Personal identification

Full name

Maria Helena Lopes Moreira da Veiga

Citation names

• Veiga, Helena

Author identifiers

Ciência ID

CF13-CD07-DF8D

ORCID iD

0000-0002-6810-7950

Google Scholar ID

https://scholar.google.es/citations?user=RlFd6mcAAAAJ&hl=en

Researcher Id

H-2919-2015

Scopus Author Id

57200590628

Websites

• https://scholar.google.com/citations?user=https://scholar.google.es/citations?user=RlFd6mcAAAAJ&hl=en (Scholar)
• http://www.researcherid.com/rid/H-2919-2015 (Scholar)
• https://portal.uc3m.es/portal/page/portal/dpto_estadistica/home/members/maria_helena_lopes_moreira (Personal)
• https://www.webofscience.com/wos/author/record/H-2919-2015 (Scholar)
• https://www.scopus.com/authid/detail.url?authorId=57200590628 (Scholar)

Knowledge fields

• Social Sciences - Economics and Business

Teaching in Higher Education

	Category Host institution	Employer
2012/07/27 - Current	Associate Professor (University Teacher)	Universidad Carlos III de Madrid, Spain

Publications

Book chapter

Ramos, S. B.; Veiga, H.; Wang, C.-W.. "Risk factors in the oil industry: un upstream and downstream analysis". 2014.

