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Financial market risk before and after the subprime crisis
Palomero, Isabel A.; Perote, Javier; Mora-Valencia, Andrés - In: Advances on international economics, (pp. 299-319). 2015
Persistent link: https://www.econbiz.de/10011445952
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VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: Emerging markets review 20 (2014), pp. 23-41
Persistent link: https://www.econbiz.de/10010419480
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Dynamic selection of Gram-Charlier expansions with risk targets : an application to cryptocurrencies
Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Risk management : an international journal 24 (2022) 1, pp. 81-99
Persistent link: https://www.econbiz.de/10013163633
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Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012666975
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Risk quantification and validation for Bitcoin
Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Operations research letters 48 (2020) 4, pp. 534-541
Persistent link: https://www.econbiz.de/10012294824
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Moral hazard and default risk of SMEs with collateralized loans
Castillo, José A.; Mora-Valencia, Andrés; Perote, Javier - In: Finance research letters 26 (2018), pp. 95-99
Persistent link: https://www.econbiz.de/10012005593
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The return performance of cubic market model : an application to emerging markets
Mora-Valencia, Andrés; Perote, Javier; Arias, José … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 10/11/12, pp. 2233-2241
Persistent link: https://www.econbiz.de/10011825306
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Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: The European journal of finance 25 (2019) 17, pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
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Multivariate approximations to portfolio return distribution
Mora-Valencia, Andrés; Ñíguez, Trino-Manuel; Perote, … - In: Computational and mathematical organization theory 23 (2017) 3, pp. 347-361
Persistent link: https://www.econbiz.de/10011741979
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Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: International review of financial analysis 70 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012318296