Trino-Manuel Ñíguez-rekin lankidetzan egindako argitalpenak (10)

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

2019

  1. Flexible distribution functions, higher-order preferences and optimal portfolio allocation

    Quantitative Finance, Vol. 19, Núm. 4, pp. 699-703

2016

  1. Pure higher-order effects in the portfolio choice model

    Finance Research Letters, Vol. 19, pp. 255-260

2015

  1. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

    Documentos de trabajo - Banco de España

2012

  1. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

    Economics Letters, Vol. 115, Núm. 2, pp. 244-248