RELEVANT CONTRIBUTIONS IN JOURNALS
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Title: New bounds for tail risk measures
Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
Journals Finance Research Letters
Volume:
Pages: 1 - 8
Date: 2025
ISSN: 1544-6123
DOI: https://doi.org/10.1016/j.frl.2025.106888
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Title: Nonstandard Errors
Authors: Abad, D.
Journals Journal of Finance
Volume: 79
Pages: 2339 - 2390
Date: 2024
ISSN: 0022-1082
DOI: https://doi.org/10.1111/jofi.13337
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Title: Pandemic effects in the Solow growth model
Authors: Carmona, Julio; , Ángel León
Journals Bulletin of Economic Research
Volume: 75
Pages: 671 - 687
Date: 2023
ISSN: 0307-3378
DOI: http://dx.doi.org/10.1111/boer.12376
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Title: Skewness in energy returns: estimation, testing and implications for tail risk
Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
Journals Quarterly Review of Economics and Finance
Volume: 90
Pages: 178 - 189
Date: 2023
ISSN: 1062-9769
DOI: https://doi.org/10.1016/j.qref.2023.06.003
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Title: Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
Authors: Castillo-Brais, B; León Valle, Ángel; Mora, J.
Journals Mathematics
Volume: 10
Pages: 1 - 17
Date: 2022
ISSN: 2227-7390
DOI: htpps://doi.org/10.3390/math10224329
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Title: Pandemic Effects in the Solow Growth Model
Authors: , Julio Carmona-Martínez; León Valle, Ángel
Journals Bulletin of Economic Research
Volume:
Pages: -
Date: 2022
ISSN: 0307-3378
DOI: http://dx.doi.org/10.1111/boer.12376
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Title: Spillover dynamics effects between risk-neutral equity and Treasury volatilities
Authors: , Gonzalez-Urteaga, A.; Nieto, B.; Rubio, Gonzalo
Journals SERIEs: Journal of the Spanish Economic Association
Volume: 13
Pages: 663 - 708
Date: 2022
ISSN: 1869-4187
DOI: http://dx.doi.org/10.1007/s13209-022-00264-w
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Title: The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia: An international perspective
Authors: Nieto, B.; Rubio, Gonzalo
Journals Journal of Risk and Financial Management
Volume: 15
Pages: 13 -
Date: 2022
ISSN: 1911-8066
DOI: https://doi.org/10.3390/jrfm15010013
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Title: The risk aversion and uncertainty channels between finance and macroeconomics
Authors: Nieto, B.; , Rubio, G.
Journals Finance Research Letters
Volume: 45
Pages: 102188 -
Date: 2022
ISSN: 1544-6123
DOI: https://doi.org/10.1016/j.frl.2021.102188
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Title: Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
Authors: , Gonzalez-Urteaga, A.; Nieto, B.; , Rubio, G.
Journals Quantitative Finance
Volume: 21
Pages: 713 - 727
Date: 2021
ISSN: 1469-7688
DOI: https://doi.org/10.1080/14697688.2020.1813903
RELEVANT PUBLISHED BOOKS
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Title: Apuntes de Economía Financiera
Authors: Forner, C.; , FORNER; LEON VALLE, ANGEL MANUEL; , C. y León
Editorial: UNIVERSIDAD DE ALICANTE
Date: 2009
ISBN: 978-84-692-6083-8
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Title: Lecciones de finanzas corporativas: valoración de proyectos y empresas
Authors: , Abad, D.; Balboa, M.; RUBIA, A.
Editorial: Taller Digital de la Universidad de Alicante
Date: 2011
ISBN: 978-84-694-1635-8
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Title: Could investors obtain positive returns using security analysts` recommendations?
Authors: Gómez-Sala, J.C.; López, G.
