Research

Here you can find all my research. The articles are divided between published papers and working papers.

You can also follow my profiles on Scopus and Google Scholar.

Violing plots long memory estimate climate stocks after Paris Agreement

Effects of the Paris Agreement and the COVID-19 Pandemic on Volatility Persistence of Stocks Associated with the Climate Crisis: A Multiverse Analysis
Published
Climate Econometrics
COVID-19
Long Memory
Data Science
This paper evaluates the effect that the Paris Agreement (PA) and the COVID-19 pandemic had on the persistence of volatility in stocks associated with the climate crisis.…
J.E. Vera-Valdés, O. Kvist
2025

Animation showing the breach of the 1.5°C threshold for realization 10 of the HadCRUT5 dataset

Breaching 1.5°C: Give me the odds
Working Paper
Econometrics
Climate Econometrics
Climate change communication is crucial to raising awareness and motivating action. In the context of breaching the limits set out by the Paris Agreement, we argue that…
J.E. Vera-Valdés, O. Kvist
2024

High frequency jump test on energy stocks

The Effect of News from COP28 on Green and Brown Stocks: A High-Frequency Analysis
Working Paper
Climate Econometrics
Data Science
The latest report by the Intergovernmental Panel on Climate Change acknowledges that to meet climate objectives, funding must significantly increase. Consequently…
O. Kvist, J.E. Vera-Valdés
2024

CO2 emissions from anthropogenic sources

Robust Estimation of the Carbon Dioxide Airborne Fraction Under Measurement Errors
Working Paper
Econometrics
Climate Econometrics
This paper discusses the effect of measurement errors in the estimation of the carbon dioxide (CO\(_2\)) airborne fraction. We are the first to present regression-based…
J.E. Vera-Valdés, C. Grivas
2024

Co-clustering algorithm illustration.

Exploring Smart Heat Meter Data: A Co-Clustering Driven Approach to Analyse the Energy Use of Single-Family Houses
Published
Data Science
Energy
Advancing current research in clustering smart heat meters data, this work applies an established co-clustering approach, FunLBM, considering seasonal variation without…
M. Schaffer, J.E. Vera-Valdés, A. Marszal-Pomianowska
2024

Disaggregation Method Into Space Heating and Domestic Hot Water

Disaggregation of Total Energy Use Into Space Heating and Domestic Hot Water: A City-Scale Suited Approach
Published
Data Science
Energy
This paper develops a computationally fast algorithm to disaggregate the total energy use recorded by smart heat meters into space heating (SH) and domestic hot water (DHW).…
M. Schaffer, J. Widen, J.E. Vera-Valdés, A. Marszal-Pomianowska, T.S. Larsen
2024

Tweet vs X-post Google Trends

The Effect of CEO Public Behaviour on the Company’s Valuation: The Case of Tesla and Elon Musk
Working Paper
Climate Econometrics
Data Science
We evaluate the hypothesis that CEO public behaviour affects their firms’ value by considering Tesla and Elon Musk. Several events involving public controversies by Elon…
O. Kvist, J.E. Vera-Valdés
2024

Forecasts of the Nile River flow using Long Memory Models

LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia
Working Paper
Long Memory
Forecasting
Data Science
Software
LongMemory.jl is a package for time series long memory modelling in Julia. The package provides functions to generate long memory, estimate model parameters, and forecast.…
J.E. Vera-Valdés
2024

MCC for the energy use clusters for the respective set of characteristics.

Analysing Energy Use Clusters of Single-Family Houses Using Building and Socio-Economic Characteristics
Published
Data Science
Energy
Clustering has been shown to be a promising approach to reduce the large amount of data from smart heat meters to representative profiles. However, attempts to understand…
M. Schaffer, A.R. Hansen, J.E. Vera-Valdés, A. Marszal-Pomianowska
2023

Increasing the Accuracy of Low-Resolution Commercial Smart Heat Meter Data

Increasing the Accuracy of Low-Resolution Commercial Smart Heat Meter Data and Analysing its Error
Published
Data Science
Energy
Recent research has demonstrated the fundamental potential of smart heat meter (SHM) data. However, it has also been shown that the usability of the data is reduced because…
M. Schaffer, D. Leiria, J.E. Vera-Valdés, A. Marszal-Pomianowska
2023

Mobility indexes in the MCMA during COVID-19

Air Pollution And Mobility In The Mexico City Metropolitan Area In Times of COVID-19
Published
COVID-19
Climate Econometrics
This paper analyzes the relation between COVID-19, air pollution, and public transport mobility in the Mexico City Metropolitan Area (MCMA). We test if the restrictions to…
J.E. Vera-Valdés, C.V. Rodríguez-Caballero
2023

VIX and realized variance measures for the S&P 500 (SPX), the Nasdaq 100 (IXIC), and the Dow Jones Industrial Average (DJI) pre and post-COVID19

