Jesús Gonzalo

Universidad Carlos III de Madrid - Department of Statistics and Econometrics

c/ Madrid 126

Getafe (Madrid), 28903

Spain

Aarhus University - Department of Economics

University Park

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

6

DOWNLOADS

381

CITATIONS
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Top 28,730

in Total Papers Citations

20

Scholarly Papers (6)

1.

Testing for Multicointegration

Working Paper No. 1997-1
Number of pages: 14 Posted: 25 Feb 1997
Tom Engsted, Jesús Gonzalo and Niels Haldrup
University of Aarhus - CREATES, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Aarhus University, School of Economics and Management
Downloads 233 (130,453)
Citation 4

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2.

Estimation and Model Selection Based Inference in Single and Multiple Threshold Models

Journal of Econometrics, Vol. 110, No. 2, 2002
Number of pages: 42 Posted: 08 Jun 2001 Last Revised: 27 Feb 2011
Jesús Gonzalo and Jean-Yves Pitarakis
Universidad Carlos III de Madrid - Department of Statistics and Econometrics and University of Southampton - Division of Economics
Downloads 138 (207,982)
Citation 1

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Threshold Models, Non-Linear Models, Information Criteria, Model Selection

3.

Lag Length Estimation in Large Dimensional Systems

Journal of Time Series Analysis, Vol. 23, No. 4, pp. 401-423, 2002
Number of pages: 23 Posted: 02 Dec 2002
Jesús Gonzalo and Jean-Yves Pitarakis
Universidad Carlos III de Madrid - Department of Statistics and Econometrics and University of Southampton - Division of Economics
Downloads 10 (579,108)
Citation 1
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Dimesionality, information criteria, lag length selection, VAR

4.

Quantile Factor Models

CEPR Discussion Paper No. DP12716
Number of pages: 54 Posted: 20 Feb 2018
Liang Chen, Juan Dolado and Jesús Gonzalo
Shanghai University of Finance and Economics - School of Economics, European University Institute and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
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5.

Which Extreme Values are Really Extreme?

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 349-369, 2004
Posted: 29 Feb 2008
Jesús Gonzalo and Jose Olmo
Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad de Zaragoza

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bootstrap, extreme values, goodness-of-fit test, Hill estimator, Pickands theorem, VaR

6.

Multicointegration and Present Value Relations

Memo 1995-13
Posted: 23 Aug 1998
Tom Engsted, Jesús Gonzalo and Niels Haldrup
University of Aarhus - CREATES, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Aarhus University, School of Economics and Management

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