- US aggregate output measurement: a common trend approach, with
T. Almuzara and G. Fiorentini, January 2018.
- Gaussian rank correlation: a coefficient with attractive statistical properties, with D. Amengual, December 2017.
- Financial contagion in the eurozone, with D. Amengual, August 2017.
- A flexible dynamic factor model for international business cycles,
with G. Fiorentini and A. Galesi, November 2014.
- Information matrix tests of distributional assumptions,
with D. Amengual, February 2012.
- Inference in multivariate dynamic models with elliptical innovations,
with D. Amengual, February 2011.
- The connection between vector ARCH and
vector random coefficient autoregressive models with applications, with C. He and T. Teräsvirta, 2008.
- Minimum message length estimation of panel
with M. Arellano and David L. Dowe, 2004.
- Understanding the term structure of predictability in stock markets,
with N. Meddahi, 2002.
- Overspecified GMM models: applications to
multivariate regression, with E. Renault, 2001.
- Testing derivative pricing models, with F. Peñaranda, 1999.
- From discrete time to continuous time, and
with A. León, 1998.
- The power of mean-variance efficiency
tests: portfolio aggregation considerations, with M. Rada, 1997.
- Conditional variance models of income risk
and consumption: estimates from panel data with unobserved heterogeneity, with P. Albarrán, M. Arellano
and R. Blundell, 1993.
- Inequality constraints on GQARCH models, with A. Demos, 1991.
Back to main page
Last revised: 26th February 2018