Jesús Gonzalo

Full Professor
Temporary Series Econometrics: Persistence, Nonlinearities and Dynamic Uncertainty.
+34 91 624 9853 Office: 15.1.15
Personal website


Ph.D. in Economics, U. California, San Diego, 1991 (with Profs. Clive Granger and Rob Engle).  A.Professor at Boston University from 1991-1996. Associate Professor at UC3M  from 1996-2003 and Full Professor since 2003. More than 6000 citations  in Google Scholar and on the top 3 and 5% of the world in many publication REPEC impact factors. Fellow of the Journal of Econometrics.

Main Publications

Gonzalo, J. , and Pitarakis, J. “Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model". Journal of Business and Economic Statistics  2017

 Cheng, L., Dolado, J., and Gonzalo, J. "Detecting Big Structural Breaks in Large Factor Model". Journal of Econometrics, Volume 180, 2014

Berenguer-Rico, V., and Gonzalo, J. "Summability of Stochastic Processes (A Generalization of Integration and Co-integration valid for Non-linear Processes)" Journal of Econometrics, 178  2014

Figuerola-Ferreti, I., and Gonzalo, J. "Modelling and Measuring Price Discovery in Commodity Markets" Journal of Econometrics, 2010

 Dolado, J., Gonzalo, .J., and Mayoral, L. "A Fractional Dickey-Fuller Test" Econometrica  2006

 Gonzálo, J., and Granger, C. "Estimation of Common Long Memory Components in Cointegrated Systems". Journal of Business & Economic Statistics ,1995

Recent Research

Gonzalo, J., and Taamouti, A. "The Reaction of Stock Market Returns to Unemployment" Studies in Nonlinear Dynamics & Econometrics, 2017, vol. 21(4), pages 1-20

Gonzalo, J., and Olmo, J. “Differences between short and long term risk aversion: an optimal asset allocations perspective”.

Chen, L., Dolado, Juan J., and Gonzalo, J. Quantile Factor Models”.

Gadea, L., and Gonzalo, J. Trends in Distributional Characteristics; Existence of Global Warming”.


Undergraduate level: Econometric Tecniques.

Master level: Econometrics III (Economic Analysis); Econometrics I (Development Economics) and Econometrics I (Finance).