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Department of EconomicsDepartment of Economics
Department of Economics
Economics, Economía, Fundamentos, Análisis, Económico
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Ángel Manuel León Valle

Associate Professor
Ph.D. Universidad de Alicante
email: aleon@ua.es
Office: 35
Ext.: 3141


Research Interests:
Financial Econometrics

Publications

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

Research groups
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Research
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Research groups
  • Prometeo/2021/073 – Information transmission in a polarized society
    February 8, 2023
  • Behavioral, Experimental and Network Economics
    May 19, 2023
  • Development Economics
    May 19, 2023
  • Econometrics
    May 19, 2023
  • Economic Theory
    May 19, 2023
  • Industrial Organization
    May 19, 2023
  • International, Urban and Regional Economics
    May 19, 2023
  • Labor Economics
    May 19, 2023
  • Macroeconomics
    May 19, 2023
  • Mathematical Economics
    May 19, 2023
  • Public Economics and Political Economy
    May 19, 2023
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