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Copula methods for evaluating relative tail forecasting performance

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

18 de octubre de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingPor coralio

Polynomial adjusted Student-t densities for modeling asset returns

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

18 de octubre de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingPor coralio

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

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

29 de julio de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021Por coralio

Backtesting VaR under the COVID-19 sudden changes in volatility

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

22 de abril de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingPor coralio

Modeling asset returns under time-varying semi-nonparametric distributions

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

19 de octubre de 2020Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2020Por coralio

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

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

14 de octubre de 2020Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2020Por coralio

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

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

14 de octubre de 2020Pub, PubFac, PubfacLeonA, PubFacMoraJ, Pubfield, Pubyear2020Por coralio

Modeling the euro overnight rate

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

07 de enero de 2019Pub, PubFac, PubfacLeonA, Pubfield, Pubyear2007Por coralio

The relationship between risk and expected return in Europe

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

07 de enero de 2019Pub, PubFac, PubfacLeonA, Pubfield, Pubyear2007Por coralio

One-sided performance measures under Gram-Charlier distributions

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

16 de octubre de 2018Pub, PubFac, PubfacLeonA, Pubfield, PubfieldEconometrics, Pubyear2017Por coralio