Category Archives: PubFacCarneroM

Skewness in energy returns: estimation, testing and implications for tail risk

Carnero, M.A; León, A. & T. Ñiguez
Quarterly Review of Economics and Finance – Forthcoming

Wednesday June 7th, 2023Pub, PubFac, PubFacCarneroM, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubyearForthcomingBy coralio

Outliers and misleading leverage effect in asymmetric GARCH-type models

Carnero, M. A. and A. Perez
Studies in Nonlinear Dynamics and Econometrics – 2021

Friday October 22nd, 2021Pub, PubFac, PubFacCarneroM, PubfacSelected, PubfacSelectedCarneroM, PubFeatured, Pubfield, PubfieldEconometrics, PubfieldFeatured, PubfieldFeaturedEconometrics, PubPrometeo, PubSelected, Pubyear2021By coralio

Leverage effect in energy futures revisited

Carnero, M.A. and A. Perez
Energy Economics – 2019

Wednesday October 14th, 2020Pub, PubFac, PubFacCarneroM, PubfacSelected, PubfacSelectedCarneroM, PubFeatured, Pubfield, PubfieldEconometrics, PubfieldFeatured, PubfieldFeaturedEconometrics, PubSelected, Pubyear2019By coralio

Identification of asymmetric conditional heteroscedasticity in the presence of outliers

Carnero, M.A., A. Perez and E. Ruiz
SERIEs: Journal of the Spanish Economic Association – 2016

Thursday November 9th, 2017Pub, PubFac, PubFacCarneroM, PubfacSelected, PubfacSelectedCarneroM, PubFeatured, Pubfield, PubfieldEconometrics, PubfieldFeatured, PubfieldFeaturedEconometrics, PubSelected, Pubyear2016By coralio

Explaining transactions in time banks in economic crisis

Carnero, M.A., Martínez, B., and Sánchez-Mangas, R.
Applied Economics Letters – 2015

Thursday November 9th, 2017Pub, PubFac, PubFacCarneroM, PubFeatured, Pubfield, PubfieldEconometrics, PubfieldFeatured, PubfieldFeaturedEconometrics, PubfieldFeaturedLabor, PubfieldLabor, Pubyear2015By coralio

Rental Housing Discrimination and the Persistence of Ethnic Enclaves

Bosch, M., M. A. Carnero, and L. Farré
SERIEs: Journal of the Spanish Economic Association – 2015

Thursday November 9th, 2017Pub, PubFac, PubFacCarneroM, PubfacSelected, PubfacSelectedCarneroM, PubFeatured, Pubfield, PubfieldEconometrics, PubfieldExperimental, PubfieldFeatured, PubfieldFeaturedEconometrics, PubfieldFeaturedExperimental, PubSelected, Pubyear2015By coralio

Effects of Outliers on the Identification and Estimation of GARCH Models.

Carnero, M. A., D. Peña, and E. Ruiz
Journal of Time Series Analysis – 2007

Saturday October 24th, 2015Pub, PubFac, PubFacCarneroM, Pubfield, PubfieldEconometrics, Pubyear2007By coralio

Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.

Koopman, S. J., M. Ooms, and M. A. Carnero
Journal of the American Statistical Association – 2007

Saturday October 24th, 2015Pub, PubFac, PubFacCarneroM, PubfacSelected, PubfacSelectedCarneroM, Pubfield, PubfieldEconometrics, PubSelected, Pubyear2007By coralio

Persistence and Kurtosis in GARCH and Stochastic Volatility Models

Carnero, M.A., Peña, D., and Ruiz, E.
Journal of Financial Econometrics – 2004

Saturday October 24th, 2015Pub, PubFac, PubFacCarneroM, PubfacSelected, PubfacSelectedCarneroM, Pubfield, PubfieldEconometrics, PubSelected, Pubyear2004By coralio

Estimating VAR-MGARCH models in multiple steps

Carnero, M.A. and Eratalay, M.H.
Studies in Nonlinear Dynamics & Econometrics – 2014

Saturday October 24th, 2015Pub, PubFac, PubFacCarneroM, PubfacSelected, PubfacSelectedCarneroM, Pubfield, PubfieldEconometrics, PubSelected, Pubyear2014By coralio