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Properties of the sample autocorrelations of nonlinear transformations in long-memory stochastic volatility models

Pérez, Ana; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 1 (2003) 3, pp. 420-444

Persistent link: https://www.econbiz.de/10002214167

Asymmetric long memory GARCH : a reply to Hwang's model

Ruiz, Esther; Pérez, Ana - In: Economics letters 78 (2003) 3, pp. 415-422

Persistent link: https://www.econbiz.de/10001741157

Finite sample properties of a QML estimator of stochastic volatility models with long memory

Pérez, Ana; Ruiz, Esther - In: Economics letters 70 (2001) 2, pp. 157-164

Persistent link: https://www.econbiz.de/10001537967

The evolution of poverty in the EU-28 : a further look based on multivariate tail dependence

Garcia-Gomez, César; Pérez, Ana; Prieto Alaiz, Mercedes - 2022

Persistent link: https://www.econbiz.de/10013184538

Maximally autocorrelated power transformations : a closer look at the properties of stochastic volatility models

Ruiz, Esther; Pérez, Ana - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10009656089

Outliers and misleading leverage effect in asymmetric GARCH-type models

Carnero, M. Angeles; Pérez, Ana - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012437834

Outliers and misleading leverage effect in asymmetric GARCH-type models

Carnero, M. Angeles; Pérez, Ana - 2018 - Version: January 2018

Persistent link: https://www.econbiz.de/10011819298

Leverage effect in energy futures revisited

Carnero, M. Angeles; Pérez, Ana - In: Energy economics 82 (2019), pp. 237-252

Persistent link: https://www.econbiz.de/10012173930

The impact of different data sources on the level and structure of income inequality

Ayala Cañón, Luis; Pérez, Ana; Prieto Alaiz, Mercedes - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 3, pp. 583-611

This paper aims to analyze the effect on measured inequality and its structure of using administrative data instead of survey data. Different analyses are carried out based on the Spanish Survey on Income and Living Conditions (ECV) that continued to ask households for their income despite...

Persistent link: https://www.econbiz.de/10013459933

Spurious regressions in econometrics for I(d) stochastic processes

Mármol, Francesc - 1994

Persistent link: https://www.econbiz.de/10000891078