Juan Carlos Arismendi Zambrano : Citation Profile


Are you Juan Carlos Arismendi Zambrano?

University College Dublin (60% share)
Northwestern University (40% share)

3

H index

2

i10 index

44

Citations

RESEARCH PRODUCTION:

6

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   7 years (2013 - 2020). See details.
   Cites by year: 6
   Journals where Juan Carlos Arismendi Zambrano has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 3 (6.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/par392
   Updated: 2021-09-25    RAS profile: 2021-09-01    
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Relations with other researchers


Works with:

Broda, Simon (2)

Prokopczuk, Marcel (2)

Kimura, Herbert (2)

Ugolini, Andrea (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Juan Carlos Arismendi Zambrano.

Is cited by:

Prokopczuk, Marcel (4)

Vargiolu, Tiziano (3)

Novales, Alfonso (2)

Mu, Xiaoyi (1)

Broda, Simon (1)

Anghel, Dan Gabriel (1)

Riani, Marco (1)

Nikitopoulos-Sklibosios, Christina (1)

Chen, Yu-Fu (1)

Seiler, Volker (1)

Inekwe, John (1)

Cites to:

Jagannathan, Ravi (9)

Zhou, Hao (6)

Lo, Andrew (6)

merton, robert (5)

Rompolis, Leonidas (5)

Jarrow, Robert (5)

Fama, Eugene (4)

Zhou, Guofu (4)

Li, Minqiang (4)

Almeida, Caio (4)

Flood, Mark (4)

Main data


Where Juan Carlos Arismendi Zambrano has published?


Working Papers Series with more than one paper published# docs
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth5
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading5

Recent works citing Juan Carlos Arismendi Zambrano (2021 and 2020)


YearTitle of citing document
2020The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Kh, Anna ; Schmeck, Maren D ; Kemper, Annika. In: Papers. RePEc:arx:papers:2002.07561.

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2021Extending the Heston Model to Forecast Motor Vehicle Collision Rates. (2021). Shannon, Darren ; Fountas, Grigorios. In: Papers. RePEc:arx:papers:2104.11461.

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2020The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Mitzel, Norbert W ; Gronde, Ingo. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:635.

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2020Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield. (2020). Wu, Zhijian ; Ma, Chaoqun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302496.

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2020Loss aversion and market crashes. (2020). Ouzan, Samuel. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:70-86.

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2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

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2021Orthant-based variance decomposition in investment portfolios. (2021). Giner, Javier. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:497-511.

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2020Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

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2021Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2021). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303467.

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2020The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

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2020Curve momentum. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Paschke, Raphael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619302912.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2021Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models. (2021). Anghel, Dan Gabriel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000716.

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2020On moments of doubly truncated multivariate normal mean–variance mixture distributions with application to multivariate tail conditional expectation. (2020). Balakrishnan, Narayanaswamy ; Roozegar, Roohollah ; Jamalizadeh, Ahad. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:177:y:2020:i:c:s0047259x19304087.

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2021A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation. (2021). Ogasawara, Haruhiko. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x21000075.

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2021Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167.

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2020Multivariate cumulants in outlier detection for financial data analysis. (2020). Domino, Krzysztof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:558:y:2020:i:c:s0378437120305197.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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2021Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413.

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2020Inference in the Growth Curve Model under Multivariate Skew Normal Distribution. (2020). Jana, Sayantee ; Hamid, Jemila S ; Balakrishnan, Narayanaswamy. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:82:y:2020:i:1:d:10.1007_s13571-018-0174-1.

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2020Systemic Banking Crises: The Relationship Between Concentration and Interbank Connections.. (2020). Calef, Andrea. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2019_06.

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Works by Juan Carlos Arismendi Zambrano:


YearTitleTypeCited
2016The profitability of moving average trading rules in BRICS and emerging stock markets In: The North American Journal of Economics and Finance.
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article3
2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network In: Emerging Markets Review.
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article4
2016Validation of default probability models: A stress testing approach In: International Review of Financial Analysis.
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article1
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
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article19
2013Multivariate truncated moments In: Journal of Multivariate Analysis.
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article10
2020Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery In: CAMA Working Papers.
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paper0
2020On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗ In: Economics Department Working Paper Series.
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paper0
2020Implicit Entropic Market Risk-Premium from Interest Rate Derivatives In: Economics Department Working Paper Series.
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paper0
Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations In: Economics Department Working Paper Series.
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2020Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach In: Economics Department Working Paper Series.
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paper0
2020The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing In: Economics Department Working Paper Series.
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2014A Multi-Asset Option Approximation for General Stochastic Processes In: ICMA Centre Discussion Papers in Finance.
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2014An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options In: ICMA Centre Discussion Papers in Finance.
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2014Monte Carlo Approximate Tensor Moment Simulations In: ICMA Centre Discussion Papers in Finance.
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paper3
2016Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System In: ICMA Centre Discussion Papers in Finance.
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paper1
2016Multivariate Elliptical Truncated Moments In: ICMA Centre Discussion Papers in Finance.
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paper3
2016A moment-based analytic approximation of the risk-neutral density of American options In: Applied Mathematical Finance.
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article0
2019Higher-Order Tail Moments in Asset-Pricing Theory In: World Scientific Book Chapters.
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chapter0

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