Manuel Moreno : Citation Profile


Are you Manuel Moreno?

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

5

H index

2

i10 index

78

Citations

RESEARCH PRODUCTION:

13

Articles

12

Papers

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 3
   Journals where Manuel Moreno has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 2 (2.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo127
   Updated: 2019-04-20    RAS profile: 2017-11-06    
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Relations with other researchers


Works with:

Navas, Javier (2)

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

Is cited by:

Guidolin, Massimo (3)

Vaello-Sebastià, Antoni (3)

Gamba, Andrea (3)

Renneboog, Luc (2)

Vacha, Lukas (2)

Batten, Jonathan (2)

Li, Minqiang (2)

Krehlik, Tomas (2)

Stentoft, Lars (2)

Baruník, Jozef (2)

Mora-Valencia, Andrés (1)

Cites to:

Eling, Martin (6)

Jarrow, Robert (5)

Sandmann, Klaus (5)

merton, robert (5)

tibiletti, luisa (5)

gourieroux, christian (5)

Scaillet, Olivier (5)

Vorst, Ton (5)

Gallant, A. (5)

Cartea, Álvaro (5)

Maillet, Bertrand (5)

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 (2018 and 2017)


YearTitle of citing document
2018On The Calibration of Short-Term Interest Rates Through a CIR Model. (2018). Orlando, Giuseppe ; Bufalo, Michele ; Mininni, Rosa Maria. In: Papers. RePEc:arx:papers:1806.03683.

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2019Forecasting interest rates through Vasicek and CIR models: a partitioning approach. (2019). Orlando, Giuseppe ; Bufalo, Michele ; Mininni, Rosa Maria. In: Papers. RePEc:arx:papers:1901.02246.

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2018On modeling fossil fuel prices: geometric Brownian motion vs. variance-gamma process. (2018). Mosiño, Alejandro ; Mosio, Alejandro ; Moreno-Okuno, Alejandro Tatsuo . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00495.

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2017CO2 volatility impact on energy portfolio choice: A fully stochastic LCOE theory analysis. (2017). Lucheroni, Carlo ; Mari, Carlo. In: Applied Energy. RePEc:eee:appene:v:190:y:2017:i:c:p:278-290.

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2018A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2017An improved least squares Monte Carlo valuation method based on heteroscedasticity. (2017). Fabozzi, Frank J ; Tunaru, Radu ; Paletta, Tommaso . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:698-706.

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2017Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718.

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2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing. (2018). Guidolin, Massimo ; Pedio, Manuela ; Giampietro, Marta. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:685-702.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Szilagyi, Peter ; Batten, Jonathan ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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2018The impact of Norwegian-Swedish green certificate scheme on investment behavior: A wind energy case study. (2018). Finjord, Fredrik ; Tangen, Marius ; Lavrutich, Maria ; Hagspiel, Verena. In: Energy Policy. RePEc:eee:enepol:v:123:y:2018:i:c:p:373-389.

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2018Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:92-104.

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2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing. (2017). Guidolin, Massimo ; Pedio, Manuela ; Giampietro, Marta. In: Working Papers. RePEc:igi:igierp:614.

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2017Pricing Option on Commodity Futures under String Shock. (2017). Deepak, Bisht ; Laha, A K. In: IIMA Working Papers. RePEc:iim:iimawp:14573.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2017Robust Monte Carlo Method for R&D Real Options Valuation. (2017). Villani, Giovanni ; Biancardi, Marta . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:3:d:10.1007_s10614-016-9578-z.

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2019A Hybrid Monte Carlo and Finite Difference Method for Option Pricing. (2019). Jeong, Darae ; Kim, Junseok ; Yoo, Changwoo. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9730-4.

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2017A unified approach for the pricing of options relating to averages. (2017). Funahashi, Hideharu ; Kijima, Masaaki. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9128-4.

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2017Farinelli and Tibiletti ratio and Stochastic Dominance. (2017). Wong, Wing-Keung ; Zhu, Lixing ; Niu, Cuizhen. In: MPRA Paper. RePEc:pra:mprapa:82737.

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2018Approximation for portfolio optimization in a financial market with shot-noise jumps. (2018). Putyatina, Oleksandra ; Sass, Jorn. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-017-0294-5.

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2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:86:y:2017:i:1:d:10.1007_s00186-017-0588-y.

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2019Is the Time Ripe? How the Value of Waiting and Incentives Affect Users’ Switching Behaviors for Smart Home Devices. (2019). Hess, Thomas ; Gonsch, Jochen ; Matt, Christian ; Berger, Matthias. In: Schmalenbach Business Review. RePEc:spr:schmbr:v:71:y:2019:i:1:d:10.1007_s41464-018-0055-1.

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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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2007Pricing tranched credit products with generalized multifactor models In: DEE - Working Papers. Business Economics. WB.
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2008Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects In: DEE - Working Papers. Business Economics. WB.
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2011Statistical properties and economic implications of jump-diffusion processes with shot-noise effects.(2011) In: European Journal of Operational Research.
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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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2013Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? In: European Journal of Operational Research.
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2015A cyclical square-root model for the term structure of interest rates In: European Journal of Operational Research.
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article7
2014Tail risk in energy portfolios In: Energy Economics.
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article5
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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article3
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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article1
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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article0
2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives In: Review of Derivatives Research.
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article35
2001On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives.(2001) In: Economics Working Papers.
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2015Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers In: QM&ET Working Papers.
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2008Australian Options In: Australian Journal of Management.
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article2
2015Portfolio selection with commodities under conditional copulas and skew preferences In: Quantitative Finance.
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1996A two-mean reverting-factor model of the term structure of interest rates In: Economics Working Papers.
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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
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1997Risk management under a two-factor model of the term structure of interest rates In: Economics Working Papers.
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1999On the relevance of modeling volatility for pricing purposes In: Economics Working Papers.
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2007GARCH modeling of robust market returns In: Kiel Advanced Studies Working Papers.
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