
ANGEL MANUEL
LEON VALLE
PROFESOR/A TITULAR DE UNIVERSIDAD
Publications (58) ANGEL MANUEL LEON VALLE publications
2023
-
Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood
Communications in Statistics: Simulation and Computation
-
Pandemic effects in the Solow growth model
Bulletin of Economic Research, Vol. 75, Núm. 3, pp. 671-687
-
Skewness in energy returns: Estimation, testing and retain–>implications for tail risk
Quarterly Review of Economics and Finance, Vol. 90, pp. 178-189
-
Valuing Forestry Agronomic Potential under Seasonal Mean-Reverting Prices
Forests, Vol. 14, Núm. 7
2022
-
Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
Mathematics, Vol. 10, Núm. 22
-
Polynomial adjusted Student-t densities for modeling asset returns
European Journal of Finance, Vol. 28, Núm. 9, pp. 907-929
2021
-
Backtesting VaR under the COVID-19 sudden changes in volatility
Finance Research Letters, Vol. 43
-
Copula methods for evaluating relative tail forecasting performance
Journal of Risk Finance, Vol. 22, Núm. 5, pp. 332-344
-
The transformed Gram Charlier distribution: Parametric properties and financial risk applications
Journal of Empirical Finance, Vol. 63, pp. 323-349
2020
-
Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting
Finance Research Letters, Vol. 33
-
Modeling asset returns under time-varying semi-nonparametric distributions
Journal of Banking and Finance, Vol. 118
2019
-
Economic stress in non-poor Spanish households during the Great Recession
Applied Economic Analysis, Vol. 28, Núm. 82, pp. 19-45
-
Screening rules and portfolio performance
North American Journal of Economics and Finance, Vol. 48, pp. 642-662
2018
-
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
-
A new pattern in international mobility? The case of Spain in the Great Crisis
Investigación económica, Vol. 76, Núm. 299, pp. 153-181
-
One-sided performance measures under Gram-Charlier distributions
Journal of Banking and Finance, Vol. 74, pp. 38-50
2012
-
Does stock return predictability affect ESO fair value?
European Journal of Operational Research, Vol. 223, Núm. 1, pp. 188-202
-
New measures of monetary policy surprises and jumps in interest rates
Journal of Banking and Finance, Vol. 36, Núm. 8, pp. 2323-2343
2011
-
Pricing executive stock options under employment shocks
Journal of Economic Dynamics and Control, Vol. 35, Núm. 1, pp. 97-114
2010
-
A simulation-based algorithm for American executive stock option valuation
Finance Research Letters, Vol. 7, Núm. 1, pp. 14-23