Publicaciones en colaboración con investigadores/as de Kyoto University (7)

2013

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

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

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

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

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

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

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

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

  5. 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

  6. 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