Javier Hualde

University of Navarra

Pamplona, Navarra 31080

SCHOLARLY PAPERS

5

DOWNLOADS

512

SSRN CITATIONS

3

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Persistence in Nonlinear Time Series: A Nonparametric Approach

CAEPR Working Paper No. 2009-003
Number of pages: 48 Posted: 19 Feb 2009 Last Revised: 22 Feb 2009
Juan Carlos Escanciano and Javier Hualde
Universidad Carlos III de Madrid and University of Navarra
Downloads 230 (251,006)

Abstract:

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Conditional Mean, Nonlinear time series, Non- linear Persistence, Nonlinear correlograms, Persistence in variance, Bull and bear markets.

2.

Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk

CAEPR WORKING PAPER 2017-017
Number of pages: 41 Posted: 19 Dec 2017
Juan Carlos Escanciano and Javier Hualde
Universidad Carlos III de Madrid and University of Navarra
Downloads 141 (385,964)
Citation 2

Abstract:

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Nonlinear dependence; Tail risk; Expected Short-fall; Persistence in variance; Market crashes

3.

Semiparametric Estimation of Fractional Cointegration

LSE STICERD Research Paper No. EM502
Number of pages: 49 Posted: 21 Jul 2008
Javier Hualde
University of Navarra
Downloads 59 (674,378)

Abstract:

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4.

Root-N-Consistent Estimation of Weak Fractional Cointegration

LSE STICERD Research Paper No. EM499
Number of pages: 43 Posted: 21 Jul 2008
Javier Hualde
University of Navarra
Downloads 43 (773,854)
Citation 1

Abstract:

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5.

Cointegration in Fractional Systems with Unkown Integration Orders

LSE STICERD Research Paper No. EM449
Number of pages: 49 Posted: 21 Jul 2008
Javier Hualde
University of Navarra
Downloads 39 (802,888)

Abstract:

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