Browsing by Author León Valle, Ángel M.

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Open accessCastillo_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
Open accessLeon_Niguez_2021_JRiskFinance_final.pdf.jpg20-Sep-2021Copula methods for evaluating relative tail forecasting performanceLeón Valle, Ángel M.; Ñíguez, Trino-Manuel
Open accessCarmona_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
Open access2020_Rodenas_etal_AppliedEconomicAnalysis.pdf.jpg2020Economic stress in non-poor Spanish households during the Great RecessionRódenas, Carmen; Martí, Mónica; León Valle, Ángel M.
Restricted accessCastillo-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
Open accessAcereda_etal_2020_FinanceResLett_final.pdf.jpgMar-2020Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtestingAcereda Serrano, Beatriz; León Valle, Ángel M.; Mora-López, Juan
Open accessCastillo-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
Open accessCarmona_Leon_2007_FinanceResLett_final.pdf.jpg25-Sep-2007Investment option under CIR interest ratesCarmona-Martínez, Julio; León Valle, Ángel M.
Open accessLeon_etal_2020_JBanking&Finance_final.pdf.jpgSep-2020Modeling asset returns under time-varying semi-nonparametric distributionsLeón Valle, Ángel M.; Ñíguez, Trino-Manuel
Open access2017_Rodenas_etal_InvEcon.pdf.jpg2017A new pattern in international mobility? The case of Spain in the Great CrisisRódenas, Carmen; Martí, Mónica; León Valle, Ángel M.
Open access2018_Leon_etal_Aestimatio.pdf.jpg2018On multicollinearity and the value of the shape parameter in the term structure Nelson-Siegel modelLeón Valle, Ángel M.; Rubia, Antonio; Sanchis-Marco, Lidia
Open access2017_Leon_Moreno_JBankingFinance_final.pdf.jpgJan-2017One-sided performance measures under Gram-Charlier distributionsLeón Valle, Ángel M.; Moreno, Manuel
Open accessCarmona_Leon_2023_BullEconRes.pdf.jpg17-Oct-2022Pandemic effects in the Solow growth modelCarmona-Martínez, Julio; León Valle, Ángel M.
Open accessLeon_Niguez_2022_EurJFinance.pdf.jpg7-Oct-2021Polynomial adjusted Student-t densities for modeling asset returnsLeón Valle, Ángel M.; Ñíguez, Trino-Manuel
Open accessCarmona_etal_2011_JEconDynamContr_final.pdf.jpg13-Aug-2010Pricing executive stock optons under employment shocksCarmona-Martínez, Julio; León Valle, Ángel M.; Vaello-Sebastià, Antoni
Open accessLeon-Valle-Angel.pdf.jpg1998Procesos estocásticos en tiempo continuo y aplicaciones a los activos financieros derivadosLeón Valle, Ángel M.
Open access2019_Leon_etal_NorthAmerJEconFinance_final.pdf.jpgApr-2019Screening rules and portfolio performanceLeón Valle, Ángel M.; Navarro, Lluís; Nieto, Belén
Open accessCarnero_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
Restricted accessLeon_Niguez_2021_JEmpiricalFinance_final.pdf.jpgSep-2021The transformed Gram Charlier distribution: Parametric properties and financial risk applicationsLeón Valle, Ángel M.; Ñíguez, Trino-Manuel
Open accessLeon_etal_2023_Forests.pdf.jpg27-Jun-2023Valuing Forestry Agronomic Potential under Seasonal Mean-Reverting PricesLeón Valle, Ángel M.; Marín, Eyda; Toscano, David