Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2019. Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Quantitative Finance.
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
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
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.
Ñíguez, T.M. and Perote, J. 2016. Multivariate moments expansion density: application of the dynamic equicorrelation model. Bank of Spain Working Papers Series. 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.
Ñíguez, T.M. 2016. Evaluating monthly volatility forecasts using proxies at different frequencies. Finance Research Letters. 17, pp. 41-47.
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.
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.
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.
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.
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.
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
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.
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.
Ñíguez, T.M. 2008. Volatility and VaR Forecasting in the Madrid Stock Exchange. Spanish Economic Review. 10 (3), pp. 169-196.
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.