Category Archives: PubfacLeonA

Copula methods for evaluating relative tail forecasting performance

León, A & T. Ñiguez
Journal of Risk Finance – Forthcoming

Monday October 18th, 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingBy coralio

Polynomial adjusted Student-t densities for modeling asset returns

León, A & T. Ñiguez
European Journal of Finance – Forthcoming

Monday October 18th, 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingBy coralio

The Transformed Gram Charlier distribution: Parametric properties and financial risk applications

León, A & T. Ñiguez
Journal of Empirical Finance – 2021

Thursday July 29th, 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021By coralio

Backtesting VaR under the COVID-19 sudden changes in volatility

Castillo, B., León, A & T. Ñiguez
Finance Research Letters – Forthcoming

Thursday April 22nd, 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingBy coralio

Modeling asset returns under time-varying semi-nonparametric distributions

Leon, A. and T.M. Ñiguez
Journal of Banking and Finance – 2020

Monday October 19th, 2020Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2020By coralio

Economic stress in non-poor Spanish households during the Great Recession

Ródenas, C., Martí, M., and A. León
Applied Economic Analysis – 2020

Wednesday October 14th, 2020Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2020By coralio

Estimating the Expected Shortfall of Cryptocurrencies: An Evaluation Based on Backtesting

Acereda, B., León, A. and Mora, J
Finance Research Letters – 2020

Wednesday October 14th, 2020Pub, PubFac, PubfacLeonA, PubFacMoraJ, Pubfield, Pubyear2020By coralio

Modeling the euro overnight rate

Benito, F., A. León and J. Nave
Journal of Empirical Finance – 2007

Monday January 7th, 2019Pub, PubFac, PubfacLeonA, Pubfield, Pubyear2007By coralio

The relationship between risk and expected return in Europe

León, A., J, Nave and G. Rubio
Journal of Banking and Finance – 2007

Monday January 7th, 2019Pub, PubFac, PubfacLeonA, Pubfield, Pubyear2007By coralio

One-sided performance measures under Gram-Charlier distributions

León, A., and M. Moreno
Journal
of Banking and Finance – 2017

Tuesday October 16th, 2018Pub, PubFac, PubfacLeonA, Pubfield, PubfieldEconometrics, Pubyear2017By coralio