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Measuring and testing for the systemically important financial institutions

Castro, Carlos; Ferrari, Stijn - In: Journal of empirical finance 25 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010462114

A segmented and observable yield curve for Colombia

Castro Iragorri, Carlos Alberto; Peña, Juan Felipe; … - In: Journal of central banking theory and practice 10 (2021) 2, pp. 179-200

Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long)...

Persistent link: https://www.econbiz.de/10012549263

A self-adaptive biogeography-based algorithm to solve the set covering problem

Crawford, Broderick; Soto, Ricardo; Olivares, Rodrigo; … - In: RAIRO / Operations research 53 (2019) 3, pp. 1033-1059

Persistent link: https://www.econbiz.de/10012113781

Does the market model provide a good counterfactual for event studies in finance?

Castro Iragorri, Carlos Alberto - In: Financial markets and portfolio management 33 (2019) 1, pp. 71-91

Persistent link: https://www.econbiz.de/10012018357

A mixed-integer linear programming model and a metaheuristic approach for the selection and allocation of land parcels problem

Gil, Alejandro Fernández; Sánchez, Mariam Gómez; … - In: International transactions in operational research : a … 30 (2023) 4, pp. 1730-1754

Persistent link: https://www.econbiz.de/10014258956

Worst-case higher moment risk measure : addressing distributional shifts and procyclicality

Castro Iragorri, Carlos Alberto; Gómez, Fabio; … - In: Finance research letters 65 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014564284