Manuel Moreno : Citation Profile


Are you Manuel Moreno?

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

7

H index

6

i10 index

153

Citations

RESEARCH PRODUCTION:

21

Articles

14

Papers

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 5
   Journals where Manuel Moreno has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 8 (4.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo127
   Updated: 2024-04-18    RAS profile: 2022-07-24    
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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:

Orlando, Giuseppe (4)

Renneboog, Luc (4)

Batten, Jonathan (3)

Mora-Valencia, Andrés (3)

Vaello-Sebastià, