Publications (8) ANGEL MANUEL LEON VALLE publications

filter_list Statistical Finance

2023

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

    Communications in Statistics: Simulation and Computation

2021

  1. Backtesting VaR under the COVID-19 sudden changes in volatility

    Finance Research Letters, Vol. 43

2019

  1. Screening rules and portfolio performance

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

2017

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

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

2005

  1. Autoregresive conditional volatility, skewness and kurtosis

    Quarterly Review of Economics and Finance, Vol. 45, Núm. 4-5, pp. 599-618

2004

  1. Autoregressive conditional volatility, skewness and kurtosis

    Working papers = Documentos de trabajo: Serie AD

2002

  1. Autorregresive Conditional Volatility, Skewness and Kurtosis

    DFAE-II WP Series

1999

  1. Modelling conditional heteroskedasticity: Application to the Application to the "IBEX-35" stock-return index

    Spanish economic review, Vol. 1, Núm. 3, pp. 215-238