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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
2020
Economic stress in non-poor Spanish households during the Great Recession
Ródenas, Carmen
;
Martí, Mónica
;
León Valle, Ángel M.
20-Sep-2021
Copula methods for evaluating relative tail forecasting performance
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
18-Mar-2021
Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda
;
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
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
17-Jun-2023
Skewness in energy returns: Estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
Sep-2020
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
27-Jun-2023
Valuing Forestry Agronomic Potential under Seasonal Mean-Reverting Prices
León Valle, Ángel M.
;
Marín, Eyda
;
Toscano, David
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Author
6
Ñíguez, Trino-Manuel
3
Castillo, Brenda
3
Mora-López, Juan
1
Acereda Serrano, Beatriz
1
Carmona-Martínez, Julio
.
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Backtesting
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Expected shortfall
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Kurtosis
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Skewness
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2024
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2023
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2022
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2021
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2020
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12
Article
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12
English
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12
Universidad de Alicante. Departam...
1
Universidad de Alicante. Departam...