Jesús Gonzalo

Universidad Carlos III de Madrid

E-28903 Getafe (Madrid)

Spain

SCHOLARLY PAPERS

9

DOWNLOADS

855

SSRN CITATIONS
Rank 24,846

SSRN RANKINGS

Top 24,846

in Total Papers Citations

11

CROSSREF CITATIONS

24

Scholarly Papers (9)

1.

Modelling and Measuring Price Discovery in Commodity Markets

Number of pages: 28 Posted: 04 Feb 2008
Jesús Gonzalo and Isabel Figuerola-Ferretti
Universidad Carlos III de Madrid and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 646 (45,095)
Citation 7

Abstract:

Loading...

Backwardation, Cointegration, Commodity Markets, Contango, Convenience Yield, Future Prices, Permanent-Transitory Decomposition, Price Discovery

2.

Regime Specific Predictability in Predictive Regressions

Number of pages: 32 Posted: 17 Feb 2011 Last Revised: 03 Mar 2011
Jesús Gonzalo and Jean-Yves Pitarakis
Universidad Carlos III de Madrid and University of Southampton - Division of Economics
Downloads 75 (351,511)
Citation 4

Abstract:

Loading...

Endogeneity, Persistence, Return Predictability, Threshold Models

3.

What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks

Number of pages: 45 Posted: 23 Jul 2007
Juan Jose Dolado, Jesús Gonzalo and Laura Mayoral
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 75 (351,511)
Citation 20

Abstract:

Loading...

Unit root tests, structural breaks, fractional integration, long memory

4.

Testing I(1) Against I(d) Alternatives in the Presence of Deteministic Components

Number of pages: 29 Posted: 23 Jul 2007
Juan Jose Dolado, Jesús Gonzalo and Laura Mayoral
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 28 (528,594)
Citation 6

Abstract:

Loading...

Deterministic components, Dickey-Fuller test, fractionally Dickey-Fuller test, fractional processes, long memory, trends, unit roots

5.

Threshold Effects in Cointegrating Relationships

Oxford Bulletin of Economics and Statistics, Vol. 68, No. S1, pp. 813-833, December 2006
Number of pages: 21 Posted: 24 Nov 2006
Jesús Gonzalo and Jean-Yves Pitarakis
Universidad Carlos III de Madrid and University of Southampton - Division of Economics
Downloads 16 (604,236)
Citation 4
  • Add to Cart

Abstract:

Loading...

6.

Dynamic Effects of Persistent Shocks

Banco de Espana Working Paper No. 1944 (2019)
Number of pages: 59 Posted: 26 Dec 2019
Mario Alloza, Jesús Gonzalo and Carlos Sanz
Banco de España, Universidad Carlos III de Madrid and Banco de España
Downloads 15 (611,013)
Citation 1

Abstract:

Loading...

impulse response function, local projection, shock, fiscal policy, monetary policy

7.

Differences between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 1, pp. 42-61, 2019
Number of pages: 20 Posted: 11 Jan 2019
Jesús Gonzalo and Jose Olmo
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 0 (739,042)
  • Add to Cart

Abstract:

Loading...

8.

Conditional Stochastic Dominance Tests in Dynamic Settings

International Economic Review, Vol. 55, Issue 3, pp. 819-838, 2014
Number of pages: 20 Posted: 30 Jul 2014
Jesús Gonzalo and Jose Olmo
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 0 (739,042)
  • Add to Cart

Abstract:

Loading...

9.

Price Discovery in Commodity Markets: The Case of Metals

Posted: 16 Mar 2006
Isabel Figuerola-Ferretti and Jesús Gonzalo
Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid

Abstract:

Loading...

price idiscovery, future prices, commodity markets