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Journal article

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2019. Flexible distribution functions, higher-order preferences and optimal portfolio allocation. *Quantitative Finance.*

Conference paper

Ñíguez, T.M. and Leon, A. 2018. Time-varying SNP distribution and portfolio performance. *Workshop in Quantitative Economics, University of Alicante.* Alicante 30 May 2018 - 31 Jan 2019

Conference item

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

Conference paper

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

Article

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.

Article

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

Article

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.

Article

Ñíguez, T.M. 2016. Evaluating monthly volatility forecasts using proxies at different frequencies. *Finance Research Letters.* 17, pp. 41-47.

Conference paper

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

Article

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.

Conference paper

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

Article

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.

Article

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2012. On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty. *Economics Letters .* 115 (2), pp. 244-248.

Article

Ñíguez, T.M. and Perote, J. 2011. A New Proposal for Computing Portfolio Value-at-Risk for Semi-nonparametric Distributions. *International Journal of Mathematics and Computers in Simulation .* 5 (2), pp. 85-92.

Article

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.

Book chapter

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

Article

Ñíguez, T.M., Perote, J. and Rubia, A. 2009. Are the High-Order Moments of the Assets Returns Distribution Forecastable? *Journal of Current Issues in Finance, Business and Economics.* 2 (4), pp. 383-401.

Article

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.

Article

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

Article

Ñíguez, T.M. 2008. Volatility and VaR Forecasting in the Madrid Stock Exchange. *Spanish Economic Review.* 10 (3), pp. 169-196.

Article

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.