5
H index
3
i10 index
88
Citations
Trino-Manuel Ñíguez : Citation Profile
University of Westminster | RESEARCH PRODUCTION: 16 Articles 9 Papers RESEARCH ACTIVITY:
EXPERT IN:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2003 - 2023). 
Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Trino-Manuel Ñíguez. | Is cited by:
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Main data
Where Trino-Manuel Ñíguez has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance Research Letters | 2 |
| Journal of Banking & Finance | 2 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie) | 2 |
| Working Papers / Banco de Espaa | 2 |
| Working Papers / Lancaster University Management School, Economics Department | 2 |
Recent works citing Trino-Manuel Ñíguez (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Backtesting portfolio valueâ€atâ€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. Full description at Econpapers || Download paper |
| 2023 | Multivariate 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. Full description at Econpapers || Download paper |
| 2023 | Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants. (2023). Jalkh, Naji ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004313. Full description at Econpapers || Download paper |
| 2024 | Financial market information flows when counteracting rogue states: The indirect effects of targeted sanction packages. (2024). Conlon, Thomas ; Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Goodell, John W. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:217:y:2024:i:c:p:32-62. Full description at Econpapers || Download paper |
| 2024 | Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers. (2024). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:302-315. Full description at Econpapers || Download paper |
| 2023 | Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094. Full description at Econpapers || Download paper |
| 2023 | RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS. (2023). Kamdem, Jules Sadefo. In: Working Papers. RePEc:hal:wpaper:hal-04134833. Full description at Econpapers || Download paper |
| 2023 | Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. (2023). Usman, Ojonugwa ; Olasehinde-Williams, Godwin O ; Olanipekun, Ifedolapo O ; Alao, Saheed ; Alhassan, Abdul Kareem. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:16:y:2023:i:1:d:10.1007_s12076-023-00325-z. Full description at Econpapers || Download paper |
Works by Trino-Manuel Ñíguez:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Multivariate moments expansion density: application of the dynamic equicorrelation model In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 2016 | Multivariate moments expansion density: Application of the dynamic equicorrelation model.(2016) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2004 | Forecasting the density of asset returns In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2004 | Forecasting the density of asset returns.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2017 | Moments expansion densities for quantifying financial risk In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 5 |
| 2021 | The transformed Gram Charlier distribution: Parametric properties and financial risk applications In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Pure higher-order effects in the portfolio choice model In: Finance Research Letters. [Full Text][Citation analysis] | article | 8 |
| 2021 | Backtesting VaR under the COVID-19 sudden changes in volatility In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2011 | Multivariate semi-nonparametric distributions with dynamic conditional correlations In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 22 |
| 2020 | Modeling asset returns under time-varying semi-nonparametric distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Copula methods for evaluating relative tail forecasting performance In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 2 | |
| 2003 | VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2003 | FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 6 |
| 2006 | Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence.(2006) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2013 | Higher-order moments in the theory of diversification and portfolio composition In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2011 | On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Multivariate Gram-Charlier Densities In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory. [Full Text][Citation analysis] | article | 2 |
| 2008 | Volatility and VaR forecasting in the Madrid Stock Exchange In: Spanish Economic Review. [Full Text][Citation analysis] | article | 1 |
| 2022 | Polynomial adjusted Student-t densities for modeling asset returns In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Flexible distribution functions, higher-order preferences and optimal portfolio allocation In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2009 | Gram-Charlier densities: a multivariate approach In: Quantitative Finance. [Full Text][Citation analysis] | article | 12 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team