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Bernardo León-Camacho, Andrés Mora-Valencia & Javier Perote. (2022) Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns. The Engineering Economist 67:3, pages 218-233.
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Ángel León & Trino-Manuel Ñíguez. (2022) Polynomial adjusted Student-t densities for modeling asset returns. The European Journal of Finance 28:9, pages 907-929.
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Esther B. Del Brio, Trino-Manuel Ñíguez & Javier Perote. (2009) Gram–Charlier densities: a multivariate approach. Quantitative Finance 9:7, pages 855-868.
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Ignacio Mauleón. (2006) Modelling multivariate moments in European Stock Markets. The European Journal of Finance 12:3, pages 241-263.
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Articles from other publishers (43)
Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2023) Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. Emerging Markets Review 56, pages 101054.
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Wei Lin, Kangli Shen & Jin E. Zhang. (2023) Further exploration into the valid regions of Gram–Charlier densities. Journal of Computational and Applied Mathematics 429, pages 115231.
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Juan F. Rendón, Lina M. Cortés & Javier Perote. (2023) Prudential regulation and bank solvency based on flexible distributions: An example for evaluating the impact of monetary policy. The World Economy.
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Alfredo Trespalacios, Lina M. Cortés & Javier Perote. (2023) The impact of the El Niño phenomenon on electricity prices in hydrologic‐based production systems: A switching regime semi‐nonparametric approach. Energy Science & Engineering 11:5, pages 1564-1578.
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Daniel Velásquez-Gaviria, Andrés Mora-Valencia & Javier Perote. 2023. Theory and Applications of Time Series Analysis and Forecasting. Theory and Applications of Time Series Analysis and Forecasting
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Arief Hakim, A. N. M. Salman, Yeva Ashari & Khreshna Syuhada. (2022) Modifying (M)CoVaR and constructing tail risk networks through analytic higher-order moments: Evidence from the global forex markets. PLOS ONE 17:11, pages e0277756.
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Brenda Castillo-Brais, Ángel León & Juan Mora. (2022) Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?. Mathematics 10:22, pages 4329.
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Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2022) Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?. Finance Research Letters 49, pages 103105.
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Wei Lin & Jin E. Zhang. (2022) The valid regions of Gram–Charlier densities with high-order cumulants. Journal of Computational and Applied Mathematics 407, pages 113945.
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Ignacio Mauleón. (2022) Contributions to Risk Assessment with Edgeworth–Sargan Density Expansions (I): Stability Testing. Mathematics 10:7, pages 1074.
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Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2021) Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. Risk Management 24:1, pages 81-99.
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Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2022) Semi-nonparametric risk assessment with cryptocurrencies. Research in International Business and Finance 59, pages 101567.
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Lina M. Cortés, Juan M. Lozada & Javier Perote. (2021) Firm size and economic concentration: An analysis from a lognormal expansion. PLOS ONE 16:7, pages e0254487.
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Enrique Molina‐Muñoz, Andrés Mora‐Valencia & Javier Perote. (2020)
Backtesting expected shortfall for world stock index
ETFs
with extreme value theory and
Gram–Charlier
mixtures
. International Journal of Finance & Economics 26:3, pages 4163-4189.
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Alfredo Trespalacios, Lina M. Cortés & Javier Perote. (2021) Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts. Energies 14:11, pages 3345.
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Esther B. Del Brio, Andrés Mora-Valencia & Javier Perote. (2020) Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. International Review of Financial Analysis 70, pages 101163.
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Alfredo Trespalacios, Lina M. Cortés & Javier Perote. (2020) Uncertainty in electricity markets from a semi-nonparametric approach. Energy Policy 137, pages 111091.
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Lina M. Cortés, Andrés Mora-Valencia & Javier Perote. (2017) Measuring firm size distribution with semi-nonparametric densities. Physica A: Statistical Mechanics and its Applications 485, pages 35-47.
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Trino-Manuel Ñíguez & Javier Perote. (2017) Moments expansion densities for quantifying financial risk. The North American Journal of Economics and Finance 42, pages 53-69.
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Andrés Mora-Valencia, Trino-Manuel Ñíguez & Javier Perote. (2016) Multivariate approximations to portfolio return distribution. Computational and Mathematical Organization Theory 23:3, pages 347-361.
