Helena Veiga

Universidad Carlos III de Madrid - Department of Statistics and Econometrics

c/ Madrid 126

Getafe (Madrid), 28903

Spain

SCHOLARLY PAPERS

12

DOWNLOADS

410

SSRN CITATIONS
Rank 36,417

SSRN RANKINGS

Top 36,417

in Total Papers Citations

17

CROSSREF CITATIONS

2

Scholarly Papers (12)

1.

Asymmetric Stochastic Volatility Models: Properties and ABC Filter-based Maximum Likelihood Estimation

Number of pages: 56 Posted: 03 Jan 2015 Last Revised: 15 Dec 2016
Zhongnan University of Economics and Law - School of Finance, EDHEC Business School, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 164 (198,055)
Citation 14

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ABC filtering, Leverage effect, SV models, Value-at-Risk

2.

The Interrelationship between Financial and Energy Markets

S. Ramos and H. Veiga (eds.), The Interrelationship Between Financial and Energy Markets, Lecture Notes in Energy 54, Edited by Sofia B. Ramos and Helena Veiga, 2014, Springer-Verlag Berlin Heidelberg
Number of pages: 14 Posted: 11 Oct 2014
Sofia Brito Ramos and Helena Veiga
ESSEC and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 88 (313,490)

Abstract:

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Energy; Electricity, Oil; Markets; Transmissions

3.

Do Investors Price Industry Risk? Evidence from Commodity Dependent Industries

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 30 Posted: 16 Sep 2011 Last Revised: 23 Dec 2014
ESSEC, Universidad Carlos III de Madrid, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and National Central University - Department of Finance
Downloads 64 (375,568)

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Anomalies; Asset Pricing; Cross Sectional Tests; Growth Options; Oil and Natural Gas Industry; Oil Prices; Time Series Tests

4.

Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models

Number of pages: 30 Posted: 27 Jul 2012
Jorge E. Galán, Helena Veiga and Mike Wiper
Banco de España, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 55 (404,600)
Citation 3

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Stochastic Frontier Models, Inefficiency, Heterogeneity, Bayesian Inference

5.

Stock Market Return Predictability Before and After the Dodd-Frank Act

Number of pages: 29 Posted: 30 Jun 2020
Isabel Casas, Xiuping Mao and Helena Veiga
University of Southern Denmark, Zhongnan University of Economics and Law - School of Finance and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 25 (536,083)

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Dodd-Frank Act; Non-Parametric Methods; Predictability; Realized Variance; Variance Risk Premium

6.

Exploring Option Pricing and Hedging via Volatility Asymmetry

Number of pages: 16 Posted: 07 Aug 2015 Last Revised: 18 Dec 2019
Isabel Casas and Helena Veiga
University of Southern Denmark and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 7 (655,555)

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Delta Hedging; Option Pricing; Stochastic Volatility; Volatility Asymmetry

7.

Are Feedback Factors Important in Modeling Financial Data?

International Review of Finance, Vol. 7, Issue 3-4, pp. 105-118, September/December 2007
Number of pages: 14 Posted: 25 Jan 2008
Helena Veiga
Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 5 (670,122)
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8.

Uncertainty and Density Forecasts of ARMA Models: Comparison of Asymptotic, Bayesian, and Bootstrap Procedures

Journal of Economic Surveys, Vol. 32, Issue 2, pp. 388-419, 2018
Number of pages: 32 Posted: 13 Mar 2018
Universidad Carlos III de Madrid, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 1 (708,149)
Citation 1
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Bayesian forecast, Bootstrap, Fan charts, Model misspecification, Parameter uncertainty

9.

Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry

Journal of Energy Markets, Forthcoming
Number of pages: 29 Posted: 19 Jan 2017
ESSEC, Durham University Business School, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and National Sun Yat-sen University
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anomalies, asset pricing, cross-sectional tests, oil industry, oil prices, time series tests

10.

Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium

CREATES Research Paper 2018-10
Posted: 05 Mar 2018 Last Revised: 09 Mar 2018
Isabel Casas, Xiuping Mao and Helena Veiga
University of Southern Denmark, Zhongnan University of Economics and Law - School of Finance and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

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Net Measures, Nonparametric Methods, Predictability, Realized Variance, Variance Risk Premium, VIX

11.

Risk Factors in the Oil Industry: An Upstream and Downstream Analysis

The Interrelationship Between Financial and Energy Markets, Springer Lecture Notes in Energy 54, Edited by Sofia B. Ramos and Helena Veiga, 2014. Springer-Verlag Berlin Heidelberg
Posted: 11 Oct 2014
Sofia Brito Ramos, Helena Veiga and Chih-Wei Wang
ESSEC, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and National Central University - Department of Finance

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Asymmetric Effects; Oil and Natural Gas Companies; Oil Prices; Oil Volatility

12.

Risk Factors in Oil and Gas Industry Returns: International Evidence

Energy Economics, Vol. 33, No. 3, 2011
Posted: 06 Jan 2013
Sofia Brito Ramos and Helena Veiga
ESSEC and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

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Asymmetric Effects, Commodity Price Risk, Multifactor Asset Pricing Models, Net Oil Prices, Oil Industry, Panel Data, Scaled Oil Prices