Publications

You can also find my articles on Scopus and at my Google Scholar profile.

Spurious Multivariate Regressions Under Fractionally Integrated Processes

Published in Communications in Statistics - Theory and Methods, 2022

This article studies spurious regression in the multivariate case for any finite number of fractionally integrated variables, stationary or not.We prove that asymptotic behavior from the most persistent regressor spreads to correlated regressors. Thus, the risk of uncovering spurious results increases as more regressors are included.

Recommended citation: Ventosa-Santaulària, D., Vera-Valdés, J.E., Lasak, K., and Ramírez-Vargas, R. (2022). "Spurious Multivariate Regressions Under Fractionally Integrated Processes." Communications in Statistics - Theory and Methods. 51(7). https://vbn.aau.dk/da/publications/spurious-multivariate-regressions-under-fractionally-integrated-p

The Persistence of Financial Volatility After COVID-19

Published in Finance Research Letters, 2022

This paper analyzes the long memory properties before and after COVID-19 for the VIX and realized variances for several international markets. Our results show that volatility measures for most countries experienced increases in the degrees of memory following the pandemic. Moreover, several volatility measures became nonstationary, signaling the start of a period with higher and more persistent financial volatility.

Recommended citation: Vera-Valdés, J.E. (2022). "The Persistence of Financial Volatility After COVID-19." Finance Research Letters. 44(102056). https://www.sciencedirect.com/science/article/pii/S1544612321001379

Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation

Published in Econometrics, 2021

This paper uses aggregation as inspiration to develop a model to generate long-range dependent processes that does not depend on the fractional difference operator. Our model thus circumvents Granger's concern that the fractional difference operator is in the empty box of models that do not arise in the actual economy. Moreover, we show that the generated processes are less brittle than fractionally integrated processes.

Recommended citation: Vera-Valdés, J.E. (2021). "Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation." Econometrics. 9(39). https://www.mdpi.com/2225-1146/9/4/39

Air Pollution and Mobility, What Drives COVID-19?

Published in Econometrics, 2021

This paper tests if air pollution serves as a carrier for SARS-CoV-2. We show that the contemporary exposure to particle matter is not the main driver behind the increasing number of cases and deaths in the Mexico City Metropolitan Area. Remarkably, we also find that the cross-dependence between municipalities in the Mexican region is highly correlated to public mobility, which plays the leading role behind the rhythm of contagion.

Recommended citation: Rodríguez-Caballero, C.V., and Vera-Valdés, J.E. (2021). "Air Pollution and Mobility, What Drives COVID-19?." Econometrics. 9(4). https://www.mdpi.com/2225-1146/9/4/37

Air Pollution and Mobility in the Mexico City Metropolitan Area in Times of COVID-19

Published in Atmósfera, 2021

This paper analyzes if the restrictions to economic activity introduced to mitigate the spread of COVID-19 are associated with a structural change in air pollution levels and public transport mobility. Our results show that mobility in public transportation was significantly reduced following the governments recommendations. Nonetheless, we show that the reduction in mobility was not accompanied by a reduction in air pollution.

Recommended citation: Rodríguez-Caballero, C.V., and Vera-Valdés, J.E. (2021). "Air Pollution And Mobility In The Mexico City Metropolitan Area In Times of COVID-19." Atmósfera. https://www.revistascca.unam.mx/atm/index.php/atm/article/view/53052

Temperature Anomalies, Long Memory, and Aggregation

Published in Econometrics, 2021

This paper shows that the long memory parameters in individual grid temperature observations are smaller than those from regional averages. Global and regional long memory estimates are greatly affected by temperature measurements at the Tropics, where the data is less reliable. Thus, this paper supports the notion that aggregation may be exacerbating the long memory estimated in regional and global temperature data.

Recommended citation: Vera-Valdés, J.E. (2021). "Temperature Anomalies, Long Memory, and Aggregation." Econometrics. 9(1). https://www.mdpi.com/2225-1146/9/1/9

The Political Risk Factors of COVID-19

Published in International Review of Applied Economics, 2021

This paper analyses a broad range of macro variables to assess the effects they have on the number of cases and deaths due to COVID-19. Our results show that the level of trust inside the society is associated with both the number of cases and deaths. A higher level of trust in medical personnel is associated with fewer cases, while a higher level of trust in the government is associated with fewer deaths due to COVID-19.

Recommended citation: Vera-Valdés, J.E. (2021). "The Political Risk Factors of COVID-19." International Review of Applied Economics. 35(2). https://www.tandfonline.com/doi/citedby/10.1080/02692171.2020.1866973

Long-Lasting Economic Effects of Pandemics: Evidence on Growth and Unemployment

Published in Econometrics, 2020

This paper studies long economic series to assess the long-lasting effects of pandemics. We find that shocks originated by pandemics seem to have a permanent effect on growth. Moreover, our results show that the unemployment rate increases and becomes more persistent after a pandemic.

