CV Carlos Velasco

RESEARCH ID: K-7112-2014

Positions:

Universidad Carlos III de Madrid (Department of Economics):
- Santander Chair of Economic Studies, 2022-.
- Professor (Catedrático), 2007-.
- Associate Professor (Profesor Titular), 2004-2007.

Universitat Autònoma de Barcelona (Department of Economics):
- ICREA Research Professor, 2003-2004.

Universidad Carlos III de Madrid (Department of Statistics and Econometrics):
- Associate Professor (Profesor Titular), 2001-2004.
- Assistant Professor (Profesor Visitante), 1997-2001.

University of Oxford (Department of Statistics):
- Junior Lecturer, 1996-1997.

Universidad de Valladolid (Department of Applied Economics: Statistics and Econometrics):
- FPU Fellowship, 1992-1993.
- Assistant Professor, 1991-1992.

Education:

Universidad de Valladolid, 1986-1991, BSc. Economics.
The London School of Economics, 1993-1997, Ph.D.

Honours and Fellowships

        Econometric Theory Multa Scripsit Award (2011).
        Fellow of the Journal of Econometrics (2010).
        Journal of Time Series Analysis Distinguished Author (2020).
        Excellence Award to Young Researchers, Universidad Carlos III de Madrid (2009 and 2011).


Editorial and Professional Activities:

        Editorships:

Econometric Theory, Associate Editor, (Cambridge, 2012-).

          Journal of Time Series Analysis, Associate Editor (Wiley, 2013-).
          Journal of Time Series Econometrics, Associate Editor (de Gruyter, 2007-).
          TEST, Associate Editor (Springer, 2009-).

Spanish Economic Review, Associate Editor, (Springer, 2004-2006).

        Member of Scientific Committees:

        Econometrics and Empirical Economics Programme Committee of the Econometric Society European Meetings (ESEM), 2004, 2006, 2007, 2008, 2009, 2011, 2012, 2013, 2014, 2016.
        Econometrics and Empirical Economics Programme Committee for the Latin American Meeting of the Econometric Society (LAMES), 2006.
          Simposio de Análisis Económico 2006, 2007.

          Referee for:

Econometrica, Annals of Statistics, Review of Economic Studies, Journal of Econometrics, Bernoulli,
        Econometric Theory, Statistical Inference for Stochastic Processes, Stochastic Processes and its Applications,
        Journal of Time Series Analysis, International Journal of Forecasting, Journal of Water Resources Research,
        Econometrics Journal, The Manchester School, Investigaciones Económicas, Estadística.


Invited Lectures:

Cowles Foundation 75th Anniversary Conference, A New Generation of Econometricians, University of Yale, 2007.
X Seminario sobre Especificación y Validación de Modelos Econométricos, Universidad de Zaragoza, Zaragoza, Spain, 2001.
Rencontre, Analyse des Series Temporelles et Applications, Marseille, France, 2001.
Workshop on Nonparametric, Semiparametric and Resampling Methods, UC3M, 2000.
Cowles Conference on New Developments in Time Series Econometrics, University of Yale, 1999.

Ph.D. Supervision:

Juan Carlos Escanciano: "Specification Tests for Econometric Models of Time Series" (UC3M special award). Universidad Carlos III de Madrid (2004).
Katarzyna Lasak: "Likelihood Analysis of Fractionally Cointegrated Systems." Universidad Autònoma de Barcelona (2007).
Igor Kheifets: "Specification Tests for Financial Models" (UC3M special award). Universidad Carlos III de Madrid (2012).
Heiko Rachinger: "Deterministics, Initial Conditions and Breaks in Long Memory Time Series" (UC3M special award). Universidad Carlos III de Madrid (2012).
Xuexin Wang: "Three Essays on Specification Testing." Universidad Carlos III de Madrid (2012).
Yunus Emre Ergemen: "Fractionally Integrated Panel Data Models." Universidad Carlos III de Madrid (2016).
Victor Troster: "Essays on Quantile Causality." Universidad Carlos III de Madrid (2016).
Mehdi Sanneh: "Essays on identification of linear rational expectations." Universidad Carlos III de Madrid (2017).
Cleiton Goullo Taufemback: ''Essays on mixed-frequency and casuality analysis in the frequency domain." Universidad Carlos III de Madrid (2018).

Publications:

Articles in Refereed Journals:

1. C. Velasco. `Semiparametric Gaussian Estimation of Non-Stationary Time Series', Journal of Time Series Analysis, 20, 87-127, 1999.

2. C. Velasco. `Non-Stationary Log-Periodogram Regression', Journal of Econometrics, 91, 325-371, 1999.

3. C. Velasco. `Non-Gaussian Log-Periodogram Regression', Econometric Theory, 16, 44-79, 2000.

4. C. Velasco. `Local Cross Validation for Spectrum Bandwidth Choice', Journal of Time Series Analysis, 21, 329-361, 2000.

5. I.N. Lobato and C. Velasco. `Long Memory in Stock Market Trading Volume', Journal of Business and Economic Statistics, 18, 410-427, 2000.