Editorial: LAMBERT Academic Publishing
Date: 2009
ISBN: 9783838314808
RELEVANT PUBLISHED BOOK CHAPTERS
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Book chapter title: Selección de activos para construir carteras de inversión en base a su asimetría y curtosis
Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
Editorial: FUNCAS (Fundación de las Cajas de Ahorros)
Pages: 123 - 144
Date: 2024
ISBN:
Book title: Predicción y Decisiones Económicas con Big Data
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Book chapter title: Evaluación continua basada en prácticas individualizadas en el área de contabilidad/finanzas
Authors: Abad, D.; Iñiguez Sánchez, R.; Poveda Fuentes, F.
Editorial: Editorial Octaedro, S.L.
Pages: 304 - 304
Date: 2023
ISBN:
Book title: 2ND INTERNATIONAL CONGRESS: EDUCATION AND KNOWLEDGE
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Book chapter title: Evaluación continua en el área de contabilidad/finanzas
Authors: Abad, D.; Iñiguez Sánchez, R.; Poveda Fuentes, F.
Editorial: Editorial Octaedro, S.L.
Pages: 3 - 16
Date: 2023
ISBN:
Book title: Educación y sociedad: claves interdisciplinares
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Book chapter title: EVALUACIÓN CONTINUA BASADA EN PRÁCTICAS INDIVIDUALIZADAS EN EL ÁREA DE CONTABILIDAD/FINANZAS
Authors: Abad, D.; Iñiguez Sánchez, R.; Poveda Fuentes, F.
Editorial: Instituto de Ciencias de la Educación - Universidad de Alicante
Pages: 829 - 875
Date: 2022
ISBN:
Book title: Memorias del Programa de Redes de investigación en docencia universitaria. Convocatoria 2021-2022
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Book chapter title: Holding Back Volatility: Circuit Breakers, Price Limits,and Trading Halts
Authors: Abad, D.; , Pascual, R.
Editorial: John Wiley & Sons, Inc
Pages: 303 - 324
Date: 2013
ISBN:
Book title: Market Microstructure in Emerging and Developed Markets
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Book chapter title: Capital Structure Determinants in Growth Firms Accessing Venture Funding
Authors: Balboa, M.; , Marti, J; , Tresierra, A.
Editorial: Oxford University Press (Canada)
Pages: 328 - 353
Date: 2012
ISBN:
Book title: The Oxford Handbook of Venture Capital
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Book chapter title: El Papel del Capital Riesgo en la Reducción de la Restricción Financiera de las Pymes
Authors: Balboa, M.; , Ferrer, M.A.; , Marti, J
Editorial: Civitas
Pages: 83 - 111
Date: 2012
ISBN:
Book title: El Sector del Capital Riesgo y su Influencia Clave en la Recuperación de la Economía Española
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Book chapter title: Diseño de Materiales Docentes con Información Hipertextual y Formato Multimedia
Authors: Rodríguez, Mª J.; , Rodríguez-Jaume, M.J.; Provencio Garrigós, H.; , Mora Catalá, R.; , Muñoz-González, A.; , Jareño Ruiz, D.; Benito, F.; , Benito Chicote, F.; Reyes-Labarta, J.A.; , Provencio Garrigós, Lucía; , Rebellón Yohn, A.O.; , Sepulcre G
Editorial: ICE/Vicerrectorado de Estudios e Innovación Educativa, Universidad de Alicante
Pages: 2020 - 2039
Date: 2010
ISBN:
Book title: La comunidad universitaria: tarea investigadora ante la práctica docente
RUA: http://hdl.handle.net/10045/19884
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Book chapter title: The Value of Liquidity and Trading Activity in Forecasting Downside Risk
Authors: , Sachis-Marco, L.; RUBIA, A.
Editorial: Palgrave Macmillan
Pages: 194 - 234
Date: 2010
ISBN:
Book title: Funacial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measure
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Book chapter title: Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution
Authors: , Ñiguez, T. M.; , Perote, J.; RUBIA, A.
