4
H index
2
i10 index
60
Citations
Juan Carlos Arismendi Zambrano : Citation Profile
University College Dublin (60% share) | RESEARCH PRODUCTION: 9 Articles 11 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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9 years (2013 - 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 Juan Carlos Arismendi Zambrano. | Is cited by:
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Main data
Where Juan Carlos Arismendi Zambrano has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth | 5 |
| ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading | 5 |
Recent works citing Juan Carlos Arismendi Zambrano (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions. (2023). Yao, Jing ; Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2305.09097. Full description at Econpapers || Download paper |
| 2023 | Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593. Full description at Econpapers || Download paper |
| 2023 | A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x. Full description at Econpapers || Download paper |
| 2023 | The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423. Full description at Econpapers || Download paper |
| 2023 | Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis. (2023). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000357. Full description at Econpapers || Download paper |
| 2023 | Financial networks and systemic risk vulnerabilities: A tale of Indian banks. (2023). Bekiros, Stelios ; Khan, Mohammad Azeem ; Wadhwani, Akshay ; Tiwari, Shiv Ratan ; Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000880. Full description at Econpapers || Download paper |
Works by Juan Carlos Arismendi Zambrano:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | The profitability of moving average trading rules in BRICS and emerging stock markets In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2018 | Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network In: Emerging Markets Review. [Full Text][Citation analysis] | article | 6 |
| 2016 | Validation of default probability models: A stress testing approach In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
| 2022 | The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 1 |
| 2016 | Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
| 2013 | Multivariate truncated moments In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 14 |
| 2020 | Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗ In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Implicit Entropic Market Risk-Premium from Interest Rate Derivatives In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 | |
| 2020 | Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2021 | On quadratic forms in multivariate generalized hyperbolic random vectors In: Biometrika. [Full Text][Citation analysis] | article | 0 |
| 2022 | Equity Risk Premium Predictability from Cross-Sectoral Downturns In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] | article | 1 |
| 2014 | A Multi-Asset Option Approximation for General Stochastic Processes In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
| 2014 | An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Monte Carlo Approximate Tensor Moment Simulations In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Multivariate Elliptical Truncated Moments In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 6 |
| 2016 | A moment-based analytic approximation of the risk-neutral density of American options In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Higher-Order Tail Moments in Asset-Pricing Theory In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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