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
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
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
2017
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
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
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.
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
2019
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
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
2014
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
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
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
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
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
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
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 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
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
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
