M. Angeles
CARNERO FERNANDEZ

PROFESORA TITULAR DE UNIVERSIDAD
Ph.D., Universidad Carlos III de Madrid

Office: 0031P2036
Phone: +34 965903400 (Ext:3255)
Box: 5
e-mail: acarnero@ua.es

Research Interests:

Financial Econometrics. Time Series. Applied Econometrics.

Selected Publications:

-Estimating GARCH Volatility in the presence of outliers (joint with D. Peña and E. Ruiz). Economics Letters. 2012. Vol. 114. N. 1, p.86-90.

- Information and Discrimination in the Rental Housing Market: Evidence from a Field Experiment (joint with M. Bosch and L. Farré). Regional Science and Urban Economics. 2010. Vol. 40, p.11-19.

- Effects of outliers on the identification and estimation of GARCH models (joint with D. Peña and E. Ruiz). Journal of Time Series Analysis. 2007. Vol. 28. N. 4, p.471-497.

- Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices (joint with S.J. Koopman and M. Ooms). Journal of the American Statistical Association. 2007. Vol. 102. N. 477, p.16-27.

- Persistence and Kurtosis in GARCH and Stochastic Volatility Models (joint with D. Peña and E. Ruiz). Journal of Financial Econometrics. 2004. Vol. 2, p.319-342.

Curriculum vitae in PDF format
Personal web page: http://merlin.fae.ua.es/acarnero/