Centre for Finance and Financial Services

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

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

Flexible distribution functions, higher-order preferences and optimal portfolio allocation

Journal article

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2018. Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Quantitative Finance. Forthcoming.

The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk

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

Do financial distress and liquidity crises affect value and size premiums?

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.

Multivariate moments expansion density: application of the dynamic equicorrelation model

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.

Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model

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.

Evaluating monthly volatility forecasts using proxies at different frequencies

Article

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

The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model

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

Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation

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.

The Moments Expansion Density

Conference paper

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

Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions

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.

On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty

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.

A New Proposal for Computing Portfolio Value-at-Risk for Semi-nonparametric Distributions

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.

Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations

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.

Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution

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

Are the High-Order Moments of the Assets Returns Distribution Forecastable?

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.

Estimating the Dynamics of Interest Rates in the Japanese Economy

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.

Gram-Charlier Densities: A Multivariate Approach

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.

Volatility and VaR Forecasting in the Madrid Stock Exchange

Article

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

Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence

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.


People

Adami, Roberta

Senior Lecturer


Benamraoui, Abdelhafid

Principal Lecturer


Li, Xin

Lecturer


Mathew, Sudha

Assistant Head of School


Moussa, Tantawy

Senior Lecturer


Shah, Neeta

Senior Lecturer


Sudar, Petar

Principal Lecturer


Thapar, Harry

Head of School - Fin. & Acc.


Van Dellen, Stefan

Senior Lecturer


Vasileva, Kristina

Senior Lecturer