Publications by the researcher in collaboration with ALFONSO SANTIAGO NOVALES CINCA (6)

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. Backtesting Extreme Value Theory models of expected shortfall

    Documentos de Trabajo (ICAE)

  3. Backtesting extreme value theory models of expected shortfall

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

  4. Volatility specifications versus probability distributions in VaR forecasting

    Documentos de Trabajo (ICAE)