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, forthcoming.
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.
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.