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Items where Author is Níguez, Trino Manuel

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Number of items: 40.

2013

Adetola, Adeniyi and Li, Shuliang and Rieple, Alison and Níguez, Trino Manuel (2013) Linking social media, intelligent agents and expert systems for formulating open innovation strategies for software development. In: Mathematics and Computers in Contemporary Science (WSEAS proceedings of the 11th International Conference on E-Activities), Nanjing, China, 17th -19th November, 2013. WSEAS, pp. 234-240. ISBN 9789604743568

2012

Níguez, Trino Manuel and Perote, Javier (2012) 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

Níguez, Trino Manuel and Paya, Ivan and Peel, David and Perote, Javier (2012) On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty. Economics Letters, 115 (2). pp. 244-248. ISSN 0165-1765

Níguez, Trino Manuel and Perote, Javier (2012) An analysis of the decision for plunging using log-SNP distributed asset returns. In: Annual symposium of the society of nonlinear dynamics and econometrics, April 5-6 2012, Istanbul, Turkey. (Submitted)

2011

Níguez, Trino Manuel 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

Níguez, Trino Manuel and Perote, Javier (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

Níguez, Trino Manuel and Paya, Ivan and Peel, David and Perote, Javier (2011) On the stability of the CRRA utility under high degrees of uncertainty. Working Paper. Lancaster University Management School.

Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (2011) Multivariate distributions based on general moments expansions: evidence from exchange rates. In: Workshop in time series econometrics, April 2011, Zaragoza, Spain. (Submitted)

Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (2011) Multivariate distributions based on general moments expansions: evidence from exchange rates. In: International risk management conference, June 2011, Amsterdam, Netherlands. (Submitted)

Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (2011) Multivariate distributions based on general moments expansions: evidence from exchange rates. In: European financial management association annual conference, June 2011, Braga, Portugal. (Submitted)

Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (2011) Multivariate distributions based on general moments expansions: evidence from exchange rates. In: 4th workshop in risk management and insurance, October 2011, Seville, Spain. (Submitted)

2010

Níguez, Trino Manuel 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

Del Brio, Esther B. and Níguez, Trino Manuel and Perote, Javier (2010) The SNP-DCC model: a new methodology for risk management and forecasting. Working Paper. Fundación de las Cajas de Ahorros.

Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (2010) Forecasting the unconditional and conditional kurtosis of the asset returns distribution. In: 30th International Symposium on Forecasting, June 20-23 2010, San Diego, CA, USA.

Del Brio, Esther B. and Níguez, Trino Manuel and Perote, Javier (2010) The SNP-DCC model: a new methodology for risk management and forecasting. In: European financial management association annual conference, June 2010, Aarhus, Denmark. (Submitted)

2009

Níguez, Trino Manuel 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 Níguez, Trino Manuel and Perote, Javier (2009) Gram–Charlier densities: a multivariate approach. Quantitative Finance, 9 (7). pp. 855-868. ISSN 1469-7688

Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (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

Del Brio, Esther B. and Níguez, Trino Manuel and Perote, Javier (2009) Multivariate semi-nonparametric densities with dynamic conditional correlations. In: 29th International Symposium on Forecasting, 21st - 24th June 2009, Hong Kong. (Submitted)

2008

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

Níguez, Trino Manuel (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 Níguez, Trino Manuel and Perote, Javier (2008) Multivariate Gram-Charlier densities. Working Paper. Savings Banks Foundation.

Níguez, Trino Manuel 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

Níguez, Trino Manuel 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 Níguez, Trino Manuel 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 Níguez, Trino Manuel 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 Níguez, Trino Manuel (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

Níguez, Trino Manuel 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 Níguez, Trino Manuel (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

Níguez, Trino Manuel 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)

Níguez, Trino Manuel 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)

Níguez, Trino Manuel 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 Níguez, Trino Manuel (2005) Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. In: XIII Forum of Finance, Nov 2005, Madrid, Spain. (Submitted)

2004

Níguez, Trino Manuel and Perote, Javier (2004) Forecasting the density of asset returns. Working Paper. London School of Economics and Political Science, London, UK.

2003

Níguez, Trino Manuel (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.

Níguez, Trino Manuel 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.

Níguez, Trino Manuel 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

Níguez, Trino Manuel (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)

Níguez, Trino Manuel (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)

Níguez, Trino Manuel 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)

This list was generated on Sat Apr 19 05:34:57 2014 BST.