pages 37-47, January.
- 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.
- 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.
- Tom Doan, "undated". "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Gonzalo, Jesus, 1993.
"Cointegration and aggregation,"
Ricerche Economiche, Elsevier, vol. 47(3), pages 281-291, September.
- Gonzalo, J., 1992. "Cointegration and Aggregation," Papers 11, Boston University - Department of Economics.
Chapters
- Jesús Gonzalo & Jean-Yves Pitarakis, 2013.
"Estimation and inference in threshold type regime switching models,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205,
Edward Elgar Publishing.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de Economía.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Rankings
This author is among the top 5% authors according to these criteria:- Average Rank Score
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Recursive Impact Factor
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
- Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Number of Abstract Views in RePEc Services over the past 12 months
- Number of Downloads through RePEc Services over the past 12 months
- Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
- Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
- Euclidian citation score
- Closeness measure in co-authorship network
- Betweenness measure in co-authorship network
- Breadth of citations across fields
- Wu-Index
- Record of graduates
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 37 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (21) 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 2010-01-30 2010-12-04 2011-06-18 2011-07-21 2013-07-15 2017-10-01 2019-07-22 2019-11-25 2021-01-04 2021-01-04 2021-01-04. Author is listed
- NEP-ETS: Econometric Time Series (16) 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 2012-04-17 2013-07-15 2013-11-02 2020-01-06 2021-01-04 2021-01-04 2021-01-04. Author is listed
- NEP-MAC: Macroeconomics (7) 2006-06-10 2007-09-24 2007-09-24 2016-10-02 2017-02-12 2019-11-25 2020-01-06. Author is listed
- NEP-ORE: Operations Research (7) 2008-04-29 2011-07-21 2019-11-25 2020-01-06 2020-12-07 2021-01-04 2021-01-04. Author is listed
- NEP-AGR: Agricultural Economics (3) 2012-06-13 2017-02-12 2021-03-29
- NEP-FOR: Forecasting (3) 2006-06-10 2011-03-19 2021-01-04
- NEP-RMG: Risk Management (3) 2007-02-17 2008-09-29 2010-01-30
- NEP-CBA: Central Banking (2) 2008-04-29 2020-01-06
- NEP-ENV: Environmental Economics (2) 2017-02-12 2021-03-29
- NEP-BEC: Business Economics (1) 2006-06-10
- NEP-FMK: Financial Markets (1) 2005-09-11
- NEP-HIS: Business, Economic & Financial History (1) 2012-06-13
- NEP-LAB: Labour Economics (1) 2012-05-15
- NEP-MST: Market Microstructure (1) 2007-05-19
- NEP-OPM: Open Economy Macroeconomics (1) 2020-01-06
- NEP-UPT: Utility Models & Prospect Theory (1) 2016-10-02
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Jesus Gonzalo should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.