Andrés Mora Valencia : Citation Profile


Are you Andrés Mora Valencia?

Universidad de los Andes

5

H index

0

i10 index

54

Citations

RESEARCH PRODUCTION:

23

Articles

3

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 4
   Journals where Andrés Mora Valencia has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 11 (16.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmo824
   Updated: 2021-10-16    RAS profile: 2021-10-07    
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Relations with other researchers


Works with:

Perote, Javier (14)

Cortés, Lina (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrés Mora Valencia.

Is cited by:

Cortés, Lina (17)

Perote, Javier (17)

Trespalacios, Alfredo (10)

Popescu, Catalin (2)

Creedy, John (1)

Buckle, Robert (1)

Santero, Rosa (1)

TAGHIZADEH-HESARY, Farhad (1)

Oxley, Les (1)

Du, Zaichao (1)

Marzi, Giacomo (1)

Cites to:

Perote, Javier (66)

DEL BRIO, ESTHER (14)

Ñíguez Grau, Trino (11)

Giot, Pierre (10)

Laurent, Sébastien (10)

Cortés, Lina (10)

Mauleón, Ignacio (9)

Rockinger, Michael (9)

Acerbi, Carlo (9)

Bollerslev, Tim (8)

Christoffersen, Peter (8)

Main data


Where Andrés Mora Valencia has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications3
Emerging Markets Review2
Risk Management2
The North American Journal of Economics and Finance2
Estudios Gerenciales2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo CIEF / Universidad EAFIT3

Recent works citing Andrés Mora Valencia (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.

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2020Firm size and economic concentration: An analysis from lognormal expansion. (2020). Perote, Javier ; Lozada, Juan M ; Cortes, Lina. In: Documentos de Trabajo CIEF. RePEc:col:000122:018185.

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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.

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2021Default risks, moral hazard and market-based solution: Evidence from renewable energy market in Bangladesh. (2021). TAGHIZADEH-HESARY, Farhad ; Hossain, Monzur ; Yoshino, Naoyuki. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:489-499.

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2020Uncertainty in electricity markets from a semi-nonparametric approach. (2020). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306780.

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2020On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework. (2020). Maaira, Paula Medina ; Klotzle, Marcelo Cabus ; Palazzi, Rafael Baptista ; Fogliano, Felipe Arias ; de Oliveira, Erick Meira. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301496.

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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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2021Predicting default of listed companies in mainland China via U-MIDAS Logit model with group lasso penalty. (2021). Xiong, Wei ; Jiang, Cuixia ; Liu, Yezheng ; Xu, Qifa. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309183.

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2021Is volatility spillover enough for investor decisions? A new viewpoint from higher moments. (2021). Hamori, Shigeyuki ; He, Xie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:116:y:2021:i:c:s0261560621000632.

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2020Multiply broken power-law densities as survival functions: An alternative to Pareto and lognormal fits. (2020). Tomaschitz, Roman. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119317935.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2021Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499.

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2021Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts. (2021). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:11:p:3345-:d:570264.

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2021Economic Analysis and Generic Algorithm for Optimizing the Investments Decision-Making Process in Oil Field Development. (2021). Popescu, Catalin ; Gheorghiu, Sorin Alexandru. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6119-:d:643331.

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2021Rethinking SME default prediction: a systematic literature review and future perspectives. (2021). Marzi, Giacomo ; giannozzi, alessandro ; Altman, Edward I ; Ciampi, Francesco. In: Scientometrics. RePEc:spr:scient:v:126:y:2021:i:3:d:10.1007_s11192-020-03856-0.

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2021Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ?CoVaR risk metric?based copula approach. (2021). Yoon, Seongmin ; Mensi, Walid ; Hussain, Syed Jawad ; al Yahyaee, Khamis Hamed ; Alyahyaee, Khamis Hamed. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2904-2926.

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2021Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925.

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Works by Andrés Mora Valencia:


YearTitleTypeCited
2011CDS: relación con índices accionarios y medida de riesgo In: Revista ESPE - Ensayos sobre Política Económica.
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article0
2011CDS: relación con índices accionarios y medida de riesgo.(2011) In: Revista ESPE - Ensayos Sobre Política Económica.
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This paper has another version. Agregated cites: 0
article
2016The productivity of top researchers: A semi-nonparametric approach In: Documentos de Trabajo CIEF.
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paper8
2016The productivity of top researchers: a semi-nonparametric approach.(2016) In: Scientometrics.
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This paper has another version. Agregated cites: 8
article
2017Measuring firm size distribution with semi-nonparametric densities In: Documentos de Trabajo CIEF.
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paper9
2017Measuring firm size distribution with semi-nonparametric densities.(2017) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 9
article
2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach In: Documentos de Trabajo CIEF.
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paper0
2015Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad In: Estudios Gerenciales.
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article1
2015Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes meÌ todos de estimacioÌ n de la volatilidad In: Estudios Gerenciales.
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article1
2010Consideraciones en la estimación de cuantiles altos en el riesgo operativo In: Análisis - Revista del Mercado de Valores.
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article0
2020Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach In: The North American Journal of Economics and Finance.
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article0
2021Skew index: Descriptive analysis, predictive power, and short-term forecast In: The North American Journal of Economics and Finance.
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article0
2014VaR performance during the subprime and sovereign debt crises: An application to emerging markets In: Emerging Markets Review.
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article8
2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets In: Emerging Markets Review.
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article9
2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall In: International Review of Financial Analysis.
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article2
2018Moral hazard and default risk of SMEs with collateralized loans In: Finance Research Letters.
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article7
2014Semi-nonparametric VaR forecasts for hedge funds during the recent crisis In: Physica A: Statistical Mechanics and its Applications.
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article3
2020Market-crash forecasting based on the dynamics of the alpha-stable distribution In: Physica A: Statistical Mechanics and its Applications.
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article0
2020A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets In: Energies.
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article0
2019Quantifying Risk in Traditional Energy and Sustainable Investments In: Sustainability.
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article2
2017The Return Performance of Cubic Market Model: An Application to Emerging Markets In: Emerging Markets Finance and Trade.
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article0
2014El uso de la distribución g-h en riesgo operativo In: Contaduría y Administración.
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article0
2017Risk quantification in turmoil markets In: Risk Management.
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article4
2019Testing expected shortfall: an application to emerging market stock indices In: Risk Management.
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article0
2017Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory.
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article0
2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures In: International Journal of Finance & Economics.
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