Jesus Gonzalo

Institution: Universidad Carlos III de Madrid

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://economia.uc3m.es/jgonzalo/

First Publication: 1994

Most Recent: 2025

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	2.69	0.00	3.36	0.59	6.64	89%
Last 10 Years	2.69	4.04	4.37	0.59	11.69	91%
All Time	2.69	26.57	7.40	1.93	38.60	97%

Publication Statistics

Raw Publications 27

Coauthorship-Adjusted Count 25.24

Publications (27)

Year	Article	Journal	Tier	Authors
2025	Dynamic Effects of Persistent Shocks	Journal of Applied Econometrics	B	3
2024	Trends in temperature data: Micro-foundations of their nature	Economics Letters	C	3
2024	Out-of-sample predictability in predictive regressions with many predictor candidates	International Journal of Forecasting	B	2
2023	Heterogeneous predictive association of CO2 with global warming	Economica	C	4
2021	Quantile Factor Models	Econometrica	S	3
2021	Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions	Oxford Bulletin of Economics and Statistics	B	3
2021	Spurious relationships in high-dimensional systems with strong or mild persistence	International Journal of Forecasting	B	2
2020	Trends in distributional characteristics: Existence of global warming	Journal of Econometrics	A	2
2019	Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective	Oxford Bulletin of Economics and Statistics	B	2
2017	Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model	Journal of Business & Economic Statistics	A	2
2014	Detecting big structural breaks in large factor models	Journal of Econometrics	A	3
2014	Summability of stochastic processes—A generalization of integration for non-linear processes	Journal of Econometrics	A	2
2014	Conditional Stochastic Dominance Tests in Dynamic Settings	International Economic Review	B	2
2011	Regime-Specific Predictability in Predictive Regressions	Journal of Business & Economic Statistics	A	2
2010	Modelling and measuring price discovery in commodity markets	Journal of Econometrics	A	2
2008	The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes	The Review of Financial Studies	A	2
2006	Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger	Journal of Econometrics	A	4
2006	Threshold Effects in Cointegrating Relationships*	Oxford Bulletin of Economics and Statistics	B	2
2006	Large shocks vs. small shocks. (Or does size matter? May be so.)	Journal of Econometrics	A	2
2005	Subsampling inference in threshold autoregressive models	Journal of Econometrics	A	2
2002	Estimation and model selection based inference in single and multiple threshold models	Journal of Econometrics	A	2
2001	A systematic framework for analyzing the dynamic effects of permanent and transitory shocks	Journal of Economic Dynamics and Control	B	2
1998	Specification via model selection in vector error correction models	Economics Letters	C	2
1998	Pitfalls in testing for long run relationships	Journal of Econometrics	A	2
1997	Testing for multicointegration	Economics Letters	C	3
1996	P-Values for non-standard distributions with an application to the DF test	Economics Letters	C	2
1994	Five alternative methods of estimating long-run equilibrium relationships	Journal of Econometrics	A	1