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Department of EconomicsDepartment of Economics
Department of Economics
Economics, Economía, Fundamentos, Análisis, Económico
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Econometrics

About

The Econometrics research group is currently working on several projects covering both theoretical and applied econometrics. Our main areas of research are: Non-parametric and semi-parametric estimation and testing; financial time series, outliers, volatility modeling; panel data models, linear and non-linear estimation with unbalanced panels, microeconometrics. We have published our research in journals like Journal of Econometrics, Journal of the American Statistical Association, Journal of Applied Econometrics, etc.

The Econometrics research group is currently working on several projects covering both theoretical and applied econometrics.

Publications

Outliers and misleading leverage effect in asymmetric GARCH-type models

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

Flexible Distribution Functions, Higher Order Preferences and Optimal Portfolio Allocations

Ñiguez T.M., Paya, I., Peel, D. and J. Perote
Quantitative Finance – 2019

Leverage effect in energy futures revisited

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

A nonlinear analysis of the real exchange rate-consumption relationship

Pavlidis E., Paya I. and D. Peel
Macroeconomic Dynamics, – 2018

Screening rules and portfolio performance

León, A., L. Navarro, and B. Nieto.
The
North American Journal of Economics and Finance,
– 2018

Using market expectations to test for speculative bubbles in the crude oil market

Pavlidis E., Paya I. and D. Peel
Journal of Money, Credit and Banking – 2018

One-sided performance measures under Gram-Charlier distributions

León, A., and M. Moreno
Journal
of Banking and Finance
– 2017

Testing for speculative bubbles using spot and forward prices

Pavlidis E., Paya I. and D. Peel
International Economic Review – 2017

Episodes of exuberance in housing markets: in search of the smoking gun”

Pavlidis E., Yusupova A., Paya I., Peel D., Martinez-Garcia E. and V. Grossman
Journal of Real Estate Finance and Economics – 2016

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

Pure higher-order effects in the portfolio choice model

Ñiguez T.M., Paya, I. and D. Peel.
Finance Research Letters – 2016

Wealth fluctuations and investment in risky assets: The UK micro evidence on household asset allocation

Paya I. and P. Wang
Journal of Empirical Finance – 2016

Accessing gains from parallel computation on supercomputers

Maliar, L. and S. Maliar
Economics Bulletin – 2015

An adaptive algorithm for clustering cumulative probability distribution functions using the Kolmogorov-Smirnov two-sample test

Mora-López, L. and J. Mora
Expert Systems with Applications – 2015

Coverage of infertility treatment and fertility outcomes

Messina, A. and A. Sanz-de-Galdeano
SERIEs – 2015

Explaining transactions in time banks in economic crisis

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

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

Testing for linear and nonlinear Granger causality in the real exchange rate – consumption relation

Pavlidis E., Paya I. and D. Peel
Economics Letters – 2015

Analysis of Group performance with categorical data when agents are heterogeneous: the evaluation of scholastic performance in the OECD trough PISA 2012

Herrero, C., Mendez, I., and A. Villar
Economics of Education
Review
– 2014

Estimating VAR-MGARCH models in multiple steps

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

Export and import market-specific characteristics

Serti, F. and C. Tomasi
Empirical Economics – 2014

Wage Rigidity and Disinflation in Emerging Countries

Messina, A. and A. Sanz-de-Galdeano
American Economic Journal: Macroeconomics – 2014

Domestic Transport Cost Reductions and Firms’ Export Behaviour

Albarran, P., R. Carrasco and A. Holl
Small Business Economics – 2013

Nonlinear causality tests and multivariate conditional heteroskedasticity: A simulation study

Pavlidis E., Paya I. and D. Peel
Studies in Nonlinear Dynamics and Econometrics – 2013

Nonlinear dynamics in economics and finance and unit root testing

Pavlidis E., Paya I., Peel D. and C. Siriopoulos
European
Journal of Finance
– 2013

Counterfactual distributions of wages via quantile regression with endogeneity.

