Publications in collaboration with researchers from Universidad Carlos III de Madrid (7)

2016

  1. A note on nonparametric estimation of copula-based multivariate extensions of Spearman's rho

    Statistics and Probability Letters, Vol. 112, pp. 41-50

  2. Identification of asymmetric conditional heteroscedasticity in the presence of outliers

    SERIEs : Journal of the Spanish Economic Association, Vol. 7, Núm. 1, pp. 179-201

2009

  1. 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

  1. Asymmetric long memory GARCH: A reply to Hwang's model

    Economics Letters, Vol. 78, Núm. 3, pp. 415-422

  2. 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