Jose Gonzalo Rangel

Goldman Sachs Group, Inc. - Global Investment Research

200 West Street

New York, NY 10280

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 23,284

SSRN RANKINGS

Top 23,284

in Total Papers Downloads

2,148

SSRN CITATIONS
Rank 8,269

SSRN RANKINGS

Top 8,269

in Total Papers Citations

104

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 - Leonard N. Stern School of Business - Department of Economics and Goldman Sachs Group, Inc. - Global Investment Research
Downloads 618 (44,151)
Citation 75

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
Goldman Sachs Group, Inc. - Global Investment Research and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 411 (74,585)
Citation 3

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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
Goldman Sachs Group, Inc. - Global Investment Research
Downloads 394 (78,182)
Citation 3

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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, Goldman Sachs Group, Inc. - Global Investment Research and PPI AG
Downloads 292 (109,600)
Citation 2

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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 - Leonard N. Stern School of Business - Department of Economics and Goldman Sachs Group, Inc. - Global Investment Research
Downloads 236 (136,647)
Citation 8

Abstract:

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

6.

FX Comovements: Disentangling the Role of Market Factors, Carry-Trades and Idiosyncratic Components

Number of pages: 32 Posted: 08 Jun 2011
Jose Gonzalo Rangel
Goldman Sachs Group, Inc. - Global Investment Research
Downloads 117 (249,757)
Citation 2

Abstract:

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Comovements, FX Markets, Global Factors, Idiosyncratic Volatilities, 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 Goldman Sachs Group, Inc. - Global Investment Research
Downloads 59 (377,723)

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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 Goldman Sachs Group, Inc. - Global Investment Research
Downloads 21 (541,645)
Citation 5

Abstract:

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