Análisis cuantitativo de política económica: mercados financieros y efectos distributivos
Universidad de Castilla-La Mancha
Ciudad Real, EspañaPublications in collaboration with researchers from Universidad de Castilla-La Mancha (17)
2024
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Early warnings of systemic risk using one-minute high-frequency data
Expert Systems with Applications, Vol. 252
2023
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Tail sensitivity of stocks to carbon risk: a sectoral analysis
Journal of Credit Risk, Vol. 19, Núm. 4, pp. 23-57
2022
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Carbon dioxide risk exposure: Co2Risk
Climate Risk Management, Vol. 36
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Measuring systemic risk during the COVID-19 period: A TALIS3 approach
Finance Research Letters, Vol. 46
2021
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Crossing boundaries beyond the investment grade: Induced trading by rating-contingent investment constraints
Journal of Corporate Finance, Vol. 67
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TrAffic LIght system for systemic Stress: TALIS3
North American Journal of Economics and Finance, Vol. 57
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Volatility specifications versus probability distributions in VaR forecasting
Journal of Forecasting, Vol. 40, Núm. 2, pp. 189-212
2020
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A dominance approach for comparing the performance of VaR forecasting models
Computational Statistics, Vol. 35, Núm. 3, pp. 1411-1448
2019
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A dominance approach for comparing the performance of VaR forecasting models
Documentos de Trabajo (ICAE)
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A term structure model under cyclical fluctuations in interest rates
Documentos de Trabajo (ICAE)
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Backtesting Extreme Value Theory models of expected shortfall
Documentos de Trabajo (ICAE)
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Backtesting extreme value theory models of expected shortfall
Quantitative Finance, Vol. 19, Núm. 5, pp. 799-825
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Long-term swings and seasonality in energy markets
European Journal of Operational Research, Vol. 279, Núm. 3, pp. 1011-1023
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Long-term swings and seasonality in energy markets
Documentos de Trabajo (ICAE)
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Volatility specifications versus probability distributions in VaR forecasting
Documentos de Trabajo (ICAE)
2018
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A term structure model under cyclical fluctuations in interest rates
Economic Modelling, Vol. 72, pp. 140-150
2012
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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