Juan Angel Jimenez Martin : Citation Profile


Are you Juan Angel Jimenez Martin?

Universidad Complutense de Madrid (50% share)
Universidad Complutense de Madrid (50% share)

9

H index

9

i10 index

216

Citations

RESEARCH PRODUCTION:

15

Articles

66

Papers

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 13
   Journals where Juan Angel Jimenez Martin has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 53 (19.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pji27
   Updated: 2020-11-21    RAS profile: 2020-05-27    
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Relations with other researchers


Works with:

Chang, Chia-Lin (7)

McAleer, Michael (6)

Maasoumi, Esfandiar (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Juan Angel Jimenez Martin.

Is cited by:

McAleer, Michael (104)

Chang, Chia-Lin (74)

Allen, David (23)

perez-amaral, teodosio (15)

Hammoudeh, Shawkat (10)

Chan, Felix (8)

da Veiga, Bernardo (8)

Chen, Cathy W. S. (7)

Ruiz, Esther (4)

Liu, Xiaochun (4)

Powell, Robert (3)

Cites to:

McAleer, Michael (190)

perez-amaral, teodosio (66)

Ling, Shiqing (41)

Chang, Chia-Lin (39)

Bollerslev, Tim (21)

Hafner, Christian (18)

Caporin, Massimiliano (17)

Casarin, Roberto (16)

Engle, Robert (15)

da Veiga, Bernardo (14)

Chan, Felix (10)

Main data


Where Juan Angel Jimenez Martin has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)3
The North American Journal of Economics and Finance2
International Review of Economics & Finance2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico24
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute12
KIER Working Papers / Kyoto University, Institute of Economic Research8
Tinbergen Institute Discussion Papers / Tinbergen Institute5
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo4
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
MPRA Paper / University Library of Munich, Germany2

Recent works citing Juan Angel Jimenez Martin (2020 and 2019)


YearTitle of citing document
2020Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304.

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2020Liquidity shocks: A new solution to the forward premium puzzle. (2020). Kumar, Vikram. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:445-454.

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2020Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

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2020Hedging the exchange rate risk for international portfolios. (2020). Liu, Yong Jun ; Zhang, Weiguo ; Yu, Xing ; Wang, Chao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:173:y:2020:i:c:p:85-104.

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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2020Risks in emerging markets equities: Time-varying versus spatial risk analysis. (2020). Owusu Junior, Peterson ; Alagidede, Imhotep. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319405.

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2019Risk Analysis of Energy in Vietnam. (2019). Vo, Duc ; McAleer, Michael ; Duong, T. N.-T., ; Tran, N P. In: Econometric Institute Research Papers. RePEc:ems:eureir:115616.

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2020Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies. (2020). Bonga-Bonga, Lumengo ; Mpoha, Salifya. In: MPRA Paper. RePEc:pra:mprapa:99597.

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Works by Juan Angel Jimenez Martin:


