← All authors Jesús Gonzalo Universidad Carlos III de Madrid (from arXiv:2302.02866, 2023) · OpenAlex
44 papers in scope · 43 published · 3 on the econ.EM arXiv · 4,433 citations · h-index 19 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Liang Chen Xinbing Kong Yongxin Liu Long Yu Maximilian Schröder Zhe Sun Dimitris Korobilis Yundong Tu Xiao Huang Peng Cheng Stan Uryasev Tomohiro Ando Junlong Feng Anthoulla Phella Kunpeng Li Ruofan Xu Jean-Yves Pitarakis Yong Song Paolo Andreini Cosimo Izzo 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 (7 of 44)
published 2026 · Journal of Econometrics · 2 citations · first circulated 2024
published 2026 · Oxford Bulletin of Economics and Statistics
published 2025 · PLoS ONE · 4 citations · first circulated 2023
with María Dolores Gadea Rivas
published 2024 · Economics Letters · 4 citations · first circulated 2023
published 2023 · International Journal of Forecasting · 2 citations
Heterogeneous predictive association of CO 2 with global warming
published 2023 · Economica · 4 citations
Nonparametric estimation of functional dynamic factor model
published 2022 · Journal of nonparametric statistics · 14 citations · first circulated 2020
A tale of three cities: climate heterogeneity
published 2021 · SERIEs · 4 citations
with María Dolores Gadea Rivas
Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions*
published 2021 · Oxford Bulletin of Economics and Statistics · first circulated 2018
Spurious relationships in high-dimensional systems with strong or mild persistence
published 2020 · International Journal of Forecasting · 6 citations
working paper 2020 · arXiv · 1 citations
Trends in distributional characteristics: Existence of global warming
published 2019 · Journal of Econometrics · 33 citations · first circulated 2017
with María Dolores Gadea Rivas
published 2019 · Journal of Applied Econometrics · 7 citations
with Mario Alloza, Carlos Sanz
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
published 2018 · Oxford Bulletin of Economics and Statistics · 1 citations
The reaction of stock market returns to unemployment
published 2017 · Studies in Nonlinear Dynamics and Econometrics · 17 citations
Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
published 2016 · Journal of Business and Economic Statistics · 19 citations
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
published 2014 · International Economic Review · 19 citations · first circulated 2010
Detecting big structural breaks in large factor models
published 2014 · Journal of Econometrics · 141 citations · first circulated 2011
Summability of stochastic processes—A generalization of integration for non-linear processes
published 2013 · Journal of Econometrics · 29 citations · first circulated 2011
with Vanessa Berenguer-Rico, Vanessa Berenguer Rico
Regime-Specific Predictability in Predictive Regressions
published 2012 · Journal of Business and Economic Statistics · 45 citations · first circulated 2010
Modelling and measuring price discovery in commodity markets
published 2010 · Journal of Econometrics · 200 citations · first circulated 2007
with Isabel Figuerola-Ferretti
Permanent and transitory components of GDP and stock prices: further analysis
published 2008 · Macroeconomics and Finance in Emerging Market Economies · 5 citations · first circulated 2007
Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components
published 2008 · Studies in Nonlinear Dynamics and Econometrics · 16 citations · first circulated 2007
with Juan J. Dolado, Laura Mayoral
Threshold Effects in Cointegrating Relationships*
published 2006 · Oxford Bulletin of Economics and Statistics · 106 citations
Large shocks vs. small shocks. (Or does size matter? May be so.)
published 2005 · Journal of Econometrics · 16 citations
with Oscar Martínez
Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
published 2005 · Journal of Econometrics · 9 citations
Subsampling inference in threshold autoregressive models
published 2004 · Journal of Econometrics · 105 citations · first circulated 2001
with Michael Wolf
Which Extreme Values Are Really Extreme?
published 2004 · Journal of Financial Econometrics · 42 citations
Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)
published 2004 · Econometric Society 2004 North American Winter Meetings · 3 citations · first circulated 2003
with Óscar Martín Martín, Oscar Martínez
no link
Long‐range dependence in Spanish political opinion poll series
published 2003 · Journal of Applied Econometrics · 38 citations
with Juan J. Dolado, Laura Mayoral
Estimation and model selection based inference in single and multiple threshold models
published 2002 · Journal of Econometrics · 250 citations · first circulated 2001
A Fractional Dickey-Fuller Test for Unit Roots
published 2002 · Econometrica · 157 citations
with Juan J. Dolado, Laura Mayoral
Lag length estimation in large dimensional systems
published 2002 · Journal of Time Series Analysis · 15 citations
A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
published 2001 · Journal of Economic Dynamics and Control · 222 citations · first circulated 1996
On the robustness of cointegration tests when series are fractionally intergrated
published 2000 · Journal of Applied Statistics · 29 citations
Specification via model selection in vector error correction models
published 1998 · Economics Letters · 74 citations
Pitfalls in testing for long run relationships
published 1998 · Journal of Econometrics · 224 citations · first circulated 1995
On the Exact Moments of Asymptotic Distributions in an Unstable Ar(1) with Dependent Errors
published 1998 · International Economic Review · 18 citations
Testing for multicointegration
published 1997 · Economics Letters · 55 citations
with Tom Engsted, Niels Haldrup
P-Values for non-standard distributions with an application to the DF test
published 1996 · Economics Letters · 7 citations
with Jérôme Adda
RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
published 1996 · Journal of Time Series Analysis · 19 citations · first circulated 1995
The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"
published 1995 · Journal of Business and Economic Statistics · 1321 citations
with Clive W. J. Granger
Five alternative methods of estimating long-run equilibrium relationships
published 1994 · Journal of Econometrics · 1125 citations
Cointegration and aggregation
published 1993 · Ricerche Economiche · 25 citations · first circulated 1992
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.
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