J. Eduardo Vera-Valdés

PhD in Economics and Business Economics

  • Skjernvej 4, A, 5-315

    9220 Aalborg Ø

    Denmark

20082019
If you made any changes in Pure these will be visible here soon.

Personal profile

External positions

Research Fellow, CREATES

1 Jan 2019 → …

Fingerprint The fingerprint consists of automatically generated concepts related to the associated persons. It is updated automatically, when new content is added.

Spurious Regression Mathematics
Integrated Process Mathematics
Multivariate Regression Mathematics
F Test Mathematics
Long Memory Mathematics
Small Sample Size Mathematics
Goodness of fit Mathematics
Diverge Mathematics

Research Output 2008 2019

  • 6 Journal article
  • 4 Working paper
  • 1 Ph.D. thesis
  • 1 Book chapter
6 Citations (Scopus)
4 Downloads (Pure)

Long memory, fractional integration, and cross-sectional aggregation

Haldrup, N. & Vera Valdés, J. E., 1 Jul 2017, In : Journal of Econometrics. 199, 1, p. 1-11 11 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File
6 Downloads (Pure)

The VIX, the Variance Premium, and Expected Returns

Osterrieder, D., Ventosa-Santaulària, D. & Vera-Valdés, J. E., 2019, In : Journal of Financial Econometrics. 17, 4, p. 517-558

Research output: Contribution to journalJournal articleResearchpeer-review

File
Expected returns
Volatility index
Premium
Trade-offs
Inconsistency

Granger-Causality in the presence of structural breaks

Ventosa-Santaulària, D. & Vera-Valdés, J. E., 30 Sep 2008, In : Economics Bulletin. 3, 61

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File
Granger causality
Structural breaks
Inference
Granger causality test
Dickey-Fuller test
2 Citations (Scopus)
3 Downloads (Pure)

Spurious forecasts?

Martínez-Rivera, B., Ventosa-Santaulària, D. & Vera-Valdés, J. E., 1 Apr 2012, In : Journal of Forecasting. 31, 3, p. 245-259 15 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File
Predictive power
Spurious regression
Least squares
Deterministic trend
U-statistics

Spurious multivariate regressions under fractionally integrated processes

Lasak, K., Ventosa-Santaulària, D., Ramírez-Vargas, R. & Vera-Valdés, J. E., 2019, (Submitted).

Research output: Working paperResearchpeer-review

Spurious Regression
Integrated Process
Multivariate Regression
F Test
Long Memory

Activities 2017 2018

  • 2 Peer review of manuscripts
  • 2 Conference presentations
  • 1 Conference organisation or participation

Long Memory Conference

J. Eduardo Vera Valdés (Organizer)
Jun 2018

Activity: Attending an eventConference organisation or participation

Journal of Time Series Analysis (Journal)

J. Eduardo Vera Valdés (Peer reviewer)
20182019

Activity: Editorial work and peer reviewPeer review of manuscriptsResearch

Computational Statistics & Data Analysis (Journal)

J. Eduardo Vera Valdés (Peer reviewer)
2018

Activity: Editorial work and peer reviewPeer review of manuscriptsResearch

Nonfractional Memory: Filtering, Antipersistence, and Forecasting

J. Eduardo Vera Valdés (Lecturer)
2018

Activity: Talks and presentationsConference presentations

Long Horizon Forecasts

J. Eduardo Vera Valdés (Lecturer)
16 Dec 2017

Activity: Talks and presentationsConference presentations