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Pandemic Effects in the Solow Growth Model
Carmona J. & A. León
Bulletin of Economic Research – Forthcoming
Skewness in energy returns: estimation, testing and implications for tail risk
Carnero, M.A; León, A. & T. Ñiguez
Quarterly Review of Economics and Finance – 2023
Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
Castillo-Brais, B., León, A. & J. Mora.
Mathematics – 2022
Polynomial adjusted Student-t densities for modeling asset returns
León, A & T. Ñiguez
European Journal of Finance – 2022
Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, B., León, A & T. Ñiguez
Finance Research Letters – 2021
Copula methods for evaluating relative tail forecasting performance
León, A & T. Ñiguez
Journal of Risk Finance – 2021
The Transformed Gram Charlier distribution: Parametric properties and financial risk applications
León, A & T. Ñiguez
Journal of Empirical Finance – 2021
Economic stress in non-poor Spanish households during the Great Recession
Ródenas, C., Martí, M., and A. León
Applied Economic Analysis – 2020
Estimating the Expected Shortfall of Cryptocurrencies: An Evaluation Based on Backtesting
Acereda, B., León, A. and Mora, J
Finance Research Letters – 2020
Modeling asset returns under time-varying semi-nonparametric distributions
Leon, A. and T.M. Ñiguez
Journal of Banking and Finance – 2020
Screening rules and portfolio performance
León, A., L. Navarro, and B. Nieto.
The
North American Journal of Economics and Finance, – 2018
One-sided performance measures under Gram-Charlier distributions
León, A., and M. Moreno
Journal
of Banking and Finance – 2017
Does Stock Return Predictability Affect ESO Fair Value?”.
Carmona, J., A. Leon and A. Vaello-Sebastia
European Journal of Operational Research – 2012
New measures of monetary policy surprises and jumps in interest rates
Leon, A. and S. Sebestyén
Journal of Banking & Finance – 2012
Pricing executive stock options under employment shocks
Carmona J. & A. León
Journal of Economic Dynamics and Control – 2011
A simulation-based algorithm for American executive stock option valuation
León A., and A. Vaello
Finance Research Letters – 2010
American GARCH employee stock option valuation
León, A., and A. Vaello
Journal of Banking and Finance – 2009
Parametric properties of semi-nonparametric distribution, with application to option valuation
León, A., J. Mencía and E. Sentana
Journal of Business and Economic Statistics – 2009
Investment option under CIR interest rates
Carmona J. & A. León
Finance Research Letters – 2007
Modeling the euro overnight rate
Benito, F., A. León and J. Nave
Journal of Empirical Finance – 2007
The relationship between risk and expected return in Europe
León, A., J, Nave and G. Rubio
Journal of Banking and Finance – 2007
A note on adjusting correlations matrices
Leon, A., Peris, J. E., Silva-Reus, J. A. and B. Subiza
Applied Mathematical Finance – 2002