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Carlos Velasco

13 works· latest 2017· 1 institutionscluster: provisionalORCID 0000-0001-5913-0107

h-index13

i1013

Citations1,536

Works here13

Most cited in this library

Gaussian Semiparametric Estimation of Non‐stationary Time Series1999 · 337 citations
Non-stationary log-periodogram regression1999 · 271 citations
Generalized spectral tests for the martingale difference hypothesis2005 · 222 citations
Long Memory in Stock-Market Trading Volume2000 · 215 citations
Efficient Wald Tests for Fractional Unit Roots2007 · 123 citations

Works

13 shown

Delayed Overshooting: Is It an ’80s Puzzle?

Journal of Political Economy·2017·3 authors·Open access

57citations

Specification tests of parametric dynamic conditional quantiles

Journal of Econometrics·2010·2 authors·Open access

55citations

A Wald test for the cointegration rank in nonstationary fractional systems

Journal of Econometrics·2009·2 authors·Open access

21citations

Efficient Wald Tests for Fractional Unit Roots

Econometrica·2007·2 authors·Open access

123citations

Optimal Fractional Dickey–Fuller tests

Econometrics Journal·2006·2 authors·Open access

19citations

Testing the martingale difference hypothesis using integrated regression functions

Computational Statistics & Data Analysis·2006·2 authors·Open access

27citations

Generalized spectral tests for the martingale difference hypothesis

Journal of Econometrics·2005·2 authors·Open access

222citations

Residual log-periodogram inference for long-run relationships

Journal of Econometrics·2005·3 authors

52citations

Consistent Testing of Cointegrating Relationships

Econometrica·2004·2 authors·Open access

50citations

Long Memory in Stock-Market Trading Volume

Journal of Business and Economic Statistics·2000·2 authors·Open access

215citations

NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION

Econometric Theory·2000·1 author·Open access

87citations

Non-stationary log-periodogram regression

Journal of Econometrics·1999·1 author

271citations

Gaussian Semiparametric Estimation of Non‐stationary Time Series

Journal of Time Series Analysis·1999·1 author

337citations