Juan Romo

Universidad Carlos III de Madrid

E-28903 Getafe (Madrid)

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

309

CITATIONS
Rank 40,114

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Top 40,114

in Total Papers Citations

4

Scholarly Papers (3)

1.

A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets

Number of pages: 42 Posted: 29 Mar 2011 Last Revised: 08 Mar 2013
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 279 (80,221)
Citation 2

Abstract:

Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

2.

Bootstrap Predictive Inference for ARIMA Processes

Journal of Time Series Analysis, Vol. 25, No. 4, pp. 449-465, July 2004
Number of pages: 17 Posted: 13 Aug 2004
Esther Ruiz, Lorenzo Pascual and Juan Romo
Universidad Carlos III de Madrid - Department of Statistics and Econometrics, Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
Downloads 12 (466,421)
Citation 2

Abstract:

Forecasting, non-Gaussian distributions, prediction density, resampling methods, simulation

3.

Unit Root Bootstrap Tests Under Infinite Variance

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 32-47, 2012
Number of pages: 16 Posted: 28 Dec 2011
Marta Moreno and Juan Romo
affiliation not provided to SSRN and Universidad Carlos III de Madrid
Downloads 2 (514,527)

Abstract:

Unit root, M‐estimators, bootstrap, stable laws