The Persistence of Financial Volatility After COVID-19
Published
Long Memory
COVID-19
Financial Econometrics
This paper analyzes the long-term effects of COVID-19 on financial volatility. We estimate the long memory parameters before and after COVID-19 for the VIX and realized…
J.E. Vera-Valdés
2022

Spurious multivariate versus univariate regressions

Spurious Multivariate Regressions Under Fractionally Integrated Processes
Published
Long Memory
Econometrics
This article studies spurious regression in the multivariate case for any finite number of fractionally integrated variables, stationary or not. We prove that the asymptotic…
D. Ventosa-Santaulària, J.E. Vera-Valdés, K. Lasak, R. Ramírez-Vargas
2022

CSA model estiamted on temperature anomalies

Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation
Published
Long Memory
Forecasting
Climate Econometrics
This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that…
J.E. Vera-Valdés
2021

Mobility common factor COVID-19 spread

Air Pollution and Mobility, What Drives COVID-19?
Published
Data Science
COVID-19
Climate Econometrics
This paper tests if air pollution serves as a carrier for SARS-CoV-2 by measuring the effect of daily exposure to air pollution on its spread by panel data models that…
C.V. Rodríguez-Caballero, J.E. Vera-Valdés
2021

Worldwide long memory estimates of temperature anomalies

Temperature Anomalies, Long Memory, and Aggregation
Published
Climate Econometrics
Long Memory
Data Science
Econometric studies for global heating have typically used regional or global temperature averages to study its long memory properties. One typical explanation behind the…
J.E. Vera-Valdés
2021

Boxplot of political risks

The Political Risk Factors of COVID-19
Published
COVID-19
Data Science
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. We consider 23 explanatory variables…
J.E. Vera-Valdés
2021

UK GDP growth rate forecast and realized

Long-Lasting Economic Effects of Pandemics: Evidence on Growth and Unemployment
Published
Long Memory
COVID-19
Forecasting
This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in…
Rodríguez-Caballero, C.V., J.E. Vera-Valdés
2020

Boxplots of the forecasting performance of long memory models on cross-sectionally aggregated processes

On Long Memory Origins and Forecast Horizons
Published
Long Memory
Forecasting
Most long memory forecasting studies assume that long memory is generated by the fractional difference operator. We argue that the most cited theoretical arguments for the…
J.E. Vera-Valdés
2020

Relative predictive R-squared for different models

The VIX, the Variance Premium, and Expected Returns
Published
Long Memory
Forecasting
Financial Econometrics
Existing studies find conflicting estimates of the risk-return relation. We show that the trade-off parameter is inconsistently estimated when observed or estimated…
D. Osterrieder, D. Ventosa-Santaulària, J.E. Vera-Valdés
2018

Heat-maps for long memory generated by cross-sectional aggregation

Long Memory, Fractional Integration, and Cross-Sectional Aggregation
Published
Long Memory
Forecasting
Econometrics
It is commonly argued that observed long memory in time series variables can result from cross-sectional aggregation of dynamic heterogeneous micro units. In this paper we…
N. Haldrup, J.E. Vera-Valdés
2017

Data generating processes

A Comment on ‘Resolving Spurious Regressions and Serially Correlated Errors’
Published
Long Memory
Econometrics
In order to diminish size distortions of the t-test in a time series linear specification, Agiakloglou (Agiakloglou in Empir Econ, 45(3):1361–1366, 2013) proposed to (1)…
D. Ventosa-Santaulària, J.E. Vera-Valdés, A.I. Martínez-Olmos
2015

Real Home Price Index in the US

Simulation Analysis as a Way to Assess the Performance of Important Unit Root and Change in Persistence Tests
Published
Forecasting
Data Science
Book Chapter
This chapter shows a way to, using simulation analysis, assess the performance of some of the most popular unit root and change in persistence tests. The authors do this by…
R. Fernández, J.E. Vera-Valdés
2013

RBC-emerging-economies impulse response functions

Real Business Cycles in Emerging Economies The Role of International Growth and Interest Rate
Published
Forecasting
Macroeconomics
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…
R. Fernández, J.E. Vera-Valdés, F. Venegas-Martínez
2011

Correctly-specified and spurious forecasts

Spurious Forecasts?
Published
Forecasting
Econometrics
P. C. B. Phillips (1998) demonstrated that deterministic trends are a valid representation of an otherwise stochastic trending mechanism; he remained skeptic, however, about…
B. Martínez-Rivera, D. Ventosa-Santaulària, J.E. Vera-Valdés
2011

Asymptotic behavior of the t-test

Granger-Causality in the Presence of Structural Breaks
Published
Econometrics
The concept of Granger-Causality (GC) is widely used to draw inference concerning causality in applied economics. Stationary series are the term of reference used in GC…
D. Ventosa-Santaulària, J.E. Vera-Valdés
2008
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