Semi-Nonparametric Distributions with Time-Varying Skewness and Kurtosis: Properties, Estimation and Applications to Portfolio Choice

Analytic moments of TGARCH(1,1) models with polynomially adjusted densities
Carnero, M.A., León, Á. and Ñíguez, T.M. 2024. Analytic moments of TGARCH(1,1) models with polynomially adjusted densities. Journal of Financial Econometrics. Advanced online publication. https://doi.org/10.1093/jjfinec/nbae019

Skewness in Energy Returns: Estimation, Testing and Implications for Tail Risk
Carnero, M.A., León, Á. and Ñíguez, T.M. 2024. Skewness in Energy Returns: Estimation, Testing and Implications for Tail Risk. Bayes Business School Commodity Insights Digest. Winter.

Selección de activos para construir carteras de inversión en base a su asimetría y curtosis
Carnero, M.A., León, Á. and Ñíguez, T.M. 2024. Selección de activos para construir carteras de inversión en base a su asimetría y curtosis. in: Predicción y Decisiones Económicas con BIG Data Madrid FUNCAS.

Skewness in energy returns: estimation, testing and implications for tail risk
Carnero, M.A., León, A. and Ñíguez, T.M. 2023. Skewness in energy returns: estimation, testing and implications for tail risk. Quarterly Review of Economics and Finance. 90, pp. 178-189. https://doi.org/10.1016/j.qref.2023.06.003

Polynomial adjusted Student-t densities for modeling asset returns
León, Á. and Ñíguez, T.M. 2022. Polynomial adjusted Student-t densities for modeling asset returns. The European Journal of Finance. 28 (9), pp. 907-929. https://doi.org/10.1080/1351847x.2021.1985561

Copula methods for evaluating relative tail forecasting performance
León, Á. and Ñíguez, T.-M. 2021. Copula methods for evaluating relative tail forecasting performance. Journal of Risk Finance. 22 (5), pp. 332-344. https://doi.org/10.1108/jrf-10-2020-0222

The transformed Gram Charlier distribution: Parametric properties and financial risk applications
León, Á. and Ñíguez, T.-M. 2021. The transformed Gram Charlier distribution: Parametric properties and financial risk applications. Journal of Empirical Finance. 63, pp. 323-349. https://doi.org/10.1016/j.jempfin.2021.07.004

Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda, León, Ángel and Ñíguez, Trino-Manuel 2021. Backtesting VaR under the COVID-19 sudden changes in volatility. Finance Research Letters. 43, p. 102024 102024. https://doi.org/10.1016/j.frl.2021.102024

Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies
Jiménez, I., Mora-Valencia, A., Ñíguez, T.M. and Perote, J. 2020. Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies. Mathematics. 8 (12) e2110. https://doi.org/10.3390/math8122110

Modeling asset returns under time-varying semi-nonparametric distributions
Leon, A. and Ñíguez, T.M. 2020. Modeling asset returns under time-varying semi-nonparametric distributions . Journal of Banking and Finance. 118, p. 105870 105870. https://doi.org/10.1016/j.jbankfin.2020.105870

Modeling Asset returns under Transformed Gram-Charlier
Leon, A. and Ñíguez, T.M. 2019. Modeling Asset returns under Transformed Gram-Charlier. Symposium of Economic Analysis - Spanish Economic Association. Alicante 18 - 21 Dec 2019

Flexible distribution functions, higher-order preferences and optimal portfolio allocation
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2019. Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Quantitative Finance. 19 (4), pp. 699-703. https://doi.org/10.1080/14697688.2018.1550264

Time-Varying Semi-Nonparametric Distribution and Portfolio Performance
León, Á. and Ñíguez, T.-M. 2018. Time-Varying Semi-Nonparametric Distribution and Portfolio Performance. Workshop in Quantitative Economics, University of Alicante. Alicante 30 May 2018 - 31 Jan 2019 https://doi.org/10.2139/ssrn.3217148

Moments expansion densities for quantifying financial risk
Ñíguez, T.M. and Perote, J. 2017. Moments expansion densities for quantifying financial risk. 15th INFINITI Conference on International Finance. Valencia, Spain. Jun 2017

Moments expansion densities for quantifying financial risk
Ñíguez, T.M. and Perote, J. 2017. Moments expansion densities for quantifying financial risk. North American Journal of Economics and Finance. 42, pp. 53-69. https://doi.org/10.1016/j.najef.2017.06.002

Multivariate Approximations to Portfolio Return Distribution
Mora-Valencia, A., Ñíguez, T.M. and Perote, J. 2017. Multivariate Approximations to Portfolio Return Distribution. Computational and Mathematical Organization Theory. 23 (3), pp. 347-361. https://doi.org/10.1007/s10588-016-9231-3

Pure higher-order effects in the portfolio choice model
Ñíguez, T.M., Paya, I. and Peel, D. 2016. Pure higher-order effects in the portfolio choice model. Finance Research Letters. 19, pp. 255-260. https://doi.org/10.1016/j.frl.2016.08.010

Exchange-Trade Funds Evaluation using Performance Measures Distribution
Leon, A., Ñíguez, T.M. and Perote, J. 2016. Exchange-Trade Funds Evaluation using Performance Measures Distribution. 36th International Symposium on Forecasting. Santander, Spain. Jun 2016

Multivariate moments expansion density: application of the dynamic equicorrelation model
Ñíguez, T.M. and Perote, J. 2016. Multivariate moments expansion density: application of the dynamic equicorrelation model. Bank of Spain Working Papers Series. 1602 1602.

Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model
Ñíguez, T.M. and Perote, J. 2016. Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model. Jounal of Banking & Finance. 72, p. S216–S232. https://doi.org/10.1016/j.jbankfin.2015.12.012

Evaluating monthly volatility forecasts using proxies at different frequencies
Ñíguez, T.M. 2016. Evaluating monthly volatility forecasts using proxies at different frequencies. Finance Research Letters. 17, pp. 41-47. https://doi.org/10.1016/j.frl.2016.01.008

The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model
Ñíguez, T.M. and Perote, J. 2015. The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. 35th International Symposium on Forecasting. Riverside, USA. Jun 2015

Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2015. Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation. Bank of Spain Working Paper Series. 1520 1520.

Higher-order moments in the theory of diversifying and portfolio composition
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2014. Higher-order moments in the theory of diversifying and portfolio composition. XXII Annual Symposium of the Society of Nonlinear Dynamics and Econometrics . New York, USA. Apr 2014

Higher-order Moments in the Theory of Diversification and Portfolio Composition
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2014. Higher-order Moments in the Theory of Diversification and Portfolio Composition. XV Conference on International Economics, Spanish Association of International Economics and Finance. Salamanca, Spain. May 2014

The Moments Expansion Density
Ñíguez, T.M. and Perote, J. 2014. The Moments Expansion Density. 10th BMRC-DEMS Conference. Brunel University, London, UK. May 2014

The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model
Ñíguez, T.M. and Perote, J. 2014. The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. Annual International Finance and Banking Conference, International Finance and Banking Society. Lisbon, Portugal. Jun 2014

Linking social media, intelligent agents and expert systems for formulating open innovation strategies for software development
Adetola, A., Li, Shuliang, Rieple, A. and Ñíguez, T.M. 2013. Linking social media, intelligent agents and expert systems for formulating open innovation strategies for software development. in: Mathematics and Computers in Contemporary Science (WSEAS proceedings of the 11th International Conference on E-Activities), Nanjing, China, 17th -19th November, 2013 WSEAS. pp. 234-240

Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions
Ñíguez, T.M. and Perote, J. 2012. Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions. Oxford Bulletin of Economics and Statistics. 74 (4), pp. 600-627. https://doi.org/10.1111/j.1468-0084.2011.00663.x

On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
Ñíguez, T.-M., Paya, I., Peel, D. and Perote, J. 2012. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty. Economics Letters. 115 (2), pp. 244-248. https://doi.org/10.1016/j.econlet.2011.12.049

An analysis of the decision for plunging using log-SNP distributed asset returns
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2012. An analysis of the decision for plunging using log-SNP distributed asset returns. Annual symposium of the society of nonlinear dynamics and econometrics. Istanbul, Turkey. April 5-6 2012

A new proposal for computing portfolio valueat-risk for semi-nonparametric distributions
Ñíguez, T.-M. and Perote, J. 2011. A new proposal for computing portfolio valueat-risk for semi-nonparametric distributions. International Journal of Mathematics and Computers in Simulation . 5 (2), pp. 85-92.

Are the high-order moments of the assets returns distribution forecastable?
Ñíguez, T.M. 2011. Are the high-order moments of the assets returns distribution forecastable? in: Business and Finance: Performance and Management Nova Science Publishers. pp. 199-218

Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2011. Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations. International Journal of Forecasting. 27 (2), pp. 347-364. https://doi.org/10.1016/j.ijforecast.2010.02.005

Multivariate distributions based on general moments expansions: evidence from exchange rates
Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. 4th workshop in risk management and insurance. Seville, Spain. October 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates
Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. European financial management association annual conference. Braga, Portugal. June 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates
Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. International risk management conference. Amsterdam, Netherlands. June 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates
Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. Workshop in time series econometrics. Zaragoza, Spain. April 2011

On the stability of the CRRA utility under high degrees of uncertainty
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2011. On the stability of the CRRA utility under high degrees of uncertainty. Lancaster University Management School.

Forecasting the unconditional and conditional kurtosis of the asset returns distribution
Ñíguez, T.M., Perote, J. and Rubia, A. 2010. Forecasting the unconditional and conditional kurtosis of the asset returns distribution. 30th International Symposium on Forecasting. San Diego, USA. June 2010

The SNP-DCC model: a new methodology for risk management and forecasting
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. The SNP-DCC model: a new methodology for risk management and forecasting. European financial management association annual conference. Aarhus, Denmark. June 2010

The SNP-DCC model: a new methodology for risk management and forecasting
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. The SNP-DCC model: a new methodology for risk management and forecasting. Fundación de las Cajas de Ahorros.

Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution
Ñíguez, T.M., Perote, J. and Rubia, A. 2009. Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution. in: Molnar A, T. (ed.) Economic Forecasting Nova Science Publishers. pp. 229-248

Estimating the Dynamics of Interest Rates in the Japanese Economy
Nowman, K.B. and Ñíguez, T.M. 2009. Estimating the Dynamics of Interest Rates in the Japanese Economy. Asia Pacific Journal of Economics and Business . 13 (1), pp. 18-30.

Gram-Charlier Densities: A Multivariate Approach
Del Brío E, B., Ñíguez, T.M. and Perote, J. 2009. Gram-Charlier Densities: A Multivariate Approach. Quantitative Finance. 9 (7), pp. 855-868. https://doi.org/10.1080/14697680902773611

Multivariate semi-nonparametric densities with dynamic conditional correlations
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2009. Multivariate semi-nonparametric densities with dynamic conditional correlations. 29th International Symposium on Forecasting. Hong Kong, China. June 2009

Volatility and VaR Forecasting in the Madrid Stock Exchange
Ñíguez, T.M. 2008. Volatility and VaR Forecasting in the Madrid Stock Exchange. Spanish Economic Review. 10 (3), pp. 169-196. https://doi.org/10.1007/s10108-007-9030-6

The general moments expansion and its applications for financial risk
Ñíguez, T.M. and Perote, J. 2008. The general moments expansion and its applications for financial risk. 2nd International Workshop on Computational and Financial Econometrics. Neuchâtel, Switzerland. June 2008

Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper
Ñíguez, T.M. 2008. Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper. Institute Flores de Lemus, Carlos III University of Madrid.

Multivariate Gram-Charlier densities
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2008. Multivariate Gram-Charlier densities. Savings Banks Foundation. https://doi.org/WorkingPaperNo.381

Semi-parametric density expansions: orthogonality vs simplicity
Ñíguez, T.M. and Perote, J. 2007. Semi-parametric density expansions: orthogonality vs simplicity. XXVII International Symposium on Forecasting. New York, NY, USA 24 - 27 Jun 2007

Estimating the dynamics of interest rates in the Japanese economy
Nowman, K.B. and Ñíguez, T.M. 2007. Estimating the dynamics of interest rates in the Japanese economy. Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics. Paris, France. Mar 2007

Multivariate Gram-Charlier densities
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. 1st International Workshop on Computational and Financial Econometrics. Geneva, Switzerland. Apr 2007

Multivariate Gram-Charlier densities
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. Annual Meeting of the Journal of Financial Econometrics. Faro, Portugal. Oct 2007

Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence
Ñíguez, T.M. and Rubia, A. 2006. Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence. Journal of Forecasting. 25 (6), pp. 439-458. https://doi.org/10.1002/for.997

Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion
Perote, J. and Ñíguez, T.M. 2006. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. XXVI International Symposium of Forecasting. Santander, Spain. Jun 2006

Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion
Perote, J. and Ñíguez, T.M. 2005. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. XIII Forum of Finance. Madrid, Spain. Nov 2005

Forecasting the density of asset returns
Ñíguez, T.M. and Perote, J. 2005. Forecasting the density of asset returns. Journal of Applied Econometrics Annual Conference: Changing Structures in International and Financial Markets and the Effects on Financial Decision Making. Venice, Italy. Jun 2005

Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions
Ñíguez, T.M. and Perote, J. 2005. Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions. XXX Symposium of the Economic Analysis. Murcia, Spain Dec 2005

Estimating the dynamics of interest rates in the Japanese economy
Ñíguez, T.M. and Nowman, K.B. 2005. Estimating the dynamics of interest rates in the Japanese economy. Westminster Business School Workshop in Memory of the Late Professor Albert Rex Bergstrom on Continuous Time Econometrics. London, UK. Dec 2005

Forecasting the density of asset returns
Ñíguez, T.M. and Perote, J. 2004. Forecasting the density of asset returns. London, UK London School of Economics and Political Science.

Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Ñíguez, T.M. and Rubia, A. 2003. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. Valencian Institute of Economic Research. https://doi.org/WP-AD2003-34

Volatility and VaR forecasting for the IBEX-35 stock-return index using Figarch-type processes and different evaluation criteria
Ñíguez, T.M. 2003. Volatility and VaR forecasting for the IBEX-35 stock-return index using Figarch-type processes and different evaluation criteria. Valencian Institute of Economic Research. https://doi.org/WP-AD2003-33

Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence
Ñíguez, T.M. and Rubia, A. 2002. Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence.

Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria
Ñíguez, T.M. 2002. Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria. XXVII Symposium of the Economic Analysis. Salamanca, Spain. Dec 2002

Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Ñíguez, T.M. 2002. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. XXVII Symposium of the Economic Analysis. Salamanca, Spain. Dec 2002