7
H index
6
i10 index
138
Citations
Manuel Moreno : Citation Profile
Barcelona School of Economics (BSE) (50% share) | RESEARCH PRODUCTION: 21 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1995 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Manuel Moreno. | Is cited by:
| Cites to:
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Main data
Where Manuel Moreno has published?
| Journals with more than one article published | # docs |
|---|---|
| European Journal of Operational Research | 4 |
| Physica A: Statistical Mechanics and its Applications | 3 |
| Journal of Banking & Finance | 3 |
| Nature Communications | 2 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa | 2 |
Recent works citing Manuel Moreno (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Lévy interest rate models with a long memory. (2021). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021020. Full description at Econpapers || Download paper |
| 2022 | Tail Risk of Electricity Futures. (2022). Mayoral, Silvia ; Rodriguez, Rosa ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.01732. Full description at Econpapers || Download paper |
| 2021 | The Value of USDA Announcements in the Electronically Traded Corn Futures Market: A Modified Sufficient Test with Risk Adjustments. (2021). Garcia, Philip ; Serra, Teresa ; Huang, Joshua. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:72:y:2021:i:3:p:712-734. Full description at Econpapers || Download paper |
| 2021 | Energy Market Risk Management under Uncertainty: A VaR Based on Wavelet Approach. (2021). Canepa, Alessandra ; Al-Saraireh, Ahmad ; Alqaralleh, Huthaifa Sameeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-05-17. Full description at Econpapers || Download paper |
| 2022 | A Quantum Mechanics for interest rate derivatives markets. (2022). Bueno-Guerrero, Alberto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010808. Full description at Econpapers || Download paper |
| 2021 | Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350. Full description at Econpapers || Download paper |
| 2022 | Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic. (2022). Jareño, Francisco ; Umar, Zaghum ; Jareo, Francisco ; Esparcia, Carlos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000328. Full description at Econpapers || Download paper |
| 2021 | Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Zou, Yihan ; Ewald, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815. Full description at Econpapers || Download paper |
| 2022 | Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740. Full description at Econpapers || Download paper |
| 2022 | Generic improvements to least squares monte carlo methods with applications to optimal stopping problems. (2022). Zhu, Dan ; Wei, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1132-1144. Full description at Econpapers || Download paper |
| 2021 | The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349. Full description at Econpapers || Download paper |
| 2021 | Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. (2021). Kang, Sanghoon ; Dash, Saumya Ranjan ; Ur, Mobeen ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003844. Full description at Econpapers || Download paper |
| 2022 | Oil and renewable energy stock markets: Unique role of extreme shocks. (2022). , Toan ; Lu, Xinjie ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001670. Full description at Econpapers || Download paper |
| 2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
| 2021 | The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. (2021). Kang, Sang Hoon ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304011. Full description at Econpapers || Download paper |
| 2021 | Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components. (2021). Theodossiou, Panayiotis ; Savva, Christos ; Kosmidou, Kyriaki ; Ioannidis, Filippos. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000153. Full description at Econpapers || Download paper |
| 2021 | Fair dynamic valuation of insurance liabilities via convex hedging. (2021). Dhaene, Jan ; Chen, ZE ; Yang, Tianyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:1-13. Full description at Econpapers || Download paper |
| 2021 | Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x. Full description at Econpapers || Download paper |
| 2022 | Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach. (2022). Chen, Qiang ; Ma, Chao ; Gong, Yuting. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002485. Full description at Econpapers || Download paper |
| 2021 | The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?. (2021). Wu, Bi-Bo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300350. Full description at Econpapers || Download paper |
| 2021 | Energy Security and Portfolio Diversification: Conventional and Novel Perspectives. (2021). Bollino, Carlo Andrea ; Galkin, Philipp. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4257-:d:594426. Full description at Econpapers || Download paper |
| 2021 | Systemic Risk Spillovers in the European Energy Sector. (2021). Zeldea, Cristina ; Lupu, Iulia ; Calin, Adrian Cantemir ; Clin, Adrian Cantemir. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6410-:d:651252. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2022 | Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model. (2022). Clark, Steven P ; Bueno-Guerrero, Alberto ; Blenman, Lloyd P. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:10:p:188-:d:927307. Full description at Econpapers || Download paper |
| 2022 | Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market. (2022). Ahmed, Sheraz ; Leivo, Timo H ; Patari, Eero J. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:3:d:10.1007_s11408-021-00400-9. Full description at Econpapers || Download paper |
