Javier
Perote Peña
Catedrático de Universidad
![Foto de Trino-Manuel](/img/nophoto.png)
Trino-Manuel
Ñíguez
Publicacions en què col·labora amb Trino-Manuel Ñíguez (14)
2020
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Portfolio risk assessment under dynamic (Equi)correlation and semi-nonparametric estimation: An application to cryptocurrencies
Mathematics, Vol. 8, Núm. 12, pp. 1-24
2019
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Flexible distribution functions, higher-order preferences and optimal portfolio allocation
Quantitative Finance, Vol. 19, Núm. 4, pp. 699-703
2017
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Moments expansion densities for quantifying financial risk
North American Journal of Economics and Finance, Vol. 42, pp. 53-69
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Multivariate approximations to portfolio return distribution
Computational and Mathematical Organization Theory, Vol. 23, Núm. 3, pp. 347-361
2016
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Multivariate moments expansion density: Application of the dynamic equicorrelation model
Journal of Banking and Finance, Vol. 72, pp. S216-S232
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Multivariate moments expansion density: application of the dynamic equicorrelation model
Documentos de trabajo - Banco de España
2015
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Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
Documentos de trabajo - Banco de España
2012
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Forecasting heavy-tailed densities with Positive Edgeworth and Gram-Charlier expansions
Oxford Bulletin of Economics and Statistics, Vol. 74, Núm. 4, pp. 600-627
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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
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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
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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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Multivariate gram-charlier densities
Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]