Publicaciones en las que colabora con Trino-Manuel Ñíguez (14)

2020

  1. Portfolio risk assessment under dynamic (Equi)correlation and semi-nonparametric estimation: An application to cryptocurrencies

    Mathematics, Vol. 8, Núm. 12, pp. 1-24

2019

  1. Flexible distribution functions, higher-order preferences and optimal portfolio allocation

    Quantitative Finance, Vol. 19, Núm. 4, pp. 699-703

2017

  1. Moments expansion densities for quantifying financial risk

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

  2. Multivariate approximations to portfolio return distribution

    Computational and Mathematical Organization Theory, Vol. 23, Núm. 3, pp. 347-361

2016

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

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

  2. Multivariate moments expansion density: application of the dynamic equicorrelation model

    Documentos de trabajo - Banco de España

2015

  1. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

    Documentos de trabajo - Banco de España

2012

  1. Forecasting heavy-tailed densities with Positive Edgeworth and Gram-Charlier expansions

    Oxford Bulletin of Economics and Statistics, Vol. 74, Núm. 4, pp. 600-627

  2. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

    Economics Letters, Vol. 115, Núm. 2, pp. 244-248

2011

  1. A new proposal for computing portfolio valueat-risk for semi-nonparametric distributions

    International Journal of Mathematics and Computers in Simulation, Vol. 5, Núm. 2, pp. 85-92

  2. 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. Multivariate gram-charlier densities

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]