sample of publications

• articles 

  • Heterogeneous predictive association of CO2 with global warming.  ECONOMICA.  90:1397-1421. 2023
  • Nonparametric estimation of functional dynamic factor model.  JOURNAL OF NONPARAMETRIC STATISTICS.  1-22. 2022
  • A tale of three cities: climate heterogeneity.  Series-Journal of the Spanish Economic Association.  13:475-511. 2022
  • Spurious relationships in high-dimensional systems with strong or mild persistence.  INTERNATIONAL JOURNAL OF FORECASTING.  37:1480-1497. 2021
  • Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions*.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS.  83:713-741. 2021
  • Quantile Factor Models.  ECONOMETRICA.  89:875-910. 2021
  • Trends in distributional characteristics: existence of global warming.  Journal of Econometrics.  214:153-174. 2020
  • Differences Between Short- and Long-Term Risk Aversion: An Optimal Asset Allocation Perspective.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS.  81:42-61. 2019
  • The reaction of stock market returns to unemployment.  STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS.  21. 2017
  • Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model.  JOURNAL OF BUSINESS & ECONOMIC STATISTICS.  35:202-217. 2017
  • Conditional stochastic dominance tests in dynamic settings.  INTERNATIONAL ECONOMIC REVIEW.  55:819-838. 2014
  • Detecting big structural breaks in large factor models.  Journal of Econometrics.  180:30-48. 2014
  • Summability of stochastic processes: a generalization of integration for non-linear processes.  Journal of Econometrics.  178:331-341. 2014
  • Regime-specific predictability in predictive regressions.  JOURNAL OF BUSINESS & ECONOMIC STATISTICS.  30:229-241. 2012
  • Modelling and Measuring Price Discovery in Commodity Markets.  Journal of Econometrics.  158:95-107. 2010
  • The Making of "Estimation of Common Long Memory Components in Cointegrated Systems".  Journal of Financial Econometrics.  8:174-176. 2010
  • Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components.  STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS.  12 :1-32. 2008
  • Permanent and Transitory Components of GDP and Stock Prices: Further Analysis.  Macroeconomics and Finance in Emerging Market Economies.  1:105-120. 2008

• book chapters 

  • Common and Idiosyncratic Factors of Real Interest Rates in Emerging Economies. In: The Natural Interest Rates in Emerging Economies.  Center for Latin American Monetary Studies. 277-301. 2020
  • Estimation and inference in threshold type regime switching models. In: Handbook of Research Methods and Applications in Empirical Macroeconomics.  Edward Elgar Publishing. 189-205. 2013
  • Estimation and inference in threshold type regime switching models. In: Handbook of research methods and applications in empirical macroeconomics.  Edward Elgar Publishing, Ltd. 2012
  • Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results. In: The Methodology and Practice in Econometrics: A Festschrift in Honour of David F. Hendry.  UNIVERSITY OF OXFORD. 300-321. 2009

• conference contributions 

  • Inferring the predictability induced by a persistent regressor in a predictive threshold model 2014
  • Pairs strategies and hedging properties of gold and silver markets 2014
  • Trend or not trend in distribution characteristics: the case of global warming 2014
  • Trends in distributional characteristics: the case of global warming 2014
  • Trends in distributional characteristics: the case of global warming 2014
  • Co-summability: from linear to non-linear co-integration 2013
  • Co-summability: from linear to non-linear co-integration 2013
  • Co-summability: from linear to non-linear co-integration 2013
  • Co-summability: from linear to nonlinear co-integration 2013
  • Inferring the predictability induced by a persistent regressor in a predictive threshold models 2013
  • Inferring the predictability induced by a persistent regressor in a predictive threshold models 2013
  • Inferring the predictability induced by a persistent regressor in a predictive threshold models 2013
  • Looking for a trend in distribution characteristics: the case of global warming 2013
  • The Reaction of Stock Market Returns to Anticipated Unemployment 2013
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Modelling and Measuring Price Discovery in Commodity Markets 2008
  • Shocks Do You Want to Identify Them? 2008
  • Simple Wald Test of the Frantional Integration Parameter: An Overview of New Results 2008
  • Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results 2008
  • Testing Downside Risk Efficieny Under Market Distress 2008
  • Testing Downside Risk Efficieny Under Market Distress 2008
  • Testing Downside Risk Efficieny Under Market Distress 2008
  • Testing for I(d) Against I(1) with Wald Tests: Some New Properties and an Extension to Processes with Trending Components ? 2008

• working papers 

  • Trends in temperature data: micro-foundations of their nature 2023
  • Estimation of characteristics-based quantile factor models 2023
  • Heterogeneous Predictive Association of CO2 with Global Warming 2023
  • Climate change heterogeneity: a new quantitative approach 2022
  • A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado) 2021
  • Out of sample predictability in predictive regressions with many predictor candidates 2020
  • Spurious relationships in high dimensional systems with strong or mild persistence 2020
  • Uncovering regimes in out of sample forecast errors from predictive regressions 2020
  • Quantile Factor Models 2020
  • Dynamic Effects of Persistent Shocks 2019
  • Predictive Regressions 2019
  • Quantile Factor Models 2017
  • The Reaction of Stock Market Returns to Unemployment 2017
  • Trends in distributional characteristics : Existence of global warming 2017
  • Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 2016
  • Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach 2013
  • The reaction of stock market returns to anticipated unemployment 2012
  • Conditional stochastic dominance tests in dynamic settings 2012
  • Estimation and inference in threshold type regime switching models 2012
  • Detecting big structural breaks in large factor models 2011
  • The reaction of stock market returns to anticipated unemployment 2011
  • Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes 2011
  • Detecting big structural breaks in large factor models 2011
  • Regime Specific Predictability in Predictive Regressions 2010
  • Conditional Stochastic Dominance Tests in Dynamic Settings 2010
  • Downside Risk Efficiency under Market Distress 2009
  • Testing Downside Risk Efficiency Under Market Distress 2008
  • Testing Downside Risk Efficiency Under Market Distress 2008
  • Simple Wald test of the Fractional Integration Parameter: An Overview of New Results 2008