Publikationen, an denen er mitarbeitet LAURA GARCÍA JORCANO (16)

2024

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

    Expert Systems with Applications, Vol. 252

2023

  1. Gestion del riesgo de mercado: métodos avanzados para su cuantificación y control

    UNED - Universidad Nacional de Educación a Distancia

  2. 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

  3. Spillover effects between commodity and stock markets: A SDSES approach

    Resources Policy, Vol. 79

2021

  1. Riesgo sistémico, estabilidad financiera y gobernanza global

    El fortalecimiento de los Derechos de los ciudadanos en la Unión Europea (Tirant lo Blanch), pp. 295-318

  2. TrAffic LIght system for systemic Stress: TALIS3

    North American Journal of Economics and Finance, Vol. 57

  3. 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

  2. Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying

    Research in International Business and Finance, Vol. 54

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)

2017

  1. Efectos del tamaño muestral, la asimetria y el apalancamiento en la estimacion del valor en riesgo y de la perdida esperada

    Efectos del tamaño muestral, la asimetria y el apalancamiento en la estimacion del valor en riesgo y de la perdida esperada