Publicaciones en las que colabora con Trino-Manuel Ñíguez (8)

2023

  1. Skewness in energy returns: Estimation, testing and retain–>implications for tail risk

    Quarterly Review of Economics and Finance, Vol. 90, pp. 178-189

2022

  1. Polynomial adjusted Student-t densities for modeling asset returns

    European Journal of Finance, Vol. 28, Núm. 9, pp. 907-929

2021

  1. Backtesting VaR under the COVID-19 sudden changes in volatility

    Finance Research Letters, Vol. 43

  2. Copula methods for evaluating relative tail forecasting performance

    Journal of Risk Finance, Vol. 22, Núm. 5, pp. 332-344

  3. The transformed Gram Charlier distribution: Parametric properties and financial risk applications

    Journal of Empirical Finance, Vol. 63, pp. 323-349

2020

  1. Modeling asset returns under time-varying semi-nonparametric distributions

    Journal of Banking and Finance, Vol. 118

2006

  1. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence

    Journal of Forecasting, Vol. 25, Núm. 6, pp. 439-458

2003

  1. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence

    Working papers = Documentos de trabajo: Serie AD