Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda, León, Ángel, Ñíguez, Trino-Manuel
Published in Finance research letters (01.11.2021)
Published in Finance research letters (01.11.2021)
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Journal Article
Flexible distribution functions, higher-order preferences and optimal portfolio allocation
Ñíguez, Trino-Manuel, Paya, Ivan, Peel, David, Perote, Javier
Published in Quantitative finance (03.04.2019)
Published in Quantitative finance (03.04.2019)
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Journal Article
Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions
Ñíguez, Trino-Manuel, Perote, Javier
Published in Oxford bulletin of economics and statistics (01.08.2012)
Published in Oxford bulletin of economics and statistics (01.08.2012)
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Journal Article
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel, Perote, Javier
Published in The North American journal of economics and finance (01.11.2017)
Published in The North American journal of economics and finance (01.11.2017)
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Journal Article
Multivariate semi-nonparametric distributions with dynamic conditional correlations
Del Brio, Esther B., Ñíguez, Trino-Manuel, Perote, Javier
Published in International journal of forecasting (01.04.2011)
Published in International journal of forecasting (01.04.2011)
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Journal Article
Multivariate approximations to portfolio return distribution
Mora-Valencia, Andrés, Ñíguez, Trino-Manuel, Perote, Javier
Published in Computational and mathematical organization theory (01.09.2017)
Published in Computational and mathematical organization theory (01.09.2017)
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Journal Article
Gram-Charlier densities: a multivariate approach
Del Brio, Esther B., Ñíguez, Trino-Manuel, Perote, Javier
Published in Quantitative finance (01.10.2009)
Published in Quantitative finance (01.10.2009)
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Journal Article
On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
Ñíguez, Trino-Manuel, Paya, Ivan, Peel, David, Perote, Javier
Published in Economics letters (01.05.2012)
Published in Economics letters (01.05.2012)
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Journal Article
Skewness in energy returns: estimation, testing and implications for tail risk
Carnero, M. Angeles, León, Angel, Ñíguez, Trino-Manuel
Published in The Quarterly review of economics and finance (01.08.2023)
Published in The Quarterly review of economics and finance (01.08.2023)
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Journal Article