Martínez-Sanchís, E., J. Mora, and I. Kandemir
Computational Statistics and Data Analysis – 2012

Estimating GARCH Volatility in the presence of outliers

Carnero, M.A., Peña, D., and Ruiz, E.
Economics Letters – 2012

Forecast evaluation of nonlinear models: The case of long-span real exchange rates”

Pavlidis E., Paya I. and D. Peel
Journal of Forecasting – 2012

Forecasting monetary policy rules in South Africa

Naraidoo R. and I. Paya
International Journal of Forecasting – 2012

Mobbing and workers’ health: empirical analysis for Spain

Carnero, M.A., Martínez, B., and Sánchez-Mangas, R.
International Journal of Manpower – 2012

On the stability of CRRA utility under high degrees of uncertainty

Ñiguez T.M., Paya, I., Peel, D. and J. Perote
Economics Letters – 2012

The evolution of adult height across Spanish regions, 1950-1980: A new source of data

Quintana-Domeque, C., C. Bozzoli, and M. Bosch
Economics and Human Biology – 2012

Average-based versus High- and Low-impact Indicators for the Evaluation of Scientific Distributions

Albarran, P., I. Ortuño and J. Ruiz-Castillo
Research Evaluation – 2011

High- and Low-impact Citation Measures: Empirical Applications

Albarran, P., I. Ortuño and J. Ruiz-Castillo
Journal of Informetrics – 2011

Preferences, Comparative Advantage, and Compensating Wage Differentials for Job Routinization.

Quintana-Domeque, C
Oxford Bulletin of Economics and Statistics – 2011

Real exchange rates and time-varying trade costs

Pavlidis E., Paya I. and D. Peel
Journal of International Money and Finance – 2011

References Made and Citations Received By Scientific Articles

Albarran, P., and J. Ruiz-Castillo
Journal of the American Society for Information Science and Technology – 2011

Sampling of nonlinear models: Evidence on speed of adjustment in index futures markets

Paya I. and D. Peel
Journal of Futures Markets – 2011

Smoking Persistence Across Countries: A Panel Data Analysis

Christelis, D. and A. Sanz-de-Galdeano
Journal of Health Economics – 2011

The Measurement of Low- and High-impact in Citation Distributions: Technical Results

Albarran, P., I. Ortuño and J. Ruiz-Castillo
Journal of Informetrics – 2011

The skewness of science in 219 sub-fields and a number of aggregate

Albarran, P., J. Crespo, I. Ortuño and J. Ruiz-Castillo
Scientometrics – 2011

A Comparison of the Scientific Performance of the U.S. and the European Union at the Turn of the XXI Century

Albarran, P., J. Crespo, I. Ortuño and J. Ruiz-Castillo
Scientometrics – 2010

A simulation-based algorithm for American executive stock option valuation

León A., and A. Vaello
Finance Research Letters – 2010

Inflation dynamics in the U.S.: Global but not local mean reversion

Novay A., Paya I. and D. Peel
Journal of Money, Credit and Banking – 2010

Information and Discrimination in the Rental Housing Market: Evidence from a Field Experiment.

Bosch, M., M. A. Carnero, and L. Farré
Regional Science and Urban Economics – 2010

Smoking Habits: Like Father, Like Son, Like Mother, Like Daughter

Loureiro, M., Sanz-de-Galdeano, A. and D. Vuri
Oxford Bulletin of Economics and Statistics – 2010

Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form

Pavlidis E., Paya I. and D. Peel
Studies
in Nonlinear Dynamics and Econometrics
– 2010

The Forward Premium Puzzle in the interwar period and deviations from covered interest parity

Paya I., Peel D. and A. Spiru
Economics Letters – 2010

Flexible Estimation of Wage Distributions in the Presence of Covariates.

Febrer, A. and J. Mora
Computational Statistics and Data Analysis – 2009

Inequality for wage earners and self-employed : evidence from panel data

Albarran, P., R. Carrasco and M. Martinez-Granado
Oxford Bulletin of Economics and Statistics – 2009

Linkages between Shanghai and Hong Kong stock indices

Paya I. and S. Zhang
Applied Financial Economics – 2009

Specification Tests for the Distribution of Errors in Nonparametric Regression: A Martingale Approach.

