Concepedia
8
Publications
1.4K
Citations
H-Index
2004
Active since
Affiliations
New York University(Current)
National Bureau of Economic Research
José Gonzalo Rangel is an author at New York University specializing in asset pricing, business, and economics.
Top concepts
FinanceBusinessEconomicsAsset PricingStatisticsFinancial EconomicsVolatility Modeling
Publications per year
2004–2012
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
Robert F. Engle, José Gonzalo Rangel · Review of Financial Studies · 2008 · 880 citations
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes
Robert F. Engle, José Gonzalo Rangel · SSRN Electronic Journal · 2004 · 193 citations · Full text
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
Robert F. Engle, José Gonzalo Rangel · The Faculty Digital Archive (New York University) · 2005 · 105 citations · Full text
The Factor–Spline–GARCH Model for High and Low Frequency Correlations
José Gonzalo Rangel, Robert F. Engle · Journal of Business and Economic Statistics · 2012 · 88 citations
Economics, Volatility Modeling, Asset Pricing +9
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics
José Gonzalo Rangel · SSRN Electronic Journal · 2010 · 37 citations · Full text
Economics, Financial Economics, Asset Pricing +4
Rows per page
1–5 of 8