Publications in collaboration with researchers from Universidad de Castilla-La Mancha (10)

2021

  1. 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

    Documentos de Trabajo (ICAE)

  6. Long-term swings and seasonality in energy markets

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

  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