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Forecasting market crashes : does density specification matter?
Brio, Esther B. del; Perote, Javier - In: Applied econometrics and international development 8 (2008) 1, pp. 53-58
Persistent link: https://www.econbiz.de/10008660207
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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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The snp-dcc model: a new methodology for risk management and forecasting
Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier - 2010
Persistent link: https://www.econbiz.de/10010422539
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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