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Finanzas de Mercado y Econometría Financiera
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Title
Author(s)
Sep-2021
The transformed Gram Charlier distribution: Parametric properties and financial risk applications
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
7-Oct-2021
Polynomial adjusted Student-t densities for modeling asset returns
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
Mar-2020
Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting
Acereda Serrano, Beatriz
;
León Valle, Ángel M.
;
Mora-López, Juan
18-Nov-2022
Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
Castillo, Brenda
;
León Valle, Ángel M.
;
Mora-López, Juan
Sep-2020
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
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Author
5
León Valle, Ángel M.
3
Ñíguez, Trino-Manuel
2
Mora-López, Juan
1
Acereda Serrano, Beatriz
1
Castillo, Brenda
.
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Backtesting
2
Kurtosis
2
Skewness
1
Conditional higher-order moments
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Cryptocurrencies
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Date issued
1
2022
2
2021
2
2020
Document type
5
Article
Language
5
English
Center, unit or service
5
Universidad de Alicante. Departam...