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Number of items: **16**.

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.
(2016)
*Evaluating monthly volatility forecasts using proxies at different frequencies.*
Finance Research Letters.
ISSN 1544-6123

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

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

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

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

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

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., Paya, I., Peel, D. and Perote, J.
(2014)
*Higher-order moments in the theory of diversifying and portfolio composition.*
In: XXII Annual Symposium of the Society of Nonlinear Dynamics and Econometrics, Apr 2014, New York (USA).

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.