Category Archives: PubfacSelectedLeonA

Backtesting VaR under the COVID-19 sudden changes in volatility

Castillo, B., León, A & T. Ñiguez
Finance Research Letters – 2021

Wednesday March 8th, 2023Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021By coralio

Polynomial adjusted Student-t densities for modeling asset returns

León, A & T. Ñiguez
European Journal of Finance – 2022

Wednesday March 8th, 2023Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2022By coralio

Copula methods for evaluating relative tail forecasting performance

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

Wednesday March 8th, 2023Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021By 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

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

A note on adjusting correlations matrices

Leon, A., Peris, J. E., Silva-Reus, J. A. and B. Subiza
Applied Mathematical Finance – 2002

Monday March 7th, 2016Pub, PubFac, PubfacLeonA, PubfacPerisJ, PubfacSelected, PubfacSelectedLeonA, PubfacSelectedPerisJ, PubfacSelectedSubizaB, PubfacSubizaB, Pubfield, PubfieldMath, PubSelected, Pubyear2002By coralio

Does Stock Return Predictability Affect ESO Fair Value?”.

Carmona, J., A. Leon and A. Vaello-Sebastia
European Journal of Operational Research – 2012

Monday March 7th, 2016Pub, PubFac, PubfacCarmonaJ, PubfacLeonA, PubfacSelected, PubfacSelectedCarmonaJ, PubfacSelectedLeonA, Pubfield, PubfieldMath, PubSelected, Pubyear2012By coralio

New measures of monetary policy surprises and jumps in interest rates

Leon, A. and S. Sebestyén
Journal of Banking & Finance – 2012

Monday March 7th, 2016Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, Pubfield, PubfieldMacro, PubSelected, Pubyear2012By coralio