Contabilidad y Finanzas (CyF)
Universidad de Castilla-La Mancha
Ciudad Real, EspañaPublicaciones en colaboración con investigadores/as de Universidad de Castilla-La Mancha (7)
2017
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Measuring tail-risk cross-country exposures in the banking Industry
Revista de economía aplicada, Vol. 25, Núm. 74, pp. 27-74
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One-sided performance measures under Gram-Charlier distributions
Journal of Banking and Finance, Vol. 74, pp. 38-50
2016
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Market frictions and the pricing of sovereign credit default swaps
Journal of International Money and Finance, Vol. 60, pp. 223-252
2015
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Measuring Tail-Risk Cross-Country Exposures in the Banking Industry
Working papers = Documentos de trabajo: Serie AD
2013
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On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
International Journal of Forecasting, Vol. 29, Núm. 1, pp. 202-219
2011
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On downside risk predictability through liquidity and trading activity: a quantile regression approach
Working papers = Documentos de trabajo: Serie AD
2005
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Autoregresive conditional volatility, skewness and kurtosis
Quarterly Review of Economics and Finance, Vol. 45, Núm. 4-5, pp. 599-618