Publicaciones en las que colabora con LAURA GARCÍA JORCANO (11)

2024

  1. Early warnings of systemic risk using one-minute high-frequency data

    Expert Systems with Applications, Vol. 252

2023

  1. Tail sensitivity of stocks to carbon risk: a sectoral analysis

    Journal of Credit Risk, Vol. 19, Núm. 4, pp. 23-57

2022

  1. Carbon dioxide risk exposure: Co2Risk

    Climate Risk Management, Vol. 36

  2. Measuring systemic risk during the COVID-19 period: A TALIS3 approach

    Finance Research Letters, Vol. 46

2021

  1. TrAffic LIght system for systemic Stress: TALIS3

    North American Journal of Economics and Finance, Vol. 57

  2. Volatility specifications versus probability distributions in VaR forecasting

    Journal of Forecasting, Vol. 40, Núm. 2, pp. 189-212

2020

  1. A dominance approach for comparing the performance of VaR forecasting models

    Computational Statistics, Vol. 35, Núm. 3, pp. 1411-1448

2019

  1. A dominance approach for comparing the performance of VaR forecasting models

    Documentos de Trabajo (ICAE)

  2. Backtesting Extreme Value Theory models of expected shortfall

    Documentos de Trabajo (ICAE)

  3. Backtesting extreme value theory models of expected shortfall

    Quantitative Finance, Vol. 19, Núm. 5, pp. 799-825

  4. Volatility specifications versus probability distributions in VaR forecasting

    Documentos de Trabajo (ICAE)