Journal article

P. de Zea Bermudez; J. Miguel Marín; Håvard Rue; Helena Veiga. "Integrated nested Laplace approximations for threshold stochastic volatility models". Econometrics and Statistics (2021): https://doi.org/10.1016/j.ecosta.2021.08.006. 10.1016/j.ecosta.2021.08.006 "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities". Econometric Reviews 39 10 (2020): 971-990. http://dx.doi.org/10.1080/07474938.2020.1761150. 10.1080/07474938.2020.1761150 "Data cloning estimation for asymmetric stochastic volatility models". Econometric Reviews 39 10 (2020): 1057-1074. http://dx.doi.org/10.1080/07474938.2020.1770997. 10.1080/07474938.2020.1770997 Sofia B. Ramos; Pedro Latoeiro; Helena Veiga. "Limited attention, salience of information and stock market activity". Economic Modelling 87 (2020): 92-108. https://doi.org/10.1016/j.econmod.2019.07.010. 10.1016/j.econmod.2019.07.010 Mao, X.; Veronika Czellar; Ruiz, E.; Veiga, H.. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation". Econometrics and Statistics (2020): https://ciencia.iscte-iul.pt/publications/asymmetric-stochastic-volatility-models-properties-and-particle-filter-based-simulated-maximum/69298?lang=en. 10.1016/j.ecosta.2019.08.002 João Henrique Gonçalves Mazzeu; Veiga, H.; Massimo B. Mariti. "Modeling and forecasting the oil volatility index". Journal of Forecasting (2019): https://ciencia.iscte-iul.pt/publications/modeling-and-forecasting-the-oil-volatility-index/69296?lang=en. 10.1002/for.2598 Yaguo Deng; Veiga, H.; Wiper, M. P.. "Efficiency evaluation of hotel chains: a Spanish case study". SERIEs (2019): https://ciencia.iscte-iul.pt/publications/efficiency-evaluation-of-hotel-chains-a-spanish-case-study/69295?lang=en. 10.1007/s13209-019-0188-6 Grané, A.; Martín-Barragan, B.; Veiga, H.. "Detecting outliers in multivariate volatility models: A wavelet procedure". Statistics and Operations Research Transactions (2019): https://www.raco.cat/index.php/SORT/article/view/361423. 10.2436/20.8080.02.89 Mazzeu, J. H. G.; Ruiz, E. R.; Veiga, H.. "Uncertainty and density forecasts of arma models: comparison of asymptotic, bayesian, and bootstrap procedures". Journal of Economic Surveys (2018): http://onlinelibrary.wiley.com/doi/10.1111/joes.12197/abstract?systemMessage=Wiley+Online+Library+usage+report+download+page+will+be+unavailable+on+Friday+24th+November+2017+at+21%3A00+EST+%2F+02.00+GMT+%2F+10%3A00+SGT+%28Saturday+25th+Nov+for+SGT+. 10.1111/joes.12197 Mao, X.; Ruiz, E.; Veiga, H.. "Threshold stochastic volatility: properties and forecasting". International Journal of Forecasting (2017): http://www.sciencedirect.com/science/article/pii/S0169207017300717. 10.1016/j.ijforecast.2017.07.001 Ramos, S. B.; Taamouti, A.; Veiga, H.; Wang, C.-W.. "Do investors price industry risk? Evidence from the cross-section of the oil industry". Journal of Energy Markets (2017): https://www.risk.net/journal-of-energy-markets/2480155/do-investors-price-industry-risk-evidence-from-the-cross-section-of-the-oil-industry. 10.21314/JEM.2017.156 Bahamonde, N.; Veiga, H.. "A robust closed-form estimator for the GARCH(1,1) model". Journal of Statistical Computation and Simulation (2016): http://www.tandfonline.com/doi/full/10.1080/00949655.2015.1077387. 10.1080/00949655.2015.1077387 Galán, J. E.; Veiga, H.; Wiper, M. P.. "Dynamic effects in inefficiency: evidence from the Colombian banking sector". European Journal of Operational Research (2015): http://www.sciencedirect.com/science/article/pii/S0377221714005566. 10.1016/j.ejor.2014.07.005 Martín-Barragan, B.; Ramos, S.; Veiga, H.. "Correlations between oil and stock markets: a wavelet-based approach". Economic Modelling (2015): http://www.sciencedirect.com/science/article/pii/S0264999315001571. 10.1016/j.econmod.2015.06.010 Veiga, Helena. "Outliers, GARCH-type models and risk measures: A comparison of several approaches". Journal of Empirical Finance (2014): 10.1016/j.jempfin.2014.01.005 Galán, J. E.; Veiga, H.; Wiper, M. P.. "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models". Journal of Productivity Analysis (2014): http://link.springer.com/article/10.1007/s11123-013-0377-4#page-1. 10.1007/s11123-013-0377-4 Ramos, S. B.; Veiga, H.. "Oil price asymmetric effects: answering the puzzle in international stock markets". Energy Economics (2013): http://www.sciencedirect.com/science/article/pii/S0140988313000601. 10.1016/j.eneco.2013.03.011 Grané, A.; Veiga, H.. "Asymmetry, realised volatility and stock return risk estimates". Portuguese Economic Journal (2012): https://link.springer.com/article/10.1007/s10258-012-0081-8. 10.1007/s10258-012-0081-8 Ramos, S.; Veiga, H.. "Risk factors in oil and gas industry returns: international evidence". Energy Economics (2011): http://www.sciencedirect.com/science/article/pii/S0140988310001830. 10.1016/j.eneco.2010.10.005 Veiga, H.; Vorsatz, M.. "Information aggregation in experimental asset markets in the presence of a manipulator". Experimental Economics (2010): https://link.springer.com/article/10.1007%2Fs10683-010-9247-3. 10.1007/s10683-010-9247-3 Grané, A.; Veiga, H.. "Wavelet-based detection of outliers in financial time series". Computational Statistics and Data Analysis (2010): http://www.sciencedirect.com/science/article/pii/S0167947309004629?via%3Dihub. 10.1016/j.csda.2009.12.010 Veiga, H.; Vorsatz, M.. "Price manipulation in an experimental asset market". European Economic Review (2009): http://www.sciencedirect.com/science/article/pii/S001429210800055X?via%3Dihub. 10.1016/j.euroecorev.2008.05.004 Perez, A.; Ruiz, E.; Veiga, H.. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect". Computational Statistics and Data Analysis (2009): http://www.sciencedirect.com/science/article/pii/S0167947309000711?via%3Dihub. 10.1016/j.csda.2009.02.026 Grané, A.; Veiga, H.. "Accurate minimum capital risk requirements: a comparison of several approaches". Journal of Banking and Finance (2008): http://www.sciencedirect.com/science/article/pii/S0378426608000964?via%3Dihub. 10.1016/j.jbankfin.2008.05.003 Ruiz, E.; Veiga, H.. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH". Computational Statistics and Data Analysis (2008): http://www.sciencedirect.com/science/article/pii/S0167947307003544?via%3Dihub. 10.1016/j.csda.2007.09.031 Veiga, H.. "Are feedback factors important in modeling financial data?". International Review of Finance (2007): http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2443.2007.00070.x/abstract. 10.1111/j.1468-2443.2007.00070.x