Category Archives: PubfieldFeatured

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

Pandemic Effects in the Solow Growth Model

Carmona J. & A. León
Bulletin of Economic Research – Forthcoming

Wednesday March 8th, 2023Pub, PubFac, PubfacCarmonaJ, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubyearForthcomingBy coralio

Investment option under CIR interest rates

Carmona J. & A. León
Finance Research Letters – 2007

Wednesday March 8th, 2023Pub, PubFac, PubfacCarmonaJ, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, Pubyear2007By coralio

Pricing executive stock options under employment shocks

Carmona J. & A. León
Journal of Economic Dynamics and Control – 2011

Wednesday March 8th, 2023Pub, PubFac, PubfacCarmonaJ, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, Pubyear2011By 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

Land-capital and emissions convergence in an extended Green Solow model

Guilló, M.D, & M. Magalhaes
Environment and Development Economics – 2022

Thursday January 26th, 2023Pub, PubFac, PubfacGuilloL, PubFeatured, Pubfield, PubfieldFeatured, Pubyear2022By coralio

Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?

Castillo-Brais, B., León, A. & J. Mora.
Mathematics – 2022

Friday November 18th, 2022Pub, PubFac, PubfacLeonA, PubFacMoraJ, PubFeatured, Pubfield, PubfieldFeatured, PubfieldFeaturedMath, PubfieldMath, Pubyear2022By coralio

The Reflection Effect for Higher Order Risk Preferences

Bleichrodt, H & P. van Bruggen
Review of Economics and
Statistics – 2022

Thursday November 10th, 2022Pub, PubFac, PubfacBleichrodtH, PubfacSelected, PubfacSelectedBleichrodtH, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2022By coralio

The Prevention Puzzle

Bleichrodt, H.
Geneva Risk and Insurance Review – 2022

Thursday November 10th, 2022Pub, PubFac, PubfacBleichrodtH, PubfacSelected, PubfacSelectedBleichrodtH, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2022By coralio