Ana
Perez Espartero
Universidad Carlos III de Madrid
Madrid, EspañaPublicacions en col·laboració amb investigadors/es de Universidad Carlos III de Madrid (7)
2016
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A note on nonparametric estimation of copula-based multivariate extensions of Spearman's rho
Statistics and Probability Letters, Vol. 112, pp. 41-50
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Identification of asymmetric conditional heteroscedasticity in the presence of outliers
SERIEs : Journal of the Spanish Economic Association, Vol. 7, Núm. 1, pp. 179-201
2012
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Maximally autocorrelated power transformations: A closer look at the properties of stochastic volatility models
Studies in Nonlinear Dynamics and Econometrics, Vol. 16, Núm. 3
2009
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A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
Computational Statistics and Data Analysis, Vol. 53, Núm. 10, pp. 3593-3600
2003
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Asymmetric long memory GARCH: A reply to Hwang's model
Economics Letters, Vol. 78, Núm. 3, pp. 415-422
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Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models
Journal of Financial Econometrics, Vol. 1, Núm. 3, pp. 420-444
2001
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Finite sample properties of a QML estimator of stochastic volatility models with long memory
Economics Letters, Vol. 70, Núm. 2, pp. 157-164