Centre for Finance and Financial Services

Moussa, T., Allam, A. and Elmarzouky, M. 2023. An examination of UK companies' modern slavery disclosure practices: Does board gender diversity matter? Business Strategy and The Environment. 32 (8), pp. 5382-5402. https://doi.org/10.1002/bse.3426

Mitra, S. 2022. A Real Options Approach To Measuring Freedom In Sen’s Capabilities Approach. International Journal of Sustainable Economy. 14 (1), pp. 98-110. https://doi.org/10.1504/IJSE.2022.119716

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

Benamraoui, A. 2021. The World Economy and Islamic Economics in the Time of COVID-19. Journal of King Abdulaziz University: Islamic Economics. 34 (1), pp. 67-78. https://doi.org/10.4197/Islec.34-1

Benamraoui, A. and Aljandali, A. 2020. FinTech Innovations: A Review of the Recent Developments and Prospects. Bancaria. 12, pp. 85-95.

Wen, J., Ahamed, M. and Gupta, N. 2019. Does board composition affect the gender pay gap? Economics Letters. 184 108624. https://doi.org/10.1016/j.econlet.2019.108624

Ferrara, G., Li, X. and Marszalec, D. 2019. Central counterparty auction design. Journal of Financial Market Infrastructures. 8 (2), pp. 47-58 2019.119. https://doi.org/10.21314/JFMI.2019.119

van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2019. The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk. 27th Edition of International Rome Conference on Money, Banking & Finance. Rome, Italy 10 - 11 Dec 2018

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

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

Ñíguez, T.M. and Leon, A 2018. Semi-Nonparametric Distributions with Time-Varying Skewness and Kurtosis: Properties, Estimation and Applications to Portfolio Choice. The 26th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics. Tokyo (Japan) 19 - 20 Mar 2018

Van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2018. The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk. 11th Edition of International Risk Management Conference (Risk Society). Paris, France 07 - 08 Jun 2018

Zhang, X. and Wen, J. 2016. The impacts of economic importance difference of a joint venture (JV) held by partners and partners' size difference on the extraction of rivalrous and non-rivalrous private benefits in a JV. International Review of Financial Analysis. 48 (C), pp. 46-54.

Bas, T., Elgammal, M.M., Gough, O., Shah, N.S. and van Dellen, S. 2016. Do financial distress and liquidity crises affect value and size premiums? Applied Economics. 48 (39), pp. 3734-3751. https://doi.org/10.1080/00036846.2016.1145345

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.

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

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

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

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.

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

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

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

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.

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

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

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

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.

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

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

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