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Esther B. Del Brio, Andrés Mora-Valencia & Javier Perote. (2017) The kidnapping of Europe: High-order moments' transmission between developed and emerging markets. Emerging Markets Review 31, pages 96-115.
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C J Adcock & N Meade. (2017) Using parametric classification trees for model selection with applications to financial risk management. European Journal of Operational Research 259:2, pages 746-765.
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Trino-Manuel Ñíguez & Javier Perote. (2016) Multivariate moments expansion density: Application of the dynamic equicorrelation model. Journal of Banking & Finance 72, pages S216-S232.
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Lina M. Cortés, Andrés Mora-Valencia & Javier Perote. (2016) The productivity of top researchers: a semi-nonparametric approach. Scientometrics 109:2, pages 891-915.
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Esther B. Del Brio, Andrés Mora-Valencia & Javier Perote. (2014) VaR performance during the subprime and sovereign debt crises: An application to emerging markets. Emerging Markets Review 20, pages 23-41.
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Esther B. Del Brio, Andrés Mora-Valencia & Javier Perote. (2014) Semi-nonparametric VaR forecasts for hedge funds during the recent crisis. Physica A: Statistical Mechanics and its Applications 401, pages 330-343.
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Esther B. Del Brio & Javier Perote. (2012) Gram–Charlier densities: Maximum likelihood versus the method of moments. Insurance: Mathematics and Economics 51:3, pages 531-537.
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Trino‐Manuel Ñíguez & Javier Perote. (2011) Forecasting Heavy‐Tailed Densities with Positive Edgeworth and Gram‐Charlier Expansions*. Oxford Bulletin of Economics and Statistics 74:4, pages 600-627.
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Trino-Manuel Ñíguez, Ivan Paya, David Peel & Javier Perote. (2012) On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty. Economics Letters 115:2, pages 244-248.
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Esther B. del Brío & Javier Perote. 2012. Soft Computing in Management and Business Economics. Soft Computing in Management and Business Economics
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Arnold Polanski & Evarist Stoja. (2011) Dynamic density forecasts for multivariate asset returns. Journal of Forecasting 30:6, pages 523-540.
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Sirichai Chongchitnan & Joseph Silk. (2011) Scale-dependent bias from the reconstruction of non-Gaussian distributions. Physical Review D 83:8.
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Esther B. Del Brio, Trino-Manuel Ñíguez & Javier Perote. (2011) Multivariate semi-nonparametric distributions with dynamic conditional correlations. International Journal of Forecasting 27:2, pages 347-364.
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Ignacio Mauleón. (2010) Assessing the value of Hermite densities for predictive distributions. Journal of Forecasting 29:8, pages 689-714.
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Nigel Meade. (2010) Oil prices — Brownian motion or mean reversion? A study using a one year ahead density forecast criterion. Energy Economics 32:6, pages 1485-1498.
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Yong Bao, Tae‐Hwy Lee & Burak Saltoğlu. (2007) Comparing density forecast models. Journal of Forecasting 26:3, pages 203-225.
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Ignacio Mauleón. (2003) Financial densities in emerging markets: an application of the multivariate ES density. Emerging Markets Review 4:2, pages 197-223.
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Javier Perote & Esther Del Brio. (2005) Positive Definiteness of Multivariate Densities Based on Hermite Polynomials. SSRN Electronic Journal.
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Lina Cortes, Juan M. Lozada & Javier Perote. (2019) Firm Size and Concentration Inequality: A Flexible Extension of Gibrat’s Law. SSRN Electronic Journal.
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Emmanuel Jurczenko, Bertrand B. Maillet & Bogdan Negrea. (2002) Multi-Moment Approximate Option Pricing Models: A General Comparison (Part 1). SSRN Electronic Journal.
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Javier Perote & Esther del Brío. (2002) Measuring Value at Risk of Portfolios under the Edgeworth-Sargan Distribution. SSRN Electronic Journal.
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Lina M. Cortes & Javier Perote. (2017) Measuring Firm Size Distribution with Semi-Nonparametric Densities. SSRN Electronic Journal.
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Mauleon Torres Ignacio & Javier Perote. (2000) The Ability of Multivariate Edgeworth-Sargan Density Capturing Financial Data Behaviour. SSRN Electronic Journal.
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