6. C. Velasco and P.M. Robinson. `Whittle Pseudo-Maximum Likelihood Estimates of Non-Stationary Time Series', Journal of the American Statistical Association, 95, 1229-1243, 2000. Reprinted in Recent Developments in Time Series, eds. P. Newbold and S.J. Leybourne, Edward Elgar Publishing Ltd., UK, 2003.

7. P.M. Robinson and C. Velasco. `Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean', Econometric Theory, 17, 497-539, 2001.

8. F. Marmol and C. Velasco. `Trend Stationarity versus Long Range Dependence in Time Series Analysis', Journal of Econometrics, 108, 25-42, 2002.

9. C. Velasco. `Gaussian Semiparametric Estimation of Fractional Cointegration', Journal of Time Series Analysis, 24, 345-378, 2003.

10. C. Velasco. `Nonparametric Frequency Domain Analysis of Non-Stationary Multivariate Time Series', Journal of Statistical Planning and Inference, 116, 209-247, 2003.

11. I.N. Lobato and C. Velasco. `A Simple Test for Normality for Time Series', Econometric Theory, 20, 661-679, 2004.

12. F. Marmol and C. Velasco. `Consistent Testing of Cointegration Relationships', Econometrica, 72, 1809-1844, 2004.

13. J. Arteche and C. Velasco. `Trimming and Tapering Semiparametric Estimates in Asymmetric Long Memory Time Series', Journal of Time Series Analysis, 29, 581-611, 2005.

14. M.A. Delgado and C. Velasco. `Sign Tests for Long Memory Time Series', Journal of Econometrics, 128, 215-251, 2005.

15. M.A. Delgado, J. Hidalgo and C. Velasco. `Distribution Free Goodness-of-fit Tests for Linear Processes', Annals of Statistics, 33, 2568-2609, 2005.

16. U. Hassler, F. Marmol and C. Velasco. `Residual Log-Periodogram Inference for Long-Run Relationships', Journal of Econometrics, 130, 165-207, 2006.

17. J.C. Escanciano and C. Velasco. `Generalized Spectral Tests for the Martingale Difference Hypothesis', Journal of Econometrics, 134, 151-185, 2006.

18. I.N. Lobato and C. Velasco. `Optimal Fractional Dickey-Fuller Tests', Econometrics Journal, 9, 492-510. 2006.

19. J.C. Escanciano and C. Velasco. `Testing the Martingale Difference Hypothesis using Integrated Regression Functions', Computational and Statistical Data Analysis, 51, 2278-2294, 2006.

20. C. Velasco. `The Periodogram of Fractional Processes', Journal of Time Series Analysis, 28, 600-627, 2007.

21. I.N. Lobato and C. Velasco. `Efficient Wald Tests for Fractional Unit Roots', Econometrica, 75, 575-589, 2007.

22. J. Hualde and C. Velasco. `Distribution-free tests of fractional cointegration’, Econometric Theory, 24, 216-255, 2008.

23. I.N. Lobato and C. Velasco. `Power comparison among tests for fractional unit roots', Economics Letters, 99, 152-154, 2008.

24. F. Marmol, U. Hassler and C. Velasco. `Fractional cointegration in the presence of linear trends', Journal of Time Series Analysis, 29, 1088-1103, 2008.

25. M. Avarucci and C. Velasco. `A Wald test for the cointegration rank in nonstationary fractional systems', Journal of Econometrics, 151, 178-189, 2009.

26. M.A. Delgado, F.J. Hidalgo and C. Velasco. `Distribution Free Specification Tests for Dynamic Linear Models', Econometrics Journal, 12, 105-134, 2009.

27. M.A. Delgado and C. Velasco. `Distribution-free Test for Time Series Model Specification', Journal of Econometrics, 155, 128-137, 2010. DOI: 10.1016/j.jeconom.2009.09.022

28. J.C. Escanciano and C. Velasco. `Specification Tests of Parametric Dynamic Conditional Quantiles', Journal of Econometrics, 159, 209-221, 2010. DOI: 10.1016/j.jeconom.2010.06.003

29. M.A. Delgado, F.J. Hidalgo and C. Velasco. `Bootstrap Assisted Specification Tests for the ARFIMA Model', Econometric Theory, 27, 1083-1116, 2011. DOI: 10.1017/S0266466610000642

30. M.A. Delgado and C. Velasco. `An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking', Journal of the American Statistical Association, 106, 946-958, 2011. DOI: 10.1198/jasa.2011.tm10226

31. S. Moon and C. Velasco. `Tests for m-dependence based on sample splitting methods', Journal of Econometrics, 173, 143-159, 2013. DOI: 10.1016/j.jeconom.2012.11.005

32. S. Moon and C. Velasco. `On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios', Journal of Financial Econometrics, 12, 151-173, 2014. DOI: 10.1093/jjfinec/nbt011

33. K. Lasak and C. Velasco. `Fractional cointegration rank estimation', Journal of Business & Economic Statistics, 33, 241-254, 2015. DOI: 10.1080/07350015.2014.945589

34. C. Velasco and X. Wang. `A Joint Portmanteau Test for Conditional Mean and Variance Time Series Models', Journal of Time Series Analysis, 36, 39-60, 2015. DOI: 10.1111/jtsa.12091

35. P.M. Robinson and C. Velasco. `Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects', Journal of Econometrics, 185, 435-452, 2015. DOI: 10.1016/j.jeconom.2014.12.003.

