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Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 61
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Items
AccessPreviewIssue DateTitleAuthor(s)
Acceso abiertoMenkveld_etal_2024_JFinance.pdf.jpg17-Apr-2024Nonstandard ErrorsMenkveld, Albert J.; Dreber, Anna; Holzmeister, Felix, et al
Acceso abiertoCarmona_etal_2012_EuroJOperatRes_final.pdf.jpg20-Jun-2012Does stock return predictability affect ESO fair value?Carmona-Martínez, Julio; León Valle, Ángel M.; Vaello-Sebastià, Antoni
Acceso abiertoCarmona_etal_2011_JEconDynamContr_final.pdf.jpg13-Aug-2010Pricing executive stock optons under employment shocksCarmona-Martínez, Julio; León Valle, Ángel M.; Vaello-Sebastià, Antoni
Acceso abiertoCarmona_Leon_2007_FinanceResLett_final.pdf.jpg25-Sep-2007Investment option under CIR interest ratesCarmona-Martínez, Julio; León Valle, Ángel M.
Acceso restringidoCastillo-Brais_etal_2024_Communications-in-Statistics_final.pdf.jpg16-Jan-2024Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihoodCastillo, Brenda; León Valle, Ángel M.; Mora-López, Juan
Acceso abiertoMas-Ferrando_etal_2023_JDestinatMarketManag.pdf.jpg30-Nov-2023Has COVID-19 changed the factors explaining the occupancy of Airbnb accommodation? Madrid as a case studyMás-Ferrando, Adrián; Moreno-Izquierdo, Luis; Perles Ribes, José Francisco, et al
Acceso restringidoMoreno-Izquierdo_etal_2023_CurrIssTourism_final.pdf.jpg12-Nov-2023Evaluating machine learning techniques for predicting tourist occupancy: an experiment with pre- and post-pandemic COVID-19 dataMoreno-Izquierdo, Luis; Más-Ferrando, Adrián; Perles Ribes, José Francisco, et al
Acceso abiertoLeon_etal_2023_Forests.pdf.jpg27-Jun-2023Valuing Forestry Agronomic Potential under Seasonal Mean-Reverting PricesLeón Valle, Ángel M.; Marín, Eyda; Toscano, David
Acceso abiertoCarnero_etal_2023_QuartRevEconFinance.pdf.jpg17-Jun-2023Skewness in energy returns: Estimation, testing and implications for tail riskCarnero, M. Angeles; León Valle, Ángel M.; Ñíguez, Trino-Manuel
Acceso abiertoAbad_etal_2023_IntRevFinancialAnal.pdf.jpg3-Apr-2023Market-wide illiquidity and the distribution of non-parametric stochastic discount factorsAbad, David; Nieto, Belén; Pascual, Roberto, et al
Acceso abiertoCastillo-Brais_etal_2022_Mathematics.pdf.jpg18-Nov-2022Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?Castillo, Brenda; León Valle, Ángel M.; Mora-López, Juan
Acceso abiertoCarmona_Leon_2023_BullEconRes.pdf.jpg17-Oct-2022Pandemic effects in the Solow growth modelCarmona-Martínez, Julio; León Valle, Ángel M.
Acceso abiertoGonzalez-Urteaga_etal_2022_SERIEs.pdf.jpg6-Jun-2022Spillover dynamics effects between risk-neutral equity and Treasury volatilitiesGonzález-Urteaga, Ana; Nieto, Belén; Rubio Irigoyen, Gonzalo
Acceso abiertoNieto_Rubio_2022_JRiskFinancialManag.pdf.jpg3-Jan-2022The Effects of the COVID-19 Crisis on Risk Factors and Option-Implied Expected Market Risk Premia: An International PerspectiveNieto, Belén; Rubio Irigoyen, Gonzalo
Acceso abiertoLeon_Niguez_2021_JRiskFinance_final.pdf.jpg20-Sep-2021Copula methods for evaluating relative tail forecasting performanceLeón Valle, Ángel M.; Ñíguez, Trino-Manuel
Acceso abiertoCastillo_etal_2021_FinanceResLett_final.pdf.jpg18-Mar-2021Backtesting VaR under the COVID-19 sudden changes in volatilityCastillo, Brenda; León Valle, Ángel M.; Ñíguez, Trino-Manuel
Acceso abiertoLeon_Niguez_2022_EurJFinance.pdf.jpg7-Oct-2021Polynomial adjusted Student-t densities for modeling asset returnsLeón Valle, Ángel M.; Ñíguez, Trino-Manuel
Acceso restringidoLeon_Niguez_2021_JEmpiricalFinance_final.pdf.jpgSep-2021The transformed Gram Charlier distribution: Parametric properties and financial risk applicationsLeón Valle, Ángel M.; Ñíguez, Trino-Manuel
Acceso abiertoNieto_Rubio_2021_FinanceResLett_accepted.pdf.jpg30-May-2021The Risk Aversion and Uncertainty Channels between Finance and MacroeconomicsNieto, Belén; Rubio Irigoyen, Gonzalo
Acceso abiertoGonzalez-Urteaga_etal_2021_QuantitFinance_final.pdf.jpg2021Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factorsGonzález-Urteaga, Ana; Nieto, Belén; Rubio Irigoyen, Gonzalo
Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 61
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Recent Submissions

Nonstandard Errors

Does stock return predictability affect ESO fair value?

Pricing executive stock optons under employment shocks

Investment option under CIR interest rates

Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood

 

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