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Daniel Velásquez-Gaviria

Maastricht University (from arXiv:2310.19543, 2023) · ORCID · OpenAlex

7 papers in scope · 6 published · 2 on the econ.EM arXiv · 32 citations · h-index 3 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Francesco Giancaterini
  2. Gianluca Cubadda
  3. Joann Jasiak
  4. Alain Hecq
  5. Aryan Manafi Neyazi
  6. Sean Telg
  7. Tomás del Barrio Castro
  8. Stefano Grassi
  9. Christian Gouriéroux
  10. Elisa Voisin
  11. Claudio Morana
  12. Alexander Heinemann
  13. Ivan Ricardo
  14. Barbara Guardabascio
  15. Ines Wilms
  16. Stephan Smeekes
  17. Luca Margaritella
  18. Alessandro Casini
  19. Quinlan Lee
  20. Marie Ternes

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 7)

Noncausal AR processes driven by causal GARCH volatility
published2026 · Journal of Econometrics
with Jean-Michel Zakoïan
Journal of Econometrics
Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies
published2025 · Econometrics · 3 citations
with Alain Hecq
Econometrics
Spectral estimation for mixed causal-noncausal autoregressive models
published2025 · Econometric Reviews · 2 citations · first circulated 2022
with Alain Hecq
Paper profile Econometric Reviews arXiv:2211.13830
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios
published2024 · Journal of Time Series Analysis · 5 citations
with Alain Hecq
Journal of Time Series Analysis
Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models
working paper2023 · arXiv
with Alain Hecq
Paper profile arXiv arXiv:2310.19543
A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets
published2020 · Energies · 16 citations
with Andrés Mora-Valencia, Javier Perote
Energies
Testing expected shortfall: an application to emerging market stock indices
published2018 · Risk Management · 6 citations
with Emilio Cardona, Andrés Mora-Valencia
Risk Management

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.