PUBLICATIONS
Peer
Reviewed Publications
1. Sazonalidade
Estocástica não Estacionária: Alguma Evidência Empírica para a Economia
Portuguesa (Non-Stationary Stochastic Seasonality: Some Evidence for the
Portuguese Economy), (joint with Artur Silva Lopes) Economia
vol. XXIII, 1-25, 1999.
2. Are
Feedback Factors Important in Modeling Financial
Data?, International Review of Finance, 7:3-4,105-118, 2007.
3. Modelling
Long Memory Volatilities with Leverage Effect: A-LMSV versus FIEGARCH” (joint
with Esther Ruiz), Computational Statistics and Data Analysis, 52
(6), 2846-2862, 2008.
4. Accurate
minimum capital risk requirements: A comparison of several approaches (joint
with Aurea Grané), Journal of Banking and
Finance, 32, 2482-2492, 2008.
5. Price
Manipulation in an Experimental Asset Market” (joint with Marc Vorsatz), European Economic Review, 53,
327-342, 2009.
6. A
note on the properties of power-transformed returns in long-memory stochastic
volatility models with leverage effect” (joint with Ana Pérez and Esther Ruiz),
Computational Statistics and Data Analysis, 53, 3593-3600, 2009.
7. Financial
Stylized Facts and the Taylor-Effect in Stochastic Volatility Models,
Economics Bulletin, 29, 265-276, 2009.
Comment to the previous paper, Economics Bulletin, 29,
2730-2731, 2009.
8. Wavelet-based
Detection of Outliers in Financial Time Series (joint with Aurea Grané), Computational
Statistics and Data Analysis, 54, 2580-2593, 2010.
9. Aggregation
and Dissemination of Information in Experimental Asset Markets in the Presence
of a Manipulator (joint with Marc Vorsatz), Experimental
Economics, 13, 379-398, 2010.
10. Risk
Factors in Oil and Gas Industry Returns: International Evidence (joint with
Sofia Ramos), Energy Economics, 33, 525-542, 2011.
11. Asymmetry,
realised volatility and stock return risk estimates (joint with Aurea Grané), Portuguese Economic Journal, 11,
147-164, 2012.
12. Oil
price asymmetric effects: Answering the puzzle in international stock markets
(joint with Sofia Ramos), Energy Economics, 38, 136-145, 2013.
13. Bayesian
estimation of inefficiency heterogeneity in stochastic frontier models (joint
with Jorge Galán and Michael Wiper), Journal of
Productivity Analysis, 42 (1), 85-101, 2014.
14. Outliers,
GARCH-type models and risk measures: A comparison of several approaches (joint
with Aurea Grané), Journal of Empirical Finance,
26, 26-40, 2014.
15. Dynamic
Effects in Inefficiency: Evidence from the Colombian Banking Sector (joint with
Jorge Galán and Michael Wiper), European
Journal of Operational Research, 20(2), 562-571, 2015.
16. Correlations
between oil and stock markets: A wavelet-based approach (joint
with Belén Martín-Barragán
and Sofia Ramos), Economic
Modelling, 50, 212-227, 2015.
17. A
robust closed-form estimator for the GARCH(1,1) model (joint with Natalia
Bahamonde), Journal of Statistical Computation
and Simulation, 86(8), 2016.
18. Do
investors price industry risk? Evidence from the cross-section of the oil
industry (joint with Sofia Ramos, Abderrahim Taamouti and Chih-Wei Wang), Journal
of Energy Markets, 10(1), 79-108, 2017.
19. Threshold
Stochastic Volatility: properties and Forecasting” (joint with Xiuping Mao and Esther Ruiz), International Journal
of Forecasting, 33(4), 1105-1123, 2017.
20. Uncertainty
and forecasts of ARMA models: Comparison of asymptotic, Bayesian and bootstrap
procedures (joint with João Mazzeu and Esther Ruiz), Journal
of Economic Surveys, 32(2), 388-419, 2018.
21. Efficiency
evaluation of hotel chains: A Spanish case study (joint with Yaguo Deng and Michael Wiper), SERIEs, 10(2), 115-139,
2019.
22. Modelling
and forecasting the oil volatility index (joint with João Mazzeu
and Massimo Mariti), Journal of Forecasting,
38(8), 773-787, 2019.
23. Detecting
outliers in multivariate volatility models: A wavelet procedure (joint with Aurea Grané
and Belén Martín-Barragán),
SORT,
43(2), 289-316, 2019.
24. Asymmetric
stochastic volatility models: Properties and particle filter-based simulated
maximum likelihood estimation (joint with Xiuping
Mao, Esther Ruiz and Veronika Czellar), Econometrics
and Statistics, 13, 84-105, 2020.
25. Limited
attention, salience of information and stock market activity (joint with Sofia
Ramos and P. Latoeiro), Economic Modelling,
87, 92-108, 2020.
26. A Bootstrap approach for Generalized
Autocontour Testing. Implications for VIX forecast
densities (joint with João G. Mazzeu, Gloria
González-Rivera and Esther Ruiz), Econometric Reviews, 39(10),
971-990, 2020.
27. Data cloning estimation for
asymmetric stochastic volatility models (joint with Patricia Bermudez and Juan
M. Marín), Econometric Reviews, 39(10), 1057-1074, 2020.
28. Exploring option pricing and hedging
via volatility asymmetry (joint with Isabel Casas), Computational
Economics, 57, 1015-1039, 2021.
29. Integrated nested Laplace
approximations for threshold stochastic volatility models (joint with Patricia
Bermudez, Juan M. Marín and Hårvard Rue), Econometrics
and Statistics, forthcoming.
Other
Contributions
1. Intended
manipulations in an experimental asset market with short-selling (joint with
Marc Vorsatz), Medium for Econometric Applications, 16 (3), 8-13,
2008. This is an invited publication by the Erasmus University of Rotterdam.
2. Modelos
de volatilidad estocástica: una alternativa atractiva y factible para modelizar
la evolución de la volatilidad (joint with Esther Ruiz), Anales de Estudios Económicos y Empresariales, vol XVIII,
1-59, 2008. This is an invited publication by the University of
Valladolid.
Books
The Interrelationship between Financial and Energy
Markets” (joint with Sofia Ramos), Lecture Notes in Energy, Springer,
2014. ISBN 978-3-642-55381-3.
Book (Chapters) and Proceedings
1. Outliers
and the estimation of minimum capital risk requirements (joint with A. Grané). In Investigaciones en Seguros
y Gestión de Riesgos, Heras, A., Vilar, J.L., Guillén, M. (Eds.),
Fundación MAPFRE, 2009. (ISBN 978-84-9844-158-1).
2. Outliers
in GARCH models and the estimation of risk measures (joint with A. Grané). In 2010 JSM Proceedings. Statistics: A Key to
Innovation in a Data-Centric World. The American Statistical
Association (Eds.) (ISBN 978-0-9791747-9.7).
3. The
puzzle of asymmetric effects of oil: New results from international stock
markets (joint with S. Ramos). In 2011 8th International
Conference on the European Energy Market. ISBN: 978-1-61284-286-8/11,
IEEE catalog number CFP1152D.
4. Outliers
in multivariate GARCH models (joint with A. Grané and
B. Martín-Barragán). In Proceedings of
the 7th Workshop on Simulation. Springer, forthcoming.
5. Risk
Factors in the Oil Industry: An Upstream and Downstream Analysis, (joint with Sofia
Ramos and Chih-Wei Wang). In The Interrelationship
Between Financial and Energy Markets,
Springer, 2014.