J. Eduardo Vera-Valdés

PhD in Economics and Business Economics

  • Skjernvej 4, A, 5-315

    9220 Aalborg Ø

    Denmark

20082019
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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
5 Citations (Scopus)

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

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

Granger causality
Structural breaks
Inference
Granger causality test
Dickey-Fuller test
2 Citations (Scopus)

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

Predictive power
Spurious regression
Least squares
Deterministic trend
U-statistics

The VIX, the Variance Premium, and Expected Returns

Osterrieder, D., Ventosa-Santaulària, D. & Vera-Valdés, J. E., 16 Apr 2018, In : Journal of Financial Econometrics. 42 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Expected returns
Volatility index
Premium
Trade-offs
Inconsistency

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

Computational Statistics & Data Analysis (Journal)

J. Eduardo Vera Valdés (Peer reviewer)
2018

Activity: Editorial work and peer reviewPeer review of manuscriptsResearch

Journal of Time Series Analysis (Journal)

J. Eduardo Vera Valdés (Peer reviewer)
20182019

Activity: Editorial work and peer reviewPeer review of manuscriptsResearch

Long Horizon Forecasts

J. Eduardo Vera Valdés (Lecturer)
16 Dec 2017

Activity: Talks and presentationsConference presentations

Nonfractional Memory: Filtering, Antipersistence, and Forecasting

J. Eduardo Vera Valdés (Lecturer)
2018

Activity: Talks and presentationsConference presentations