J. Gonzalo

发表

Comovements in Large Systems

Jesus Gonzalo, Jean-Yves Pitarakis, J. Gonzalo, 1995 .

Five alternative methods of estimating long-run equilibrium relationships

Jesus Gonzalo, J. Gonzalo, 1994 .

Multicointegration and present value relations

Tom Engsted, N. Haldrup, J. Gonzalo, 1998 .

Differences between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective

Jesús Gonzalo, Jose Olmo, J. Gonzalo, 2018, Oxford Bulletin of Economics and Statistics.

Conditional Stochastic Dominance Tests in Dynamic Settings

Jesús Gonzalo, Jose Olmo, J. Gonzalo, 2010 .

Estimation and Model Selection Based Inference in Single and Multiple Threshold Models

J. Gonzalo, Jean-Yves Pitarakis, 2001 .

FORECASTS BY PREDICTIVE LIKELIHOOD IN THRESHOLD AUTOREGRESSIVE MODEL G. González-Farías, J. Gonzalo and M. G. Russell-Noriega

G. González-Farías, J. Gonzalo, M. G. Russell-Noriega, 2007 .

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

J. Dolado, J. Gonzalo, Laura Mayoral, 2005 .

15 Threshold Effects in Multivariate Error Correction Models

J. Gonzalo, Jean-Yves Pitarakis, 2005 .

Spurious relationships in high-dimensional systems with strong or mild persistence

J. Gonzalo, Jean-Yves Pitarakis, 2020 .

Testing for Multicointegration

Tom Engsted, N. Haldrup, J. Gonzalo, 1997 .

Pitfalls in testing for long run relationships

Tae-Hwy Lee, J. Gonzalo, 1998 .

Nonparametric estimation of functional dynamic factor model

J. Gonzalo, Graciela Gonz'alez-Far'ias, Israel Martínez-Hernández, 2020, Journal of Nonparametric Statistics.

Estimation and Model Selection based Inference in Multiple Threshold Models

J. Gonzalo, Jean-Yves Pitarakis, 2002 .

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

N. Swanson, G. Elliott, J. Gonzalo, 2006 .

A Generalization of Integration and Co-Integration valid for Non-linear Processes : Solution Based on Summability

J. Gonzalo, 2009 .

Regime-Specific Predictability in Predictive Regressions

J. Gonzalo, Jean-Yves Pitarakis, 2010 .

Quantile Factor Models

Liang Chen, Jesús Gonzalo, J. Dolado, 2017, Econometrica.

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

Jesus Gonzalo, Tae-Hwy Lee, J. Gonzalo, 1996 .

Estimation and Model Selection Based Inference in Single and Multiple Threshold Models

Jean-Yves Pitarakis, Jesús Gonzalo, J. Gonzalo, 2002 .

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

J. Gonzalo, Oscar Martinez, 2006 .

Downside Risk Efficiency Under Market Distress

J. Gonzalo, Jose Olmo, 2009 .

Testing Downside Risk Efficiency Under Market Distress

J. Gonzalo, Jose Olmo, 2008 .

Testing Downside-Risk E-ciency Under Distress

J. Gonzalo, Jose Olmo, 2008 .

Testing Downside-Risk Efficiency Under Distress

J. Gonzalo, 2008 .

Mean-Risk and Stochastic Dominance Efficient Sets Under Comovements

J. Gonzalo, 2008 .

Dynamic Effects of Persistent Shocks

Carlos Sanz, Jesus Gonzalo, Mario Alloza, 2019, SSRN Electronic Journal.

The impact of heavy tails and comovements in downside-risk diversification

J. Gonzalo, Jose Olmo, 2007 .

The reaction of stock market returns to unemployment

A. Taamouti, J. Gonzalo, 2017 .

The reaction of stock market returns to anticipated unemployment

Jesus Gonzalo, Abderrahim Taamouti, A. Taamouti, 2012 .

Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes

J. Gonzalo, V. Rico, 2011 .

The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"

J. Gonzalo, 2010 .

A tale of three cities: climate heterogeneity

J. Gonzalo, Maria Dolores Gadea Rivas, 2021, SERIEs.

A tale of three cities: climate heterogeneity

J. Gonzalo, Maria Dolores Gadea Rivas, 2021, SERIEs.

Trends in distributional characteristics: Existence of global warming

J. Gonzalo, María Dolores Gadea Rivas, 2020, Journal of Econometrics.

Specification via model selection in vector error correction models

Jesus Gonzalo, Jean-Yves Pitarakis, J. Gonzalo, 1998 .

Lag length estimation in large dimensional systems

Jean-Yves Pitarakis, Jesús Gonzalo, J. Gonzalo, 2002 .

Estimation and inference in threshold type regime switching models

Jesus Gonzalo, Jean-Yves Pitarakis, J. Gonzalo, 2013 .

Simple Wald Tests of the Fractional Integration Parameter: an Overview of New Results 12.1 Introduction

J. Dolado, J. Gonzalo, Laura Mayoral, 2022 .

On the robustness of cointegration tests when series are fractionally intergrated

Tae-Hwy Lee, J. Gonzalo, 2000 .

Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions*

Anibal Emiliano Da Silva Neto, Jesus Gonzalo, Jean-Yves Pitarakis, 2018 .

Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model

J. Gonzalo, Jean-Yves Pitarakis, 2017 .

Threshold Effects in Cointegrating Relationships

J. Gonzalo, Jean-Yves Pitarakis, 2006 .

Subsampling inference in threshold autoregressive models

Jesus Gonzalo, Michael Wolf, Michael Wolf, 2005 .

Detecting big structural breaks in large factor models

Jesus Gonzalo, Liang Chen, Juan J. Dolado, 2014 .

Modelling and Measuring Price Discovery in Commodity Markets

J. Gonzalo, Isabel Figuerola‐Ferretti, 2007 .

A Fractional Dickey–Fuller Test for Unit Roots

J. Dolado, J. Gonzalo, Laura Mayoral, 2002 .

Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion

J. Gonzalo, Jose Olmo, 2016 .

Which Extreme Values Are Really Extreme

J. Gonzalo, Jose Olmo, 2004 .

Extreme Values are Really Extreme ?

J. Gonzalo, 2004 .

Heterogeneous predictive association of CO2 with global warming

J. Dolado, J. Gonzalo, L. Chen, 2023, Economica.

Comovements in Large Systems 1

J. Gonzalo, 2009 .

Econometric implications of non-exact present value models

J. Gonzalo, Martín González-Rozada, 2000 .

Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components

J. Dolado, J. Gonzalo, Laura Mayoral, 2006 .

Estimation and inference in threshold type regime switching models

J. Gonzalo, Jean-Yves Pitarakis, 2013 .

Non-exact present value relations

J. Gonzalo, M. G. Rozada, 1996 .

Permanent and transitory components of GDP and stock prices: further analysis

Tae-Hwy Lee, J. Gonzalo, Weiping Yang, 2008 .

THE DYNAMICS OF FERTILITY , FAMILY PLANNING AND FEMALE EDUCATION IN A DEVELOPING ECONOMY

S. Johansen, A. Pagan, F. Adams, 1998 .

Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components

J. Dolado, J. Gonzalo, Laura Mayoral, 2008 .

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

Jesus Gonzalo, Juan J. Dolado, Laura Mayoral, 2005 .

Simple Wald tests of the fractional integration parameter: an overview of new results

J. Dolado, J. Gonzalo, Laura Mayoral, 2008 .

Série Scientifique Scientific Series a Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality a Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality

L. Bauwens, O. Linton, J. Richard, 2022 .

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

J. Gonzalo, Jean-Yves Pitarakis, 1998 .

On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors

J. Gonzalo, Jean-Yves Pitarakis, 1995 .

Price Discovery in Commodity Markets: The Case of Metals

J. Gonzalo, Isabel Figuerola‐Ferretti, 2006 .