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.