Publicaciones (30) Publicaciones de JUAN ÁNGEL JIMÉNEZ MARTÍN

2024

  1. ESG risk exposure: a tale of two tails

    Quantitative Finance, Vol. 24, Núm. 6, pp. 827-849

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

    Expert Systems with Applications, Vol. 252

  3. Measuring Climate Transition Risk Spillovers

    Review of Finance, Vol. 28, Núm. 2, pp. 447-481

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

2019

  1. Choosing expected shortfall over VaR in Basel III using stochastic dominance

    International Review of Economics and Finance, Vol. 60, pp. 95-113

  2. Revisiting the guns vs butter dilemma. Was Spain different in the implementation of public policies? Defence, growth and education

    Policy Studies, Vol. 40, Núm. 2, pp. 150-172

2017

  1. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

    PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON ECONOMICS, FINANCE AND STATISTICS (ICEFS 2017)

2015

  1. A stochastic dominance approach to financial risk management strategies

    Journal of Econometrics, Vol. 187, Núm. 2, pp. 472-485

2014

  1. Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises

    Journal of International Financial Markets, Institutions and Money, Vol. 31, Núm. 1, pp. 159-177

2013

  1. Currency hedging strategies using dynamic multivariate GARCH

    Mathematics and Computers in Simulation, Vol. 94, pp. 164-182

  2. GFC-robust risk management strategies under the Basel Accord

    International Review of Economics and Finance, Vol. 27, pp. 97-111

  3. GFC-robust risk management under the Basel Accord using extreme value methodologies

    Mathematics and Computers in Simulation, Vol. 94, pp. 223-237

  4. Has the Basel Accord improved risk management during the global financial crisis?

    North American Journal of Economics and Finance, Vol. 26, pp. 250-265

  5. International evidence on GFC-robust forecasts for risk management under the Basel Accord

    Journal of Forecasting, Vol. 32, Núm. 3, pp. 267-288

  6. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

    Mathematics and Computers in Simulation, Vol. 94, pp. 183-204

  7. The rise and fall of S&P500 variance futures

    North American Journal of Economics and Finance, Vol. 25, pp. 151-167

2011

  1. Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures

    Managerial Finance, Vol. 37, Núm. 11, pp. 1088-1106