36. V. Andrietti and C. Velasco. `Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study', The Journal of Economic Education, 46, 239-259, 2015. DOI: 10.1080/00220485.2015.1040182.

37. Y.E. Ergemen and C. Velasco. `Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence', Journal of Econometrics, 196, 248-258, 2017. DOI: 10.1016/j.jeconom.2016.05.020

38. S. Moon and C. Velasco. `Do foreign exchange return regressions convey useful information on return predictability?', Revista de Economia Aplicada, 73, 5-19, 2017.

39. S.-H. Kim, S. Moon and C. Velasco. `Delayed Overshooting: Is It an 80s Puzzle?', Journal of Political Economy, 125, 1570-1522, 2017. DOI: 10.1086/693372

40. I. Kheifets and C. Velasco. `New goodness-of-fit diagnostics for conditional discrete response models', Journal of Econometrics, 200, 135-149, 2017. DOI: 10.1016/j.jeconom.2017.05.017

41. A. Ibañez and C. Velasco. `The Optimal Method for Pricing Bermudan Options by Simulation’, Mathematical Finance, 28, 1143-1180, 2018. DOI: 10.1111/mafi.12158

42. I.N. Lobato and C. Velasco. `Efficiency Improvements for Minimum Distance Estimation of Causal and Invertible ARMA Models', Economics Letters, 162, 150-152, 2018. DOI: 10.1016/j.econlet.2017.11.013

43. C. Velasco and I.N. Lobato. `Frequency Domain Minimum Distance Inference for Possibly Noninvertible and Noncausal ARMA models', Annals of Statistics, 46, 555-579, 2018. DOI: 10.1214/17-AOS1560

44. P.M. Robinson and C. Velasco. `Inference on Trending Panel Data', Journal of Econometrics, 206, 282-304, 2018. DOI: 10.1016/j.jeconom.2018.06.003

45. Y.E. Ergemen and C. Velasco. `Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects', Journal of Time Series Analysis, 40, 573-589, 2019. DOI: 10.1111/jtsa.12436

46. P.M. Robinson and C. Velasco. `Estimation for Dynamic Panel Data with Individual Effects', Econometric Theory, 2019. DOI: 10.1017/S0266466619000069

47. A. Ibañez and C. Velasco. `Recursive Lower and Dual Upper Bounds for Bermudan-style Options', European Journal of Operational Research, 2019. DOI: 10.1016/j.ejor.2019.07.031

48. J.J. Dolado, H. Rachinger and C. Velasco. `LM tests for joint breaks in the dynamics and level of a long-memory time series', Journal of Business and Economic Statistics, 2020.

49. I.N. Lobato and C. Velasco, `Single step estimation of ARMA roots for nonfundamental nonstationary fractional models', Econometrics Journal, 2019. DOI: 10.1016/j.ejor.2019.07.031

50. Velasco, C., `Estimation of time series models using residuals dependence measures', Annals of Statistics, 2022.

51. Velasco, C., `Identification and estimation of Structural VARMA models using higher order dynamics', Journal of Business and Economic Statistics, forthcoming.

Contributions to Volumes and Comments:

1. P.M. Robinson and C. Velasco. `Autocorrelation-Robust Inference', in Handbook of Statistics 15 (Volumen in Robust Inference), G.S. Maddala and C.R. Rao eds., Amsterdam: North-Holland, 267-298, 1997.

2. C. Velasco. `Semiparametric Estimation of Long-Memory Models'. Palgrave Handbook of Econometrics, Vol. 1. Econometric Theory, K. Patterson and T.C. Mills eds, Palgrave, MacMillan, 353-395, 2006.

3. C. Velasco. `Comment on "A Review on Empirical Likelihood Methods for Regression" by Song Xi Chen and Ingrid Van Keilegom', TEST, 18, 455-457, 2009.

4. C. Velasco. `Comment on "Subsampling weakly dependent time series and application to extremes" by P. Doukhan, S. Prohl and C.Y. Robert', TEST, 20, 480-482, 2011.

5. I. Kheifets and C. Velasco. `Model Adequacy Checks for Discrete Choice Dynamic Models', in Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis Essays in Honor of Halbert L. White Jr. Chen, Xiaohong; Swanson, Norman R. (Eds.), 2012.

6. C. Velasco. `Comment on "Model-free model-fitting and predictive distributions" by D.N. Politis', TEST, 22, 237-239, 2013. DOI: 10.1007/s11749-013-0320-z

(Updated: February 2023)