Publikationen (87) Publikationen von Javier Perote Peña

2024

  1. Basel III countercyclical bank capital buffer estimation and its relation to monetary policy

    Journal of Economics and Business

  2. Beneath the surface: The asymmetric effects of unconventional monetary policy on corporate investment

    Finance Research Letters, Vol. 61

  3. Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers

    International Review of Economics and Finance, Vol. 92, pp. 302-315

  4. Managerial capture of sustainability assurance. Empirical evidence and capital market reactions

    Sustainability Accounting, Management and Policy Journal, Vol. 15, Núm. 2, pp. 520-546

  5. Real Options Volatility Surface for Valuing Renewable Energy Projects

    Energies, Vol. 17, Núm. 5

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