Javier Mencia : Citation Profile


Are you Javier Mencia?

Banco de España

7

H index

7

i10 index

348

Citations

RESEARCH PRODUCTION:

9

Articles

25

Papers

RESEARCH ACTIVITY:

   15 years (2004 - 2019). See details.
   Cites by year: 23
   Journals where Javier Mencia has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 7 (1.97 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme741
   Updated: 2024-01-16    RAS profile: 2020-08-24    
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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 Javier Mencia.

Is cited by:

Sentana, Enrique (63)

Fiorentini, Gabriele (45)

Perote, Javier (21)

Amengual, Dante (14)

Mora-Valencia, Andrés (9)

Cortés, Lina (9)

Serrano, Roberto (6)

Santucci de Magistris, Paolo (5)

Pliszka, Kamil (5)

Xiu, Dacheng (5)

Leung, Tim (5)

Cites to:

Sentana, Enrique (16)

Drehmann, Mathias (10)

Schwert, G. (9)

BORIO, Claudio (7)

Gallant, A. (7)

Pesaran, Mohammad (5)

Tauchen, George (5)

Chernozhukov, Victor (5)

Lang, Jan Hannes (4)

Kose, Ayhan (4)

Breitung, Jörg (4)

Main data


Where Javier Mencia has published?


Journals with more than one article published# docs
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de España10
CEPR Discussion Papers / C.E.P.R. Discussion Papers4

Recent works citing Javier Mencia (2024 and 2023)


YearTitle of citing document
2023Stressing Dynamic Loss Models. (2022). Jaimungal, Sebastian ; Pesenti, Silvana M ; Kroell, Emma. In: Papers. RePEc:arx:papers:2211.03221.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. (2023). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596.

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2023Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142.

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2023On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

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2023Pricing VIX futures: A framework with random level shifts. (2023). Wang, Tianyi ; Feng, Jianfen ; Chen, Xiaoyi. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006778.

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2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

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2023Machine learning-based profit modeling for credit card underwriting - implications for credit risk. (2023). Krivorotov, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000213.

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2023Bridging the gap from the current deposit insurance fund to a fund target. (2023). Ufier, Alexander B ; Okeefe, John P ; Kusaya, Charles. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:148-157.

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2023Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068.

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2023.

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2023VIX futures pricing based on high?frequency VIX: A hybrid approach combining SVR with parametric models. (2023). Jiang, Gongyue ; Qiao, Gaoxiu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1238-1260.

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2023Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

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Works by Javier Mencia:


YearTitleTypeCited
2016Macroprudential policy: objectives, instruments and indicators In: Occasional Papers.
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paper5
2018Sovereign bond-backed Securities as European reference safe assets: a review of the proposal by the ESRB-HLTF In: Revista de Estabilidad Financiera.
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article0
2007Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers.
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paper54
2005Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 54
paper
2005Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 54
paper
2007Modeling the distribution of credit losses with observable and latent factors In: Working Papers.
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paper19
2009Modelling the distribution of credit losses with observable and latent factors.(2009) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 19
article
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers.
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paper65
2008Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 65
paper
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 65
article
2009Assessing the risk-return trade-off in loans portfolios In: Working Papers.
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paper3
2012Assessing the risk-return trade-off in loan portfolios.(2012) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 3
article
2009Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers.
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paper45
2008Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 45
paper
2012Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations.(2012) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 45
article
2010Testing non-linear dependence in the hedge fund industry In: Working Papers.
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paper0
2012Testing Nonlinear Dependence in the Hedge Fund Industry.(2012) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 0
article
2010A systematic approach to multi-period stress testing of portfolio credit risk In: Working Papers.
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paper33
2012A systematic approach to multi-period stress testing of portfolio credit risk.(2012) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33
article
2012Valuation of vix derivatives In: Working Papers.
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paper88
2009Valuation of VIX Derivatives.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 88
paper
2010Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 88
paper
2013Valuation of VIX derivatives.(2013) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 88
article
2018Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe In: Working Papers.
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paper1
2018What drives sovereign debt portfolios of banks in a crisis context? In: Working Papers.
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paper7
2019What drives sovereign debt portfolios of banks in a crisis context?.(2019) In: ESRB Working Paper Series.
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This paper has nother version. Agregated cites: 7
paper
2004Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations In: Working Papers.
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paper22
2005Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations.(2005) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 22
paper
2004Estimation and testing of dynamic models with generalised hyperbolic innovations.(2004) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 22
paper
2014Distributional Linkages between European Sovereign Bond and Bank Asset Returns In: Working Papers.
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paper1
2015Volatility-Related Exchange Traded Assets: An Econometric Investigation In: Working Papers.
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paper5
2015Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 5
paper
2018Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2018) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 5
article
2018Conditional Return Asymmetries in the Sovereign-Bank Nexus In: Working Papers.
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paper0

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