This discussion paper resulted in an article in the <I>Journal of the American Statistical Association</I> (2007). Vol. 102, issue 477, pages 16-27.<p> Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis...</p></i>

This paper compares the ability of GARCH and ARSV models to represent adequately the main empirical properties usually observed in high frequency financial time series: high kurtosis, small first order autocorrelation of squared observations and slow decay towards zero of the autocorrelation...

This paper analyses the effects caused by outliers on the identification and estimation of GARCH models. We show that outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects. First, we derive the asymptotic biases caused by outliers on the...

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

The objective of this article is to analyse empirically the problem of mobbing in Spain. Based on the fifth Spanish survey on working conditions, we find that during 2003, around 5% of workers declared being mobbed at their workplace. Some personal, job characteristics and working conditions are...

Purpose – The purpose of the paper is to evaluate the effect of mobbing in workers’ health. Design/methodology/approach – Using a dataset of Spanish workers from the VI Spanish Survey on Working Conditions, the authors identify mobbed and not mobbed workers and use two different health...