Publications (13) Publications in which a researcher has participated View referenced research data.

filter_list Statistical Finance

2025

  1. Volatility transmission dynamics between energy and financial indices of emerging markets: a comparison between the subprime crisis and the COVID-19 pandemic

    International Journal of Emerging Markets, Vol. 20, Núm. 1, pp. 135-156

2023

  1. Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model

    Emerging Markets Review, Vol. 56

2022

  1. Financial contagion drivers during recent global crises

    Economic Modelling, Vol. 117

2021

  1. Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures

    International Journal of Finance and Economics, Vol. 26, Núm. 3, pp. 4163-4189

  2. Financial market crash prediction through analysis of stable and Pareto distributions

    Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020 (Springer International Publishing), pp. 355-360

2020

  1. Dynamic interactions between oil price and exchange rate

    PLoS ONE, Vol. 15, Núm. 8 August

  2. Market-crash forecasting based on the dynamics of the alpha-stable distribution

    Physica A: Statistical Mechanics and its Applications, Vol. 557

  3. Uncertainty in electricity markets from a semi-nonparametric approach

    Energy Policy, Vol. 137

2019

  1. What happens to the relationship between EU allowances prices and stock market indices in Europe?

    Energy Economics, Vol. 81, pp. 13-24

2018

  1. An empirical analysis of the relationships between crude oil, gold and stock markets

    Energy Journal, Vol. 39, pp. 193-207

2017

  1. Moments expansion densities for quantifying financial risk

    North American Journal of Economics and Finance, Vol. 42, pp. 53-69

2016

  1. Multivariate moments expansion density: Application of the dynamic equicorrelation model

    Journal of Banking and Finance, Vol. 72, pp. S216-S232

2015

  1. Oil price shocks and stock markets: testing for non-linearity

    Empirical Economics, Vol. 48, Núm. 3, pp. 1079-1102