M. Angeles Carnero

Universidad de Alicante - Department of Economic Analysis

03080 Alicante

Spain

SCHOLARLY PAPERS

5

DOWNLOADS

318

CITATIONS
Rank 39,203

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in Total Papers Citations

13

Scholarly Papers (5)

1.

Periodic Heteroskedastic Regarfima Models for Daily Electricity Spot Prices

Tinbergen Institute Discussion Paper No. TI 03-071/4
Number of pages: 41 Posted: 22 Nov 2003
M. Angeles Carnero, Siem Jan Koopman and Marius Ooms
Universidad de Alicante - Department of Economic Analysis, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam - Department of Econometrics
Downloads 243 (124,916)

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Autoregressive fractionally integrated moving average model, Generalised autoregressive conditional heteroskedasticity model, Long memory process, Periodic autoregressive model, Volatility

2.

Rental Housing Discrimination and the Persistence of Ethnic Enclaves

IZA Discussion Paper No. 5583
Number of pages: 34 Posted: 28 Mar 2011
Mariano Bosch, M. Angeles Carnero and Lidia Farré
London School of Economics & Political Science (LSE), Universidad de Alicante - Department of Economic Analysis and Spanish Council for Scientific Research (CSIC) - Institute for Economic Analysis
Downloads 58 (360,340)

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immigration, discrimination, spatial segregation

3.

Effects of Outliers on the Identification and Estimation of GARCH Models

Journal of Time Series Analysis, Vol. 28, No. 4, pp. 471-497, July 2007
Number of pages: 27 Posted: 18 Jun 2007
M. Angeles Carnero, Daniel Peña and Esther Ruiz
Universidad de Alicante - Department of Economic Analysis, Universidad Carlos III de Madrid and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 17 (536,089)
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4.

Persistence and Kurtosis in GARCH and Stochastic Volatility Models

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 319-342, 2004
Posted: 29 Feb 2008
M. Angeles Carnero, Daniel Peña and Esther Ruiz
Universidad de Alicante - Department of Economic Analysis, Universidad Carlos III de Madrid and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

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ARSV, EGARCH, leverage effect, QGARCH

5.

Periodic Seasonal REG-ARFIMA-GARCH Models for Daily Electricity Spot Prices

Journal of the American Statistical Association, Vol. 102, No. 477, pp. 16-27, March 2007
Posted: 09 Jul 2007
Siem Jan Koopman, Marius Ooms and M. Angeles Carnero
Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam - Department of Econometrics and Universidad de Alicante - Department of Economic Analysis

Abstract:

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Autoregressive fractionally integrated moving average model, Generalised autoregressive conditional heteroskedasticity model, Long memory process, Periodic autoregressive model, Volatility