sample of publications

• articles 

  • Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application.  MACROECONOMIC DYNAMICS.  28:32-50. 2023
  • Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts.  Energy Economics.  118. 2023
  • Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate.  MACROECONOMIC DYNAMICS.  27:203-223. 2023
  • Multivariate Markov-switching score-driven models: An application to the global crude oil market.  STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS.  26. 2022
  • Robust estimation and forecasting of climate change using score-driven ice-age models.  Econometrics.  10:1-29. 2022
  • Anticipating extreme losses using score-driven shape filters.  STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS.  2022:1-36. 2022
  • Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility.  STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS.  2022. 2022
  • 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial.  INTERNATIONAL JOURNAL OF FORECASTING.  37:1333-1337. 2021
  • Mixed random forest, cointegration, and forecasting gasoline prices.  INTERNATIONAL JOURNAL OF FORECASTING.  37:1442-1462. 2021
  • What drives spectrum prices in multi-band spectrum markets? An empirical analysis of 4G and 5G auctions in Europe.  APPLIED ECONOMICS.  54:536-553. 2021
  • Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models.  Journal of Econometric Methods.  10. 2021
  • European gasoline markets: price transmission asymmetries in mean and variance.  APPLIED ECONOMICS.  52:4621-4638. 2020
  • Equation-by-equation estimation of multivariate periodic electricity price volatility.  Energy Economics.  74:287-298. 2018
  • A new Cramer-Von Misses cointegration test with application to environmental Kuznets curve.  APPLIED ECONOMICS.  50:3966-3978. 2018
  • Estimation of log-GARCH models in the presence of zero returns.  European Journal of Finance.  24:809-827. 2018
  • The impact of health research on length of stay in Spanish public hospitals.  RESEARCH POLICY.  46:591-604. 2017
  • Score-driven dynamic patent count panel data models.  ECONOMICS LETTERS.  149:116-119. 2016
  • Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  100:582-594. 2016
  • Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers.  Journal of Econometrics.  191:145-163. 2016
  • Does recession drive convergence in firms' productivity? : evidence from Spanish manufacturing firms.  JOURNAL OF PRODUCTIVITY ANALYSIS.  41:339-349. 2014
  • Automated model selection in finance: general-to-specific modelling of the mean and volatility specifications.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS.  74:716-735. 2012
  • Modelling electricity prices: international evidence.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS.  73:622-650. 2012
  • Knowledge Spillovers in US Patents: A Dynamic Patent Intensity Model with Secret Common Innovation Factors.  Journal of Econometrics.  159:14-32. 2010
  • Investment Climate Assessment in Indonesia, Malaysia, The Philippines and Thailand: Results from Pooling Firms-Level Data.  SINGAPORE ECONOMIC REVIEW.  54:335-366. 2009
  • Managing External Knowledge Flows: The Moderating Role of Absorptive Capacity.  RESEARCH POLICY.  38:96-105. 2009
  • Segmentación geográfica en los servicios de telecomunicaciones: aspectos económicos y tecnológicos.  Regulatory and Economic Policy in Telecommunications.  74-87. 2008
  • Testing for Cointegration Using Induced-Order Statistics.  COMPUTATIONAL STATISTICS.  23:131-151. 2008

• book chapters 

  • Economía y Sociedad de la Información y del Conocimiento (SIC) en España: una comparación internacional. In: La Sociedad de la Información y el Conocimiento.  INSTITUTO DE ESPAÑA. 86-130. 2010
  • Econometrics: Nonlinear Cointegration. In: Encyclopedia of Complexity and Systems Science.  SPRINGER. 2757-2769. 2009

• conference contributions 

  • Nonlinear and Asymmetric Pricing Behaviour in the Spanish Gasoline Market 2017
  • Assessing the Impact of the Investment Climate on Productivity Using Firm-Level Data: Methodology and the Case of Costa Rica 2008
  • Catch Up, Convergence and the Business Cycle: Firm Level Evidence from Spain 2008
  • Productivity Catching Up: Evidence form Spanish Manufacturing Firms 2008

• working papers 

  • Anthropogenic effects of climate change: Further evidence from a fractionally integrated ice-age model 2024
  • Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 2024
  • Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models 2024
  • Monetary trends in the UK and the USA from 1874 to 2020: a nonlinear approach to money demand 2023
  • High-Speed Rail: a panel data impact evaluation by Municipalities on depopulation and unemployment 2022
  • Score-driven threshold ice-age models: benchmark models for long-run climate forecasts 2022
  • Robust estimation and forecasting of climate change using score-driven ice-age models 2021
  • A structural analysis of the merit-order effect in the Spanish day-ahead power market 2021
  • Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones 2020
  • Forecasting gasoline prices with mixed random forest error correction models 2020
  • Dynamic stochastic general equilibrium inference using a score-driven approach 2020
  • Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution 2020
  • European gasoline markets: price transmission asymmetries in mean and variance 2020
  • Transporte, infraestructura y crecimiento económico en España 2019
  • Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production 2019
  • Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk 2019
  • Co-integration and common trends analysis with score-driven models : an application to US macroeconomic data 2019
  • Efectos de la digitalización y la productividad en la economía española : una comparación internacional 2019
  • Investment Climate Effects on Alternative Firm-Level Productivity Measures 2019
  • Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index 2019
  • Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada 2018
  • Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models 2018
  • Seasonal quasi-vector autoregressive models for macroeconomic data 2018
  • Score-driven non-linear multivariate dynamic location models 2017
  • Dynamic conditional score models with time-varying location, scale and shape parameters 2017
  • Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market 2017
  • Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility 2016
  • Score-driven dynamic patent count panel data models 2016
  • Dynamic conditional score patent count panel data models 2015
  • Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers 2014
  • Unbiased QML estimation of Log-GARCH models in the presence of zero returns 2013
  • Patents, secret innovations and firm's rate of return : differential effects of the innovation leader 2012
  • Robust investment climate effects on alternative firm-level productivity measures 2012
  • EU Patent System: to be or not to be? 2011
  • An Evaluation of Public Aids towards Renewable Energy Sources in Spain 2010
  • The Power Log-GARCH Model 2010
  • Empirical Econometric Evaluation of Alternative Methods of Dealing with Missing Values in Investment Climate Surveys 2009
  • Knowledge Spillovers in U.S. Patents: a Dynamic Patent Intensity Model with Secret Common Innovation Factors 2009
  • Assessing the Impact of Infrastructure Quality on Firm Productivity in Africa: Cross-Country Comparisons Based on Investment Climate Surveys from 1999 to 2005 2009
  • Automated Financial Multi-Path GETS Modelling 2009
  • Catching Up in Total Factor Productivity Tthrough the Business Cycle: Evidence from Spanish Manufacturing Surveys 2008