Mora, J., and A. Pérez-Alonso
Journal of Nonparametric Statistics – 2009

The Rise of Obesity in Europe: an Economic Perspective

Brunello, G., Michaud, P. C. and A. Sanz-de-Galdeano
Economic Policy – 2009

Moral Hazard and the Demand for Health Services: a Matching Estimator Approach

Barros, P. P., Machado, M. and A. Sanz de Galdeano
Journal of Health Economics – 2008

On Specification Testing of Ordered Discrete Choice Models.

Mora, J., and A.-I. Moro-Egido
Journal of Econometrics – 2008

Deterministic impulse response in a nonlinear model. An analytic expression

Venetis I.,Paya I. and D. Peel
Economics Letters – 2007

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

On the relationship between inflation persistence and temporal aggregation

Paya I., Duarte A. and K. Holden
Journal of Money, Credit and Banking – 2007

Parental Divorce and Students’ Performance: Evidence from Longitudinal Data

Sanz-de-Galdeano, A. and D. Vuri
Oxford Bulletin of Economics and Statistics – 2007

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

A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994”

Paya I. and D. Peel
Journal
of Money, Credit and Banking
– 2006

Job-Lock and Public Policy: Evidence from Clinton’s Second Mandate

Sanz-de-Galdeano, A.
Industrial and Labor Relations Review – 2006

The Euro Area Wage Curve

Sanz-de-Galdeano, A. and J. Turunen
Economics Letters – 2006

Comparing distribution functions of errors in linear models: a nonparametric approach

Mora, J.
Statistics and Probability Letters – 2005

Do public transfers crowd out private transfers? Evidence from a randomized experiment in Mexico

Albarran, P. and O. P. Attanasio
Insurance against Poverty – 2005

Persistence and Kurtosis in GARCH and Stochastic Volatility Models

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

Preference Shocks from Aggregation: Time Series Data Evidence

Maliar, L. and S. Maliar
Canadian Journal of Economics – 2004

Limited commitment and crowding out of private transfers. Evidence from a randomized experiment

Albarran, P. and O. P. Attanasio
The Economic Journal – 2003

On the performance of nonparametric specification tests in regression models

Miles, D. and J. Mora
Computational Statistics and Data Analysis – 2003

A nonparametric test for serial independence of regression errors

Delgado, M.A. and J. Mora
Biometrika – 2000

Modelling conditional heteroskedasticity: application to the ‘IBEX-35’ stock-return index

León, A. and J. Mora
Spanish Economic Review – 1999

Testing non-nested semiparametric models: an application to Engel curves specification

Delgado, M.A. and J. Mora
Journal of Applied Econometrics – 1998

Nonparametric and semiparametric estimation with discrete regressors

Delgado, M.A. and J. Mora
Econometrica – 1995

On asymptotic inferences in nonparametric and semiparametric models with discrete and mixed regressors

Delgado, M.A. and J. Mora
Investigaciones Económicas – 1995

Team
Jose Agulló Candela
October 14, 2020
Pedro Albarran Pérez
September 9, 2022
Marianna Battaglia
October 4, 2022
M. Angeles Carnero Fernández
September 15, 2022
M. Dolores Collado Vindel
October 31, 2022
Ángel Manuel León Valle
September 9, 2022
Juan Mora López
March 8, 2023
Elie Murard
September 15, 2022
Iván Payá Sastre
January 30, 2023
Gabriel Pérez-Quirós
October 14, 2020
Fidel Pérez Sebastián
November 3, 2022
Anna Sanz-de-Galdeano
January 30, 2023
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Research groups
  • Prometeo – Economia y Gènere
    October 19, 2020
  • Prometeo – Information transmission in a polarized society
    February 8, 2023
  • Behavioral, Experimental and Network Economics
    June 22, 2021
  • Development Economics
    June 22, 2021
  • Econometrics
    June 22, 2021
  • Economic Theory
    June 22, 2021
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    June 22, 2021
  • International, Urban and Regional Economics
    June 22, 2021
  • Labor Economics
    June 22, 2021
  • Macroeconomics
    June 22, 2021
  • Mathematical Economics
    June 22, 2021
  • Public Economics and Political Economy
    June 22, 2021
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