Manuel Moreno : Citation Profile


Are you Manuel Moreno?

Barcelona Graduate School of Economics (Barcelona GSE) (50% share)
Universidad de Castilla La Mancha (50% share)

6

H index

3

i10 index

108

Citations

RESEARCH PRODUCTION:

13

Articles

12

Papers

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 4
   Journals where Manuel Moreno has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 2 (1.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo127
   Updated: 2021-03-01    RAS profile: 2017-11-06    
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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:

Novales, Alfonso (4)

Renneboog, Luc (4)

Batten, Jonathan (3)

Stentoft, Lars (3)

Navas, Javier (3)

Pedio, Manuela (3)

Orlando, Giuseppe (3)

Vaello-Sebastià, Antoni (3)

Guidolin, Massimo (3)

Krehlik, Tomas (2)

Vacha, Lukas (2)

Cites to:

Eling, Martin (6)

Scaillet, Olivier (5)

gourieroux, christian (5)

tibiletti, luisa (5)

Jarrow, Robert (5)

merton, robert (5)

Maillet, Bertrand (5)

Vorst, Ton (5)

Gallant, A. (5)

Cartea, Álvaro (5)

Caporin, Massimiliano (4)

Main data


Where Manuel Moreno has published?


Journals with more than one article published# docs
European Journal of Operational Research3
Journal of Banking & Finance3
Physica A: Statistical Mechanics and its Applications2

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 Empresa2

Recent works citing Manuel Moreno (2021 and 2020)


YearTitle of citing document
2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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2020Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits. (2020). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:52-70.

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2020Tail risk of electricity futures. (2020). Rodriguez, Rosa ; Pea, Juan Ignacio ; Mayoral, Silvia. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302267.

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2020A simple-to-implement real options method for the energy sector. (2020). Lotti, Giovanni ; Mancini, Mauro ; Locatelli, Giorgio. In: Energy. RePEc:eee:energy:v:197:y:2020:i:c:s0360544220303339.

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2020How has the relationship between oil and the US stock market changed after the Covid-19 crisis?. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612320315877.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2020A generalized European option pricing model with risk management. (2020). Tan, Jie ; Feng, Chengxiao ; Chen, Shuang ; Jiang, Zhenyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321132.

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2020Valuation of caps and swaptions under a stochastic string model. (2020). Navas, Javier ; Moreno, Manuel ; Bueno-Guerrero, Alberto. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305744.

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2020Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach. (2020). Reboredo, Juan ; Arismendi Zambrano, Juan ; Rivera-Castro, M A ; Ramos-Almeida, T ; Arismendi-Zambrano, J C. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n305-20.pdf.

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2020Presenting Cloud Business Performance for Manufacturing Organizations. (2020). Chang, Victor. In: Information Systems Frontiers. RePEc:spr:infosf:v:22:y:2020:i:1:d:10.1007_s10796-017-9798-3.

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2020Forecasting interest rates through Vasicek and CIR models: A partitioning approach. (2020). Orlando, Giuseppe ; Bufalo, Michele ; Mininni, Rosa Maria. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:4:p:569-579.

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Works by Manuel Moreno:


YearTitleTypeCited
2003Australian Asian Options In: Working Papers.
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paper1
2003Australian Asian options.(2003) In: Economics Working Papers.
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This paper has another version. Agregated cites: 1
paper
2007Pricing tranched credit products with generalized multifactor models In: DEE - Working Papers. Business Economics. WB.
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paper0
2008Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects In: DEE - Working Papers. Business Economics. WB.
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paper8
2011Statistical properties and economic implications of jump-diffusion processes with shot-noise effects.(2011) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 8
article
1995On the term structure of Interbank interest rates: jump-diffusion processes and option pricing In: DES - Working Papers. Statistics and Econometrics. WS.
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paper2
1996On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing.(1996) In: Economics Working Papers.
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This paper has another version. Agregated cites: 2
paper
2013Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? In: European Journal of Operational Research.
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article11
2015A cyclical square-root model for the term structure of interest rates In: European Journal of Operational Research.
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article12
2014Tail risk in energy portfolios In: Energy Economics.
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article8
2014Estimating the distribution of total default losses on the Spanish financial system In: Journal of Banking & Finance.
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article0
2017One-sided performance measures under Gram-Charlier distributions In: Journal of Banking & Finance.
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article6
2017An approximate multi-period Vasicek credit risk model In: Journal of Banking & Finance.
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article0
2015Stochastic string models with continuous semimartingales In: Physica A: Statistical Mechanics and its Applications.
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article2
2016The stochastic string model as a unifying theory of the term structure of interest rates In: Physica A: Statistical Mechanics and its Applications.
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article2
2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives In: Review of Derivatives Research.
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article41
2001On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives.(2001) In: Economics Working Papers.
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This paper has another version. Agregated cites: 41
paper
2015Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers In: QM&ET Working Papers.
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paper0
2008Australian Options In: Australian Journal of Management.
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article3
2015Portfolio selection with commodities under conditional copulas and skew preferences In: Quantitative Finance.
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article8
1996A two-mean reverting-factor model of the term structure of interest rates In: Economics Working Papers.
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paper3
2003A two‐mean reverting‐factor model of the term structure of interest rates.(2003) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 3
article
1997Risk management under a two-factor model of the term structure of interest rates In: Economics Working Papers.
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paper1
1999On the relevance of modeling volatility for pricing purposes In: Economics Working Papers.
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paper0
2007GARCH modeling of robust market returns In: Kiel Advanced Studies Working Papers.
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paper0

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