Trino-Manuel Ñíguez : Citation Profile


Are you Trino-Manuel Ñíguez?

University of Westminster

4

H index

2

i10 index

45

Citations

RESEARCH PRODUCTION:

7

Articles

9

Papers

RESEARCH ACTIVITY:

   14 years (2003 - 2017). See details.
   Cites by year: 3
   Journals where Trino-Manuel Ñíguez has often published
   Relations with other researchers
   Recent citing documents: 4.    Total self citations: 4 (8.16 %)

EXPERT IN:

   Specific Distributions
   Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
   Model Evaluation, Validation, and Selection
   Forecasting and Prediction Methods; Simulation Methods
   Criteria for Decision-Making under Risk and Uncertainty

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu249
   Updated: 2021-03-01    RAS profile: 2017-08-23    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Perote, Javier (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Trino-Manuel Ñíguez.

Is cited by:

Perote, Javier (21)

Mora-Valencia, Andrés (9)

DEL BRIO, ESTHER (7)

Cortés, Lina (5)

Georgescu, Irina (4)

Zagaglia, Paolo (3)

Liu, Zhuoshi (3)

Gabrielsen, Alexandros (3)

Trespalacios, Alfredo (2)

Conrad, Christian (2)

Golosnoy, Vasyl (1)

Cites to:

Perote, Javier (20)

Bollerslev, Tim (19)

Engle, Robert (16)

Diebold, Francis (13)

Sentana, Enrique (11)

Granger, Clive (9)

Jondeau, Eric (8)

Rockinger, Michael (8)

Gallant, A. (8)

Tay, Anthony S (8)

McDonald, James (6)

Main data


Where Trino-Manuel Ñíguez has published?


Working Papers Series with more than one paper published# docs
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)2
Working Papers / Banco de Espaa2
Working Papers / Lancaster University Management School, Economics Department2

Recent works citing Trino-Manuel Ñíguez (2021 and 2020)


YearTitle of citing document
2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

Full description at Econpapers || Download paper

2020Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts. (2020). Trespalacios, Alfredo ; Perote, Javier ; Cortes, Lina M. In: Documentos de Trabajo CIEF. RePEc:col:000122:018186.

Full description at Econpapers || Download paper

2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801.

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2020Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions. (2020). Barbieri, Laura ; Vacca, Gianmarco ; Zoia, Maria Grazia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:123-:d:445689.

Full description at Econpapers || Download paper

Works by Trino-Manuel Ñíguez:


YearTitleTypeCited
2015Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers.
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paper0
2016Multivariate moments expansion density: application of the dynamic equicorrelation model In: Working Papers.
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paper7
2016Multivariate moments expansion density: Application of the dynamic equicorrelation model.(2016) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 7
article
2004Forecasting the density of asset returns In: STICERD - Econometrics Paper Series.
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paper2
2004Forecasting the density of asset returns.(2004) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 2
paper
2016Pure higher-order effects in the portfolio choice model In: Finance Research Letters.
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article4
2011Multivariate semi-nonparametric distributions with dynamic conditional correlations In: International Journal of Forecasting.
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article11
2003VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA In: Working Papers. Serie AD.
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paper0
2003FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE In: Working Papers. Serie AD.
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paper5
2006Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence.(2006) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2013Higher-order moments in the theory of diversification and portfolio composition In: Working Papers.
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paper3
2011On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers.
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paper1
2008Multivariate Gram-Charlier Densities In: MPRA Paper.
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paper0
2017Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory.
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article0
2008Volatility and VaR forecasting in the Madrid Stock Exchange In: Spanish Economic Review.
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article1
2009Gram-Charlier densities: a multivariate approach In: Quantitative Finance.
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article11

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