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Testing for the general fractional unit root hypothesis in the time domain

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - 2008

Persistent link: https://www.econbiz.de/10003827435

Near seasonal integration

Rodrigues, Paulo M. M. - In: Econometric theory 17 (2001) 1, pp. 70-86

Persistent link: https://www.econbiz.de/10001556069

The behaviour of seasonal unit root tests under neglected local drifts

Rodrigues, Paulo M. M. - In: Portuguese economic journal 1 (2002) 1, pp. 27-46

Persistent link: https://www.econbiz.de/10001697930

On LM type tests for seasonal unit roots in quarterly data

Rodrigues, Paulo M. M. - In: The econometrics journal 5 (2002) 1, pp. 176-195

Persistent link: https://www.econbiz.de/10001683702

Forecasting the unconditional and conditional kurtosis of the asset returns distribution

Ñíguez, Trino-Manuel; Perote, Javier; Rubia, Antonio - In: Economic forecasting, (pp. 229-247). 2010

Persistent link: https://www.econbiz.de/10009130829

Good for one, bad for all : determinants of individual versus systemic risk

López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - In: Journal of financial stability 9 (2013) 3, pp. 287-299

Persistent link: https://www.econbiz.de/10010237085

On downside risk predictability through liquidity and trading activity : a dynamic quantile approach

Rubia, Antonio; Sanchis-Marco, Lidia - In: International journal of forecasting 29 (2013) 1, pp. 202-219

Persistent link: https://www.econbiz.de/10009706161

Forecasting time-varying covariance matrices in the intradaily spot market of Argentina

León Valle, Ángel Manuel; Rubia, Antonio - In: Modelling prices in competitive electricity markets, (pp. [177]-189). 2004

Persistent link: https://www.econbiz.de/10003232789

Direct versus iterated multi-period volatility forecasts : why MIDAS is king

Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I.; … - 2019 - This draft: January 11, 2019

Multi-period-ahead forecasts of returns' variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of...

Persistent link: https://www.econbiz.de/10011976983

Market frictions and the pricing of sovereign credit default swaps

Rubia, Antonio; Sanchis-Marco, Lidia; Serrano, Pedro - In: Journal of international money and finance 60 (2016), pp. 223-252

Persistent link: https://www.econbiz.de/10011660873