Carlos Velasco

Universidad Carlos III de Madrid - Department of Economics

Calle Madrid 126

Getafe, 28903

Spain

SCHOLARLY PAPERS

20

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1,053

CITATIONS
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Top 10,585

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73

Scholarly Papers (20)

The Optimal Method for Pricing Bermudan Options by Simulation

Mathematical Finance, Forthcoming
Number of pages: 50 Posted: 18 Nov 2009 Last Revised: 22 Apr 2017
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Universidad Carlos III de Madrid - Department of Economics
Downloads 346 (84,997)
Citation 1

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American and Bermudan options, optimal stopping times, Monte Carlo simulation, least-squares, local polynomial estimates, series estimates

The Optimal Method for Pricing Bermudan Options by Simulation

Mathematical Finance, Vol. 28, Issue 4, pp. 1143-1180, 2018
Number of pages: 38 Posted: 17 Sep 2018
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Universidad Carlos III de Madrid - Department of Economics
Downloads 1 (681,267)
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American and Bermudan options, local least‐squares, optimal stopping‐times, optimization, simulation

2.

Specification Tests of Parametric Dynamic Conditional Quantiles

CAEPR Working Paper No. 2008-021
Number of pages: 33 Posted: 19 Aug 2008
Juan Carlos Escanciano and Carlos Velasco
Indiana University Bloomington - Department of Economics and Universidad Carlos III de Madrid - Department of Economics
Downloads 128 (220,842)
Citation 3

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Omnibus tests, Conditional quantiles, Nonlinear time series, Empirical processes, Quantile processes, Subsampling, Value-at-Risk, Tail Risk

3.

Delayed Overshooting: It's an 80s Puzzle

KIEP Research Paper No. Staff Papers 14-03
Number of pages: 37 Posted: 13 Sep 2014
Seong-Hoon Kim, Seongman Moon and Carlos Velasco
Yonsei University at Wonju, Chonbuk National University and Universidad Carlos III de Madrid - Department of Economics
Downloads 85 (292,650)
Citation 1

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delayed overshooting, UIP, Dornbusch overshooting hypothesis, Volcker, monetary policy regime

4.

The Forward Discount Puzzle: Identification of Economic Assumptions

Number of pages: 50 Posted: 23 Jan 2011
Seongman Moon and Carlos Velasco
Universidad Carlos III de Madrid - Department of Economics and Universidad Carlos III de Madrid - Department of Economics
Downloads 81 (301,330)
Citation 4

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5.

Recursive Lower- and Dual Upper-Bounds for Bermudan-Style Options

European Journal of Operational Research, Forthcoming
Number of pages: 31 Posted: 21 Oct 2014 Last Revised: 14 Jul 2019
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Universidad Carlos III de Madrid - Department of Economics
Downloads 69 (330,192)

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American and Bermudan options, optimal stopping-times, lower-bounds and upper-bounds, Monte Carlo methods, barrier options

6.

One-Factor-Based Exercise Strategies for American Options in Multi-Factor Models

Number of pages: 34 Posted: 24 Sep 2012 Last Revised: 02 May 2017
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Universidad Carlos III de Madrid - Department of Economics
Downloads 67 (335,489)

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American options, suboptimal exercise, one-factor-based strategies, Black-Scholes model, model errors, optimal-stopping

7.

On the Properties of Regression Tests of Asset Return Predictability

Number of pages: 33 Posted: 24 Sep 2010 Last Revised: 15 Mar 2011
Carlos Velasco and Seongman Moon
Universidad Carlos III de Madrid - Department of Economics and Universidad Carlos III de Madrid - Department of Economics
Downloads 61 (351,980)

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t-test, conditional test, Q-test, predictive regression, regressor persistence, contemporaneous correlation

8.

New Goodness-of-Fit Diagnostics for Conditional Discrete Response Models

Cowles Foundation Discussion Paper No. 1924
Number of pages: 34 Posted: 06 Nov 2013
Igor Kheifets and Carlos Velasco
New Economic School (NES) and Universidad Carlos III de Madrid - Department of Economics
Downloads 45 (403,647)

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Specification tests, Count data, Dynamic discrete choice models, Conditional probability integral transform

9.

Fractional Cointegration Rank Estimation

Tinbergen Institute Discussion Paper 14-021/III
Number of pages: 33 Posted: 14 Feb 2014
Katarzyna Lasak and Carlos Velasco
VU Amsterdam and Universidad Carlos III de Madrid - Department of Economics
Downloads 30 (465,037)

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Error correction model, Gaussian VAR model, Likelihood ratio tests, Maximum likelihood estimation

10.

Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series

Journal of Time Series Analysis, Vol. 26, No. 4, pp. 581-611, July 2005
Number of pages: 31 Posted: 26 Jun 2005
Josu Arteche and Carlos Velasco
University of the Basque Country and Universidad Carlos III de Madrid - Department of Economics
Downloads 26 (485,326)
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11.

Predictability Tests for the Expectations Hypothesis in the Presence of MA Disturbances

Number of pages: 44 Posted: 07 Nov 2009 Last Revised: 16 Mar 2011
Seongman Moon and Carlos Velasco
Universidad Carlos III de Madrid - Department of Economics and Universidad Carlos III de Madrid - Department of Economics
Downloads 25 (490,796)
Citation 1

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Expectations hypothesis, excess returns, MA disturbances, variance ratio test, Box-Pierce test, Fama-French test, pooled method, minimum/maximum method

12.

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now Published in Journal of the American Statistical Association, 95, (2000), Pp.1229-1243.)

LSE STICERD Research Paper No. EM391
Number of pages: 35 Posted: 21 Jul 2008
Carlos Velasco
Universidad Carlos III de Madrid - Department of Economics
Downloads 25 (490,796)
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13.

Are Foreign Excess Returns Always Predictable? Expectations Errors Revisited

Number of pages: 40 Posted: 13 Mar 2010
Carlos Velasco and Seongman Moon
Universidad Carlos III de Madrid - Department of Economics and Universidad Carlos III de Madrid - Department of Economics
Downloads 21 (513,499)

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14.

Distribution Free Goodness-of-Fit Tests for Linear Processes

LSE STICERD Research Paper No. EM482
Number of pages: 51 Posted: 21 Jul 2008
Miguel Delgado, Javier S. Hidalgo and Carlos Velasco
affiliation not provided to SSRN, London School of Economics & Political Science (LSE) and Universidad Carlos III de Madrid - Department of Economics
Downloads 18 (530,948)

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15.

Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now Published in Economic Theory, 17 (2001), Pp.497-539.

LSE STICERD Research Paper No. EM390
Number of pages: 39 Posted: 21 Jul 2008
Carlos Velasco
Universidad Carlos III de Madrid - Department of Economics
Downloads 12 (566,781)

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16.

Optimal Fractional Dickey-Fuller Tests

Econometrics Journal, Vol. 9, No. 3, pp. 492-510, November 2006
Number of pages: 19 Posted: 01 Nov 2006
Ignacio N. Lobato and Carlos Velasco
Instituto Tecnológico Autónomo de México (ITAM) - Centro de Investigacion Economica and Universidad Carlos III de Madrid - Department of Economics
Downloads 7 (598,305)
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17.

Fractional Cointegration in the Presence of Linear Trends

Journal of Time Series Analysis, Vol. 29, Issue 6, pp. 1088-1103, November 2008
Number of pages: 16 Posted: 27 Oct 2008
Uwe Hassler, Francesc Marmol and Carlos Velasco
Goethe University Frankfurt - Faculty of Economics and Business Administration, Universidad Carlos III de Madrid - Department of Economics and Universidad Carlos III de Madrid - Department of Economics
Downloads 3 (626,533)
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18.

Evaluating the Impact of Early- and Late-Acquired Phonemes on the Luxury Appeal of Brand Names

Journal of Brand Management, Vol. 24, Issue 6, 2017
Number of pages: 24 Posted: 20 May 2018
Abhishek Pathak, Gemma Calvert and Carlos Velasco
Nanyang Technological University (NTU) - Institute on Asian Consumer Insight, Nanyang Technological University (NTU) - Institute on Asian Consumer Insight and Universidad Carlos III de Madrid - Department of Economics
Downloads 2 (636,413)
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Sound symbolism, Luxurious brand name, Phonemic age of acquisition, Phonetic symbolism

19.

Distribution-Free Specification Tests for Dynamic Linear Models

Econometrics Journal, Vol. 12, Issue s1, pp. S105-S134, January 2009
Number of pages: 30 Posted: 04 Jul 2009
Miguel Delgado, Javier S. Hidalgo and Carlos Velasco
affiliation not provided to SSRN, London School of Economics & Political Science (LSE) and Universidad Carlos III de Madrid - Department of Economics
Downloads 1 (649,034)
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20.

A Joint Portmanteau Test for Conditional Mean and Variance Time‐Series Models

Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 39-60, 2015
Number of pages: 22 Posted: 30 Dec 2014
Carlos Velasco and Xuexin Wang
Universidad Carlos III de Madrid - Department of Economics and Xiamen University
Downloads 0 (666,984)
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Model diagnostic checking, portmanteau statistic, estimation effect, GARCH model specification testing, residual serial correlation