publicaciones seleccionadas
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artículo
- Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers 2024
- Real Options Volatility Surface for Valuing Renewable Energy Projects 2024
- Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model 2023
- Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies 2022
- Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? 2022
- Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns 2022
- Moral hazard index for credit risk to SMEs 2022
- Semi-nonparametric risk assessment with cryptocurrencies 2022
- Backtesting Expected Shortfall for World Stock Index ETFs With Extreme Value Theory and Gram–Charlier Mixtures 2021
- Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies 2020
- A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets 2020
- Market-Crash Forecasting Based on The Dynamics of The Alpha-Stable Distribution 2020
- Retrieving The Implicit Risk Neutral Density of WTI Options with A Semi-Nonparametric Approach 2020
- Risk Quantification for Commodity ETFs Backtesting Value-At-Risk and Expected Shortfall 2020
- Moral Hazard and Default Risk of Smes with Collateralized Loans 2018
- Measuring Firm Size Distribution with Semi-Nonparametric Densities 2017
- Multivariate Approximations to Portfolio Return Distribution 2017
- The Kidnapping of Europe High-Order Moments' Transmission Between Developed and Emerging Markets 2017
- The Return Performance of Cubic Market Model an Application to Emerging Markets 2017
- The Productivity of Top Researchers a Semi-Nonparametric Approach 2016
- Semi-nonparametric VaR Forecasts for Hedge Funds During the Recent Crisis 2014
- VaR Performance During the Subprime and Sovereign Debt Crises an Application to Emerging Markets 2014
- Within‐Team Competition In The Minimum Effort Coordination Game 2006
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capítulo
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documento de trabajo
- Implicit Probability Distribution for WTI Options the Black Scholes Vs. The Semi-Nonparametric Approach 2017
- Measuring firm size distribution with semi-nonparametric densities 2017
- The productivity of top researchers A semi-nonparametric approach 2016
- Within-Team Competition in the Minimum Effort Coordination Game 2005-03