Español
Valencià
Jose Agulló Candela
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.
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