Recommended citation: Rodríguez-Caballero, C.V., and Vera-Valdés, J.E. (2020). "Long-Lasting Economic Effects of Pandemics: Evidence on Growth and Unemployment." Econometrics. 8(37). https://www.mdpi.com/2225-1146/8/3/37

The VIX, the Variance Premium, and Expected Returns

Published in Journal of Financial Econometrics, 2018

We show that the risk-return trade-off parameter is inconsistently estimated when observed or estimated conditional variances measure risk. The inconsistency arises from misspecified, unbalanced, and endogenous return regressions. We propose a 2SLS estimator that produces consistent estimates without observing the variance premium. Using this method, we find a positive risk-return trade-off and long-run return predictability. Our approach outperforms commonly used risk-return estimation methods, and reveals a significant link between the VP and economic uncertainty.

Recommended citation: Osterrieder, D., Ventosa-Santaulària, D., and Vera-Valdés, J.E. (2019). "The VIX, the Variance Premium, and Expected Returns." Journal of Financial Econometrics. 17(4). https://vbn.aau.dk/da/publications/the-vix-the-variance-premium-and-expected-returns

Long Memory, Fractional Integration, and Cross-Sectional Aggregation

Published in Journal of Econometrics, 2017

In this paper we demonstrate that the aggregation argument is consistent with a range of different long memory definitions. Moreover, we show that ARFIMA modeling is invalid when the long memory is caused by aggregation. It is shown that standard methods for estimating and selecting ARFIMA specifications fail in properly fitting the dynamics of the series.

Recommended citation: Haldrup, N., and Vera-Valdés, J.E. (2017). "Long Memory, Fractional Integration, and Cross-Sectional Aggregation." Journal of Econometrics. 199(1). https://vbn.aau.dk/en/publications/long-memory-fractional-integration-and-cross-sectional-aggregatio

A Comment on ‘Resolving Spurious Regressions and Serially Correlated Errors’

Published in Empirical Economics, 2015

In this paper, we extend Agiakloglou (Agiakloglou in Empir Econ, 45(3), 2013) Monte Carlo experiment to different data-generating processes and calculate the asymptotic behavior of the modified specifications. We show that including the lag of the dependent variable as a regressor reduces size distortions when the variables are driftless unit roots, but this approach does not hold under the presence of long memory, nonlinearities, or structural breaks.

Recommended citation: Ventosa-Santaulària, D., and Vera-Valdés, J.E. and Martínez-Olmos, A.I. (2016). "A Comment on 'Resolving Spurious Regressions and Serially Correlated Errors'." Empirical Economics. 51(3). https://vbn.aau.dk/da/publications/a-comment-on-resolving-spurious-regressions-and-serially-correlat

Real Business Cycles in Emerging Economies The Role of International Growth and Interest Rate

Published in Investigación Económica, 2011

This paper develops a dynamic stochastic general equilibrium model (DSGE) for a small open emerging economy (SOEE) where the interest rate is decomposed into an international rate and a country risk component. We show that if exports respond negatively to the international interest rate or to an international recession, the aggregated consumption of the domestic economy is substantially more volatile than an economy where exports do not react. In other words, this paper finds a coherent explanation to the riddle when either industrialized countries are growing too fast or face a recession, developing countries suffer.

Recommended citation: Fernández, R., Vera-Valdés, J.E., and Venegas-Martínez, F. (2012). "Real Business Cycles in Emerging Economies The Role of International Growth and Interest Rate." Investigacion Economica. 71(279). https://vbn.aau.dk/da/publications/real-business-cycles-in-emerging-economies-the-role-of-internatio-2

Spurious Forecasts?

Published in Journal of Forecasting, 2011

This paper proves that forecasts built upon spurious regression may perform (asymptotically) as well as those issued from a correctly specified regression. We derive the order in probability of several in-sample and out-of-sample predictability criteria (F-test, root mean square error, Theils U-statistics and R-squared) using forecasts based upon a least squares-estimated regression between independent variables generated by a variety of empirically relevant data-generating processes. It is demonstrated that, when the variables are mean stationary or trend stationary, the order in probability of these criteria is the same whether the regression is spurious or not.

Recommended citation: Martínez-Rivera, B., Ventosa-Santaulària, D., and Vera-Valdés, J.E. (2012). "Spurious Forecasts?." Journal of Forecasting. 31(3). https://vbn.aau.dk/da/publications/spurious-forecasts

Granger-Causality in the Presence of Structural Breaks

Published in Economics Bulletin, 2008

This paper proves that if the data generating process is either broken-trend stationary or broken-mean stationary, correct inference can not be drawn from a standard Granger-Causality test, even if the variables are differenced.

Recommended citation: Ventosa-Santaulària, D., and Vera-Valdés, J.E. (2008). "Granger-Causality in the Presence of Structural Breaks." Economics Bulletin. 3(61). https://www.accessecon.com/pubs/eb/2008/volume3/EB-08C20013A.pdf