Publicaciones en las que colabora con Javier Perote Peña (20)

2020

  1. Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall

    International Review of Financial Analysis, Vol. 70

2019

  1. Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications

    European Journal of Finance, Vol. 25, Núm. 17, pp. 1746-1764

2018

  1. Insider Trading and Corporate Governance in the Banking Sector. New Lessons on the Entrenchment Effect

    CSR, Sustainability, Ethics and Governance (Springer Nature), pp. 219-233

  2. Insider Trading of Corporate Governance in the Banking Sector: new Lessons on the Entrenchment Effect

    Corporate Governance in Banking and Investor Protection: from Theory to Practice (Springer Suiza), pp. 219-233

2017

  1. The kidnapping of Europe: High-order moments' transmission between developed and emerging markets

    Emerging Markets Review, Vol. 31, pp. 96-115

2016

  1. Effects of opportunistic behaviors on security markets: an experimental approach to insider trading and earnings management

    Economia Politica, Vol. 33, Núm. 3, pp. 379-402

2014

  1. Insider trading, earnings and stock based compensation: A view to speculation

    Advances in Intelligent Systems and Computing

  2. Semi-nonparametric VaR forecasts for hedge funds during the recent crisis

    Physica A: Statistical Mechanics and its Applications, Vol. 401, pp. 330-343

  3. VaR performance during the subprime and sovereign debt crises: An application to emerging markets

    Emerging Markets Review, Vol. 20, pp. 23-41

2012

  1. Estimating semi-nonparametric densities by the method of moments

    Studies in Fuzziness and Soft Computing

  2. Gram-Charlier densities: Maximum likelihood versus the method of moments

    Insurance: Mathematics and Economics, Vol. 51, Núm. 3, pp. 531-537

2011

  1. Multivariate semi-nonparametric distributions with dynamic conditional correlations

    International Journal of Forecasting, Vol. 27, Núm. 2, pp. 347-364

2010

  1. The snp-dcc model: a new methodology for risk management and forecasting

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]

2009

  1. Gram-charlier densities: A multivariate approach

    Quantitative Finance, Vol. 9, Núm. 7, pp. 855-868

2008

  1. Forecasting market crashes: Does density specification matter?

    Applied econometrics and international development, Vol. 8, Núm. 1, pp. 53-58

  2. Multivariate gram-charlier densities

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]

2006

  1. Corporate governance mechanisms and their impact on firm value

    Corporate Ownership and Control, Vol. 4, Núm. 1 A, pp. 25-36

2003

  1. Measuring the impact of corporate investment announcements on share prices: The Spanish experience

    Journal of Business Finance and Accounting, Vol. 30, Núm. 5-6, pp. 715-747

2002

  1. An investigation of insider trading profits in the Spanish stock market

    Quarterly Review of Economics and Finance, Vol. 42, Núm. 1, pp. 73-94

2000

  1. Análisis de la distribución subyacente del Índice General de la Bolsa de Madrid

    Revista europea de dirección y economía de la empresa, Vol. 9, Núm. 4, pp. 123-138