Publications by the researcher in collaboration with Trino-Manuel Ñíguez Grau (8)

2025

  1. Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities

    Journal of Financial Econometrics, Vol. 23, Núm. 2

  2. New bounds for tail risk measures

    Finance Research Letters, Vol. 75

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