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
- Earnings management to avoid losses: Evidence in non-listed Colombian companies 2023
- 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
- Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index 2021
- Backtesting Expected Shortfall for World Stock Index ETFs With Extreme Value Theory and Gram–Charlier Mixtures 2021
- Skew Index Descriptive Analysis, Predictive Power, And Short-Term Forecast 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
- Quantifying Risk in Traditional Energy and Sustainable Investments 2019
- Testing Expected Shortfall an Application to Emerging Market Stock Indices 2019
- 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
- Risk Quantification in Turmoil Markets 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
- Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad 2015
- El uso de la distribución g-h en riesgo operativo 2014
- 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
- CDS relación con índices accionarios y medida de riesgo 2011
- Consideraciones en la estimación de cuantiles altos en el riesgo operativo 2010
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capítulo
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documento de trabajo