YearTitleTypeCited
2010GFC-Robust Risk Management Strategies under the Basel Accord In: Working Papers in Economics.
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2013GFC-robust risk management strategies under the Basel Accord.(2013) In: International Review of Economics & Finance.
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2010GFC-Robust Risk Management Strategies under the Basel Accord.(2010) In: Econometric Institute Research Papers.
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2010GFC-Robust Risk Management Strategies under the Basel Accord.(2010) In: KIER Working Papers.
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2010GFC-Robust Risk Management Strategies under the Basel Accord.(2010) In: Documentos de Trabajo del ICAE.
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2011International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord In: Working Papers in Economics.
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2011International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord.(2011) In: Econometric Institute Research Papers.
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2011International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord.(2011) In: KIER Working Papers.
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2011International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord.(2011) In: Documentos de Trabajo del ICAE.
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2013International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord.(2013) In: Journal of Forecasting.
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article
2011Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures In: Working Papers in Economics.
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2011Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures.(2011) In: Managerial Finance.
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2011Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures.(2011) In: Econometric Institute Research Papers.
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2011Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures.(2011) In: KIER Working Papers.
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2011Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures.(2011) In: Documentos de Trabajo del ICAE.
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures In: Working Papers in Economics.
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2013Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures.(2013) In: Mathematics and Computers in Simulation (MATCOM).
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This paper has another version. Agregated cites: 13
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 13
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: KIER Working Papers.
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This paper has another version. Agregated cites: 13
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: Documentos de Trabajo del ICAE.
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2011GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies In: Working Papers in Economics.
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2013GFC-robust risk management under the Basel Accord using extreme value methodologies.(2013) In: Mathematics and Computers in Simulation (MATCOM).
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This paper has another version. Agregated cites: 4
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2011GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies.(2011) In: Econometric Institute Research Papers.
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2011GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies.(2011) In: KIER Working Papers.
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2013GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies.(2013) In: Tinbergen Institute Discussion Papers.
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2011GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies.(2011) In: Documentos de Trabajo del ICAE.
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2011The Rise and Fall of S&P500 Variance Futures In: Working Papers in Economics.
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2013The rise and fall of S&P500 variance futures.(2013) In: The North American Journal of Economics and Finance.
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2011The Rise and Fall of S&P500 Variance Futures.(2011) In: Econometric Institute Research Papers.
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2011The Rise and Fall of S&P500 Variance Futures.(2011) In: KIER Working Papers.
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2011The Rise and Fall of S&P500 Variance Futures.(2011) In: Documentos de Trabajo del ICAE.
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2013Has the Basel Accord Improved Risk Management During the Global Financial Crisis In: Working Papers in Economics.
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2012Has the Basel Accord Improved Risk Management During the Global Financial Crisis?.(2012) In: Documentos de Trabajo del ICAE.
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2012Has the Basel Accord Improved Risk Management During the Global Financial Crisis?.(2012) In: KIER Working Papers.
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2012Has the Basel Accord Improved Risk Management During the Global Financial Crisis?.(2012) In: Econometric Institute Research Papers.
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2013Has the Basel Accord Improved Risk Management During the Global Financial Crisis?.(2013) In: Tinbergen Institute Discussion Papers.
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2012Has the Basel Accord Improved Risk Management During the Global Financial Crisis?.(2012) In: Econometric Institute Research Papers.
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2013Has the Basel Accord improved risk management during the global financial crisis?.(2013) In: The North American Journal of Economics and Finance.
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2009What Happened to Risk Management During the 2008-09 Financial Crisis? In: CARF F-Series.
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2009What Happened to Risk Management During the 2008-09 Financial Crisis?.(2009) In: CIRJE F-Series.
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2009What Happened to Risk Management During the 2008-09 Financial Crisis?.(2009) In: Documentos de Trabajo del ICAE.
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2009What Happened to Risk Management During the 2008-09 Financial Crisis?.(2009) In: Econometric Institute Research Papers.
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2009Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? In: CARF F-Series.
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2009Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?.(2009) In: Tinbergen Institute Discussion Papers.
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2009Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?.(2009) In: Documentos de Trabajo del ICAE.
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This paper has another version. Agregated cites: 21
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2009Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?.(2009) In: CIRJE F-Series.
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2011Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?.(2011) In: KIER Working Papers.
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2009A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk In: CARF F-Series.
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2008A decision rule to minimize daily capital charges in forecasting value-at-risk.(2008) In: Econometric Institute Research Papers.
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2009A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk.(2009) In: CIRJE F-Series.
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2009A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk.(2009) In: Documentos de Trabajo del ICAE.
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2009Optimal Risk Management Before, During and After the 2008-09 Financial Crisis In: CARF F-Series.
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2009Optimal Risk Management Before, During and After the 2008-09 Financial Crisis.(2009) In: MPRA Paper.
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2009Optimal Risk Management Before, During and After the 2008-09 Financial Crisis.(2009) In: CIRJE F-Series.
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2009Optimal Risk Management Before, During and After the 2008-09 Financial Crisis.(2009) In: Documentos de Trabajo del ICAE.
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2010State-uncertainty preferences and the risk premium in the exchange rate market In: Economic Modelling.
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2009State-Uncertainty preferences and the Risk Premium in the Exchange rate market.(2009) In: Documentos de Trabajo del ICAE.
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2015A stochastic dominance approach to financial risk management strategies In: Journal of Econometrics.
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2014A Stochastic Dominance Approach to Financial Risk Management Strategies.(2014) In: Documentos de Trabajo del ICAE.
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2014Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money.
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2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.(2013) In: MPRA Paper.
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2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.(2013) In: Documentos de Trabajo del ICAE.
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2013Currency hedging strategies using dynamic multivariate GARCH In: Mathematics and Computers in Simulation (MATCOM).
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2011Currency Hedging Strategies Using Dynamic Multivariate GARCH.(2011) In: Documentos de Trabajo del ICAE.
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2012Currency Hedging Strategies Using Dynamic Multivariate GARCH.(2012) In: Documentos de Trabajo del ICAE.
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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance In: International Review of Economics & Finance.
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2015Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance.(2015) In: Econometric Institute Research Papers.
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2015Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance.(2015) In: Tinbergen Institute Discussion Papers.
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2015A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR? In: Econometric Institute Research Papers.
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2015A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?.(2015) In: Tinbergen Institute Discussion Papers.
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2015A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?.(2015) In: Documentos de Trabajo del ICAE.
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2010PPP: Delusion or Reality? Evidence from a Nonlinear Analysis In: Open Economies Review.
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2006Can Equilibrium Models Replicate the Stochastic Properties of the Exchange Rates?/¿Se pueden replicar las propiedades estocásticas del tipo de cambio con un modelo de Equilibrio?. In: Estudios de Economia Aplicada.
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2009Seasonal fluctuations and equilibrium models of exchange rate In: Applied Economics.
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2003La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas In: Documentos de Trabajo del ICAE.
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2004The Fit of Dynamic Equilibrium Models of Exchange Rate In: Documentos de Trabajo del ICAE.
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2004Macroeconomic and policy uncertainty and Exchange rate risk Premium In: Documentos de Trabajo del ICAE.
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2004Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate In: Documentos de Trabajo del ICAE.
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2005Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations In: Documentos de Trabajo del ICAE.
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2009The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord In: Documentos de Trabajo del ICAE.
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2014Guns, Economic Growth and Education during the second half of the Twentieth Century: Was Spain different? In: Documentos de Trabajo del ICAE.
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