Publicaciones en colaboración con investigadores/as de Universidad de Los Andes (14)

2023

  1. Asymptotic Expansions for Market Risk Assessment: Evidence in Energy and Commodity Indices

    Contributions to Statistics, pp. 123-142

2020

  1. A comparison of the risk quantification in traditional and renewable energy markets

    Energies, Vol. 13, Núm. 11

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

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

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

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

  4. Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach

    North American Journal of Economics and Finance, Vol. 54

  5. Risk quantification and validation for Bitcoin

    Operations Research Letters, Vol. 48, Núm. 4, pp. 534-541

  6. 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. Moral hazard and default risk of SMEs with collateralized loans

    Finance Research Letters, Vol. 26, pp. 95-99

2017

  1. Measuring firm size distribution with semi-nonparametric densities

    Physica A: Statistical Mechanics and its Applications, Vol. 485, pp. 35-47

  2. Multivariate approximations to portfolio return distribution

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

  3. The Return Performance of Cubic Market Model: An Application to Emerging Markets

    Emerging Markets Finance and Trade, Vol. 53, Núm. 10, pp. 2233-2241

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

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

2016

  1. The productivity of top researchers: a semi-nonparametric approach

    Scientometrics, Vol. 109, Núm. 2, pp. 891-915