Items where Author is Ñíguez, T. M.

2011

Ñíguez, T. M. and Del Brio, Esther B. and Perote, Javier (2011) Multivariate semi-nonparametric distributions with dynamic conditional correlations. International Journal of Forecasting, 27 (2). pp. 347-364. ISSN 0169-2070

2010

Ñíguez, T. M. and Perote, Javier and Rubia, Antonio (2010) Forecasting the unconditional and conditional kurtosis of the asset returns distribution. In: Molnar, Alan T., (ed.) Economic forecasting. Nova Publishing , New York. ISBN 9781607410683

2009

Ñíguez, T. M. and Nowman, K. Ben (2009) Estimating the dynamics of interest rates in the Japanese economy. Asia Pacific Journal of Economics & Business, 13 (1). pp. 18-30. ISSN 1326-8481

Del Brio, Esther B. and Ñíguez, T. M. and Perote, Javier (2009) Gram–Charlier densities: a multivariate approach. Quantitative Finance, 9 (7). pp. 855-868. ISSN 1469-7688

2008

Ñíguez, T. M. (2008) Volatility and VaR forecasting in the Madrid Stock Exchange. Spanish Economic Review, 10 (3). pp. 169-196. ISSN 1435-5469

Ñíguez, T. M. (2008) Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper. Discussion Paper. Institute Flores de Lemus, Carlos III University of Madrid. (Unpublished)

Del Brio, Esther B. and Ñíguez, T. M. and Perote, Javier (2008) Multivariate Gram-Charlier densities. Working Paper. Savings Banks Foundation.

Ñíguez, T. M. and Perote, Javier (2008) The general moments expansion and its applications for financial risk. In: 2nd International Workshop on Computational and Financial Econometrics, 19 - 21 June 2008, Neuchâtel, Switzerland. (Submitted)

2007

Ñíguez, T. M. and Perote, Javier (2007) Semi-parametric density expansions: orthogonality vs simplicity. In: XXVII International Symposium on Forecasting, 24 - 27 Jun 2007, New York, NY, USA. (Submitted)

Del Brio, Esther B. and Ñíguez, T. M. and Perote, Javier (2007) Multivariate Gram-Charlier densities. In: Annual Meeting of the Journal of Financial Econometrics, 26 - 27 Oct 2007, Faro, Portugal. (Submitted)

Del Brio, Esther B. and Ñíguez, T. M. and Perote, Javier (2007) Multivariate Gram-Charlier densities. In: 1st International Workshop on Computational and Financial Econometrics, 20 - 22 Apr 2007, Geneva, Switzerland. (Submitted)

Nowman, K. Ben and Ñíguez, T. M. (2007) Estimating the dynamics of interest rates in the Japanese economy. In: Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, 15 16 Mar 2007, Paris, France. (Submitted)

2006

Ñíguez, T. M. and Rubia, Antonio (2006) Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. Journal of Forecasting, 25 (6). pp. 439-458. ISSN 0277-6693

Perote, Javier and Ñíguez, T. M. (2006) Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. In: XXVI International Symposium of Forecasting, 11-14 Jun 2006, Santander, Spain. (Submitted)

2005

Ñíguez, T. M. and Perote, Javier (2005) Forecasting the density of asset returns. In: Journal of Applied Econometrics Annual Conference: Changing Structures in International and Financial Markets and the Effects on Financial Decision Making, 02-03 Jun 2005, Venice, Italy. (Submitted)

Ñíguez, T. M. and Perote, Javier (2005) Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions. In: XXX Symposium of the Economic Analysis, Dec 2005, Murcia, Spain. (Submitted)

Ñíguez, T. M. and Nowman, K. Ben (2005) Estimating the dynamics of interest rates in the Japanese economy. In: Westminster Business School Workshop in Memory of the Late Professor Albert Rex Bergstrom on Continuous Time Econometrics, 02 Dec 2005, London, UK. (Submitted)

Perote, Javier and Ñíguez, T. M. (2005) Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. In: XIII Forum of Finance, Nov 2005, Madrid, Spain. (Submitted)

2004

Ñíguez, T. M. and Perote, Javier (2004) Forecasting the density of asset returns. Working Paper. London School of Economics and Political Science, London, UK.

2003

Ñíguez, T. M. (2003) Volatility and VaR forecasting for the IBEX-35 stock-return index using figarch-type processes and different evaluation criteria. Working Paper. Instituto Valenciano de Investigaciones Económicas, Valencia, Spain.

Ñíguez, T. M. and Rubia, Antonio (2003) Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. Working Paper. Instituto Valenciano de Investigaciones Económicas, Valencia, Spain.

Ñíguez, T. M. and Rubia, Antonio (2003) Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. In: X Forum of Finance, Seville, Spain. (Submitted)

2002

Ñíguez, T. M. (2002) Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria. In: XXVII Symposium of the Economic Analysis, 12-14 Dec 2002, Salamanca, Spain. (Submitted)

Ñíguez, T. M. (2002) Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. In: XXVII Symposium of the Economic Analysis, 12-14 Dec 2002, Salamanca, Spain. (Submitted)

Ñíguez, T. M. and Rubia, Antonio (2002) Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence. In: Instituto Valenciano de Investigaciones Economicas, Seville, Spain. (Submitted)