| 2022 | Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5. Full description at Econpapers || Download paper |
| 2021 | Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China. (2021). Chang, Meng-Shiuh ; Huang, Wei. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244021990655. Full description at Econpapers || Download paper |
| 2022 | A defaultable bond model with cyclical fluctuations in the spread process. (2022). Platania, Federico ; Bazgour, Tarik. In: Annals of Operations Research. RePEc:spr:annopr:v:312:y:2022:i:2:d:10.1007_s10479-021-04471-9. Full description at Econpapers || Download paper |
| 2022 | A least-squares Monte Carlo approach to the estimation of enterprise risk. (2022). Bauer, Daniel ; Ha, Hongjun. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00478-7. Full description at Econpapers || Download paper |
| 2021 | Interest rates forecasting: Between Hull and White and the CIR#—How to make a single?factor model work. (2021). Orlando, Giuseppe ; Bufalo, Michele. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1566-1580. Full description at Econpapers || Download paper |
| 2023 | Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula. (2023). Ge, Yingen ; Zhu, MO ; Wang, Xueqin ; Gong, Yuting ; Shi, Wenming. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:69-89. Full description at Econpapers || Download paper |
| 2021 | Staffing many?server queues with autoregressive inputs. (2021). Liu, Yunan ; Sun, XU. In: Naval Research Logistics (NRL). RePEc:wly:navres:v:68:y:2021:i:3:p:312-326. Full description at Econpapers || Download paper |
Works by Manuel Moreno:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2003 | Australian Asian Options In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Australian Asian options.(2003) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2007 | Pricing tranched credit products with generalized multifactor models In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 9 |
| 2011 | Statistical properties and economic implications of jump-diffusion processes with shot-noise effects.(2011) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 1995 | On the term structure of Interbank interest rates: jump-diffusion processes and option pricing In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 1996 | On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing.(1996) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | A term structure model under cyclical fluctuations in interest rates In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2013 | Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 12 |
| 2015 | A cyclical square-root model for the term structure of interest rates In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 12 |
| 2019 | Long-term swings and seasonality in energy markets In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
| 2014 | Tail risk in energy portfolios In: Energy Economics. [Full Text][Citation analysis] | article | 14 |
| 2022 | The generalized Vasicek credit risk model: A Machine Learning approach In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2014 | Estimating the distribution of total default losses on the Spanish financial system In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | One-sided performance measures under Gram-Charlier distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
| 2017 | An approximate multi-period Vasicek credit risk model In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | Stochastic string models with continuous semimartingales In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
| 2016 | The stochastic string model as a unifying theory of the term structure of interest rates In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 2 |
| 2020 | Valuation of caps and swaptions under a stochastic string model In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 2 |
| 2003 | On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 43 |
| 2001 | On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives.(2001) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
| 2019 | Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit In: Nature Communications. [Full Text][Citation analysis] | article | 0 |
| 2016 | Nonlinear spectra of spinons and holons in short GaAs quantum wires In: Nature Communications. [Full Text][Citation analysis] | article | 0 |
| 2015 | Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers In: QM&ET Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Australian Options In: Australian Journal of Management. [Full Text][Citation analysis] | article | 3 |
| 2020 | Random LGD adjustments in the Vasicek credit risk model In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | Portfolio selection with commodities under conditional copulas and skew preferences In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
| 2022 | Bond market completeness under stochastic strings with distribution-valued strategies In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 1996 | A two-mean reverting-factor model of the term structure of interest rates In: Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | A two?mean reverting?factor model of the term structure of interest rates.(2003) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 1997 | Risk management under a two-factor model of the term structure of interest rates In: Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | On the relevance of modeling volatility for pricing purposes In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | GARCH modeling of robust market returns In: Kiel Advanced Studies Working Papers. [Full Text][Citation analysis] | paper | 0 |
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