Javier
Perote Peña
Catedrático de Universidad
Esther Basilia del
Brío González
Catedrática de Universidad
Publicaciones en las que colabora con Esther Basilia del Brío González (20)
2020
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Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall
International Review of Financial Analysis, Vol. 70
2019
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Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
European Journal of Finance, Vol. 25, Núm. 17, pp. 1746-1764
2018
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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
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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
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The kidnapping of Europe: High-order moments' transmission between developed and emerging markets
Emerging Markets Review, Vol. 31, pp. 96-115
2016
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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
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Insider trading, earnings and stock based compensation: A view to speculation
Advances in Intelligent Systems and Computing
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Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
Physica A: Statistical Mechanics and its Applications, Vol. 401, pp. 330-343
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VaR performance during the subprime and sovereign debt crises: An application to emerging markets
Emerging Markets Review, Vol. 20, pp. 23-41
2012
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Estimating semi-nonparametric densities by the method of moments
Studies in Fuzziness and Soft Computing
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Gram-Charlier densities: Maximum likelihood versus the method of moments
Insurance: Mathematics and Economics, Vol. 51, Núm. 3, pp. 531-537
2011
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Multivariate semi-nonparametric distributions with dynamic conditional correlations
International Journal of Forecasting, Vol. 27, Núm. 2, pp. 347-364
2010
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The snp-dcc model: a new methodology for risk management and forecasting
Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]
2009
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Gram-charlier densities: A multivariate approach
Quantitative Finance, Vol. 9, Núm. 7, pp. 855-868
2008
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Forecasting market crashes: Does density specification matter?
Applied econometrics and international development, Vol. 8, Núm. 1, pp. 53-58
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Multivariate gram-charlier densities
Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]
2006
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Corporate governance mechanisms and their impact on firm value
Corporate Ownership and Control, Vol. 4, Núm. 1 A, pp. 25-36
2003
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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
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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
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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