Publicaciones en colaboración con investigadores/as de Universidad de Castilla-La Mancha (16)

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. Crossing boundaries beyond the investment grade: Induced trading by rating-contingent investment constraints

    Journal of Corporate Finance, Vol. 67

  2. TrAffic LIght system for systemic Stress: TALIS3

    North American Journal of Economics and Finance, Vol. 57

  3. 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. A term structure model under cyclical fluctuations in interest rates

    Documentos de Trabajo (ICAE)

  3. Backtesting Extreme Value Theory models of expected shortfall

    Documentos de Trabajo (ICAE)

  4. Backtesting extreme value theory models of expected shortfall

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

  5. Long-term swings and seasonality in energy markets

    European Journal of Operational Research, Vol. 279, Núm. 3, pp. 1011-1023

  6. Long-term swings and seasonality in energy markets

    Documentos de Trabajo (ICAE)

  7. Volatility specifications versus probability distributions in VaR forecasting

    Documentos de Trabajo (ICAE)

2018

  1. A term structure model under cyclical fluctuations in interest rates

    Economic Modelling, Vol. 72, pp. 140-150

2012

  1. Credit rating announcements, trading activity and yield spreads: The Spanish evidence

    International Journal of Monetary Economics and Finance, Vol. 5, Núm. 1, pp. 38-63