Publications (82)

2023

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

    Contributions to Statistics, pp. 123-142

  2. How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis

    Finance Research Letters, Vol. 53

  3. Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model

    Emerging Markets Review, Vol. 56

  4. Prudential regulation and bank solvency based on flexible distributions: An example for evaluating the impact of monetary policy

    World Economy, Vol. 46, Núm. 9, pp. 2780-2807

  5. The impact of the El Niño phenomenon on electricity prices in hydrologic-based production systems: A switching regime semi-nonparametric approach

    Energy Science and Engineering

  6. Volatility transmission dynamics between energy and financial indices of emerging markets: a comparison between the subprime crisis and the COVID-19 pandemic

    International Journal of Emerging Markets

2022

  1. Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies

    Risk Management, Vol. 24, Núm. 1, pp. 81-99

  2. Financial contagion drivers during recent global crises

    Economic Modelling, Vol. 117

  3. Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?

    Finance Research Letters, Vol. 49

  4. Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns

    Engineering Economist, Vol. 67, Núm. 3, pp. 218-233

  5. Moral hazard index for credit risk to SMEs

    International Economics, Vol. 172, pp. 311-323

  6. Semi-nonparametric risk assessment with cryptocurrencies

    Research in International Business and Finance, Vol. 59

  7. The impact of economic policy uncertainty and monetary policy on R&D investment: An option pricing approach

    Economics Letters, Vol. 214

2021

  1. Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures

    International Journal of Finance and Economics, Vol. 26, Núm. 3, pp. 4163-4189

  2. Firm size and economic concentration: An analysis from a lognormal expansion

    PLoS ONE, Vol. 16, Núm. 7 July

  3. Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts

    Energies, Vol. 14, Núm. 11

  4. Monetary policy and corporate investment: A panel-data analysis of transmission mechanisms in contexts of high uncertainty

    International Review of Economics and Finance, Vol. 75, pp. 609-624

2020

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

    Energies, Vol. 13, Núm. 11

  2. Determinants of the public debt in the Eurozone and its sustainability amid the Covid-19 pandemic

    Sustainability (Switzerland), Vol. 12, Núm. 16

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

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