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Number of items: 14.

Article

Ñíguez, T. M. and Perote, J. (2016) Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model. Jounal of Banking & Finance. ISSN 0378-4266 (In Press)

Ñíguez, T. M. and Perote, J. (2016) Multivariate moments expansion density: application of the dynamic equicorrelation model. Bank of Spain Working Papers Series, 1602. ISSN 1579-8666
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Ñíguez, T. M., Paya, I., Peel, D. and Perote, J. (2015) Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation. Bank of Spain Working Paper Series, 1520. ISSN 1579-8666
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Ñíguez, T. M., Paya, I., Peel, D. and Perote, J. (2011) On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty. Economics Letters, 115 (2). pp. 244-248. ISSN 0165-1765

Ñíguez, T. M. and Perote, J. (2011) Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions. Oxford Bulletin of Economics and Statistics, 74 (4). pp. 600-627. ISSN 0305-9049

Ñíguez, T. M. and Perote, J. (2011) A New Proposal for Computing Portfolio Value-at-Risk for Semi-nonparametric Distributions. International Journal of Mathematics and Computers in Simulation, 5 (2). pp. 85-92. ISSN 1998-0159
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Del, Brío E. B., Ñíguez, T. M. and Perote, J. (2009) Gram-Charlier Densities: A Multivariate Approach. Quantitative Finance, 9 (7). pp. 855-868. ISSN 1469-7688

Ñíguez, T. M., Perote, J. and Rubia, A. (2009) Are the High-Order Moments of the Assets Returns Distribution Forecastable? Journal of Current Issues in Finance, Business and Economics, 2 (4). pp. 383-401. ISSN 1935-3553

Nowman, K. B. and Ñíguez, T. M. (2009) Estimating the Dynamics of Interest Rates in the Japanese Economy. Asia Pacific Journal of Economics and Business, 13 (1). pp. 18-30. ISSN 1326-8481

Ñíguez, T. M. and Rubia, A. (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

Book Section

Ñíguez, T. M., Perote, J. and Rubia, A. (2009) Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution. In: Economic Forecasting. Nova Science Publishers, pp. 229-248. ISBN 9781611224788

Conference or Workshop Item

Ñíguez, T. M. and Perote, J. (2015) The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. In: 35th International Symposium on Forecasting, 21 Jun 2015, Riverside, California, USA.

Ñíguez, T. M., Paya, I., Peel, D. and Perote, J. (2014) Higher-order Moments in the Theory of Diversification and Portfolio Composition. In: XV Conference on International Economics, Spanish Association of International Economics and Finance, May 2014, Salamanca, Spain.

Ñíguez, T. M. and Perote, J. (2014) The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. In: Annual International Finance and Banking Conference, International Finance and Banking Society, Jun 2014, Lisbon – Portugal.

This list was generated on Sun Sep 25 23:29:01 2016 BST.