Jose Gonzalo Rangel

Banorte Financial Group

Executive Director of Analytics

Prol. Reforma 1230

Mexico City, CDMX 05349

Mexico

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 24,239

SSRN RANKINGS

Top 24,239

in Total Papers Downloads

2,206

SSRN CITATIONS
Rank 8,760

SSRN RANKINGS

Top 8,760

in Total Papers Citations

111

CROSSREF CITATIONS

25

Scholarly Papers (8)

The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes

Review of Financial Studies, Vol. 21, 2008
Number of pages: 51 Posted: 24 Oct 2006 Last Revised: 06 Oct 2010
Robert F. Engle and Jose Gonzalo Rangel
New York University (NYU) - Department of Finance and Banorte Financial Group
Downloads 650 (44,101)
Citation 80

Abstract:

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Spline-GARCH, Global Equity Volatility, Low-frequency Volatility, Semi-Parametric Models, Macroeconomic Determinants

2.

The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations

Journal of Business and Economic Statistics, Vol. 30, No. 1, pp. 109-124, 2012
Number of pages: 49 Posted: 07 Feb 2011 Last Revised: 15 Nov 2013
Jose Gonzalo Rangel and Robert F. Engle
Banorte Financial Group and New York University (NYU) - Department of Finance
Downloads 419 (77,627)
Citation 3

Abstract:

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Factor models, Dynamic correlation, Spline-GARCH, DCC, Idiosyncratic volatility, Time-varying betas, Long-term forecast evaluation.

3.

Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics

Journal of Banking and Finance, Forthcoming
Number of pages: 44 Posted: 25 Oct 2006 Last Revised: 06 Oct 2010
Jose Gonzalo Rangel
Banorte Financial Group
Downloads 395 (83,095)
Citation 4

Abstract:

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Conditional Volatility, Conditional Jump Intensity, News Impacts, Announcement Effects, Nonlinear Time Series

4.

Market Crashes

Number of pages: 47 Posted: 10 May 2010 Last Revised: 11 Apr 2011
Maria Kasch, Jose Gonzalo Rangel and Moritz Weigand
University of Mannheim - Department of Finance, Banorte Financial Group and PPI AG
Downloads 302 (112,493)
Citation 2

Abstract:

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stock market crashes, post-crash recoveries, order imbalance, flight to size, flight to quality, flight to liquidity

5.

High and Low Frequency Correlations in Global Equity Markets

Posted: 09 Feb 2011
Robert F. Engle and Jose Gonzalo Rangel
New York University (NYU) - Department of Finance and Banorte Financial Group
Downloads 239 (143,261)
Citation 9

Abstract:

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Factor-Spline-GARCH, Multiple factors, International correlations, Non-synchronous trading

6.

FX Comovements and their Economic Determinants

Number of pages: 54 Posted: 08 Jun 2011 Last Revised: 07 Oct 2020
Jose Gonzalo Rangel
Banorte Financial Group
Downloads 119 (261,055)
Citation 2

Abstract:

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Conditional comovements, FX markets, global factors, time-varying loadings, idiosyncratic volatilities, trends, economic fundamentals

7.

Revisiting the Effects of Country Specific Fundamentals on Sovereign Default Risk

Economics Bulletin, Vol. 32 No. 4, pp. 3008-3016, 2012
Number of pages: 9 Posted: 21 Nov 2012
Manuel Ramos-Francia and Jose Gonzalo Rangel
Banco de México and Banorte Financial Group
Downloads 60 (395,483)

Abstract:

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sovereign risk, macroeconomic fundamentals, emerging, developed

8.

Exchange Rate Market Expectations and Central Bank Policy: The Case of the Mexican Peso-US Dollar from 2005-2009

Journal of Derivatives, Vol. 19, No. 4, 2012
Number of pages: 37 Posted: 10 Mar 2011 Last Revised: 02 Jul 2019
Gustavo Abarca, Guillermo Benavides and Jose Gonzalo Rangel
Bank of Mexico, Banco de Mexico and Banorte Financial Group
Downloads 22 (565,242)
Citation 6

Abstract:

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Exchange Rates, Interest Rate Targeting, Market Expectations, Mexican Peso-U.S. Dollar Exchange Rate, Monetary Policy, Risk-Neutral Densities