Editorial: Nova Publishers
Pages: 310 - 326
Date: 2009
ISBN:
Book title: Economic Forecasting
RELEVANT CONFERENCE PAPERS
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Title: Skewness and Kurtosis of Aggregated Financial Returns
Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
Type of participation:
Ponencia
Conference name: 18th International Joint Conference on Computational and Financial Econometrics (CFE) and Computational and Methodological Statistics (CMStatistics)
Event type: Internacional
City of performance: Londres
(REINO UNIDO (Gran Bretaña e Irlanda del Norte))
Date of performance: 14/12/2024
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Title: Optimal Trading Hours in Europe: Insights from Extended Overlaps
Authors: Abad, D.
Type of participation:
Ponencia
Conference name: XXXI Finance Forum AEFIN
Event type: Internacional
City of performance:
(ESPAÑA)
Date of performance: 04/07/2024
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Title: The Exposure of Treasury Bond Returns to Stock Market Returns: The Cases of the U.S. and Spain
Authors: Lafuente, Juan Ángel; Nieto, B.; Rubio, Gonzalo
Type of participation:
Ponencia
Conference name: XXXI Finance Forum
Event type: Internacional
City of performance: San Cristobal de la Laguna (SANTA CRUZ DE TENERIFE)
(ESPAÑA)
Date of performance: 04/07/2024
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Title: The Exposure of Treasury Bond Returns to Stock Market Returns: The Cases of the U.S. and Spain
Authors: Lafuente, Juan Ángel; Nieto, B.; Rubio, Gonzalo
Type of participation:
Ponencia invitada
Conference name: XI Meeting on International Economics
Event type: Internacional
City of performance: Castellon de la Plana/ Castelló de la Plana (CASTELLÓN/ CASTELLÓ)
(ESPAÑA)
Date of performance: 04/05/2023
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Title: Skewness in energy returns: estimation, testing and implications for tail risk
Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
Type of participation:
Ponencia
Conference name: The 6th Commodity Markets Winter Workshop
Event type: Internacional
City of performance:
(NORUEGA)
Date of performance: 08/03/2023
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Title: Skewness in energy returns: estimation, testing and implications for tail risk
Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
Type of participation:
Ponencia
Conference name: 47th Simposio de la Asociación Española de Economía-Spanish Economic Association (SAEe)
Event type: Internacional
City of performance: Valencia (VALENCIA/ VALÈNCIA)
(ESPAÑA)
Date of performance: 15/12/2022
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Title: Moments of TGARCH models with skewed innovations
Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
Type of participation:
Ponencia
Conference name: 42nd INTERNATIONAL SYMPOSIUM ON FORECASTING
Event type: Internacional
City of performance: Oxford
(REINO UNIDO (Gran Bretaña e Irlanda del Norte))
Date of performance: 10/07/2022
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Title: Illiquidity linkages between individual stocks and corporate bonds
Authors: Márquez de la Cruz, Elena; Martínez Cañete, Ana Rosa; Nieto, B.
Type of participation:
Ponencia
Conference name: 29th Finance Forum
Event type: Internacional
City of performance: Santiago de Compostela (A CORUÑA)
(ESPAÑA)
Date of performance: 07/07/2022
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Title: Illiquidity linkages between individual stocks and corporate bonds
Authors: Márquez de la Cruz, Elena; Martínez Cañete, Ana Rosa; Nieto, B.
Type of participation:
Ponencia
Conference name: ANNUAL EVENT OF FINANCE RESEARCH LETTERS 2022 CEMLA CONFERENCE
Event type: Internacional
City of performance: Mexico City
(MEXICO)
Date of performance: 21/04/2022
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Title: SOURCE OF MOMENTUM PROFITS: SLOW ADJUSTMENT TO EXPECTATIONAL ERRORS
Authors: Forner, C.
Type of participation:
Ponencia
Conference name: 3rd ECMCRC Workshop
Event type: Europeo
City of performance: DCU Business School, Dublin City University
(IRLANDA)
Date of performance: 05/07/2019