Trino-Manuel
Ñíguez
Publikationen, an denen er mitarbeitet Trino-Manuel Ñíguez (8)
2023
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Skewness in energy returns: Estimation, testing and retain–>implications for tail risk
Quarterly Review of Economics and Finance, Vol. 90, pp. 178-189
2022
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Polynomial adjusted Student-t densities for modeling asset returns
European Journal of Finance, Vol. 28, Núm. 9, pp. 907-929
2021
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Backtesting VaR under the COVID-19 sudden changes in volatility
Finance Research Letters, Vol. 43
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Copula methods for evaluating relative tail forecasting performance
Journal of Risk Finance, Vol. 22, Núm. 5, pp. 332-344
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The transformed Gram Charlier distribution: Parametric properties and financial risk applications
Journal of Empirical Finance, Vol. 63, pp. 323-349
2020
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Modeling asset returns under time-varying semi-nonparametric distributions
Journal of Banking and Finance, Vol. 118
2006
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Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Journal of Forecasting, Vol. 25, Núm. 6, pp. 439-458
2003
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Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Working papers = Documentos de trabajo: Serie AD