Publications (62) ÁNGEL MANUEL LEÓN VALLE publications

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2025

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

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

  2. Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood

    Communications in Statistics: Simulation and Computation, Vol. 54, Núm. 6, pp. 1949-1965

  3. New bounds for tail risk measures

    Finance Research Letters, Vol. 75

2024

  1. Selección de activos para construir carteras de inversión en base a su asimetría y curtosis

    Big data: predicción y decisiones económicas con Big data

2023

  1. Pandemic effects in the Solow growth model

    Bulletin of Economic Research, Vol. 75, Núm. 3, pp. 671-687

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

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

  3. Valuing Forestry Agronomic Potential under Seasonal Mean-Reverting Prices

    Forests, Vol. 14, Núm. 7

2022

  1. Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?

    Mathematics, Vol. 10, Núm. 22

  2. 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. Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting

    Finance Research Letters, Vol. 33

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

    Journal of Banking and Finance, Vol. 118

2019

  1. Economic stress in non-poor Spanish households during the Great Recession

    Applied Economic Analysis, Vol. 28, Núm. 82, pp. 19-45

  2. Screening rules and portfolio performance

    North American Journal of Economics and Finance, Vol. 48, pp. 642-662

2018

  1. On multicollinearity and the value of the shape parameter in the term structure Nelson-Siegel model

    Aestimatio: The IEB International Journal of Finance, Núm. 16, pp. 8-29

2017

  1. A new pattern in international mobility? The case of Spain in the Great Crisis

    Investigación económica, Vol. 76, Núm. 299, pp. 153-181

  2. One-sided performance measures under Gram-Charlier distributions

    Journal of Banking and Finance, Vol. 74, pp. 38-50

2012

  1. Does stock return predictability affect ESO fair value?

    European Journal of Operational Research, Vol. 223, Núm. 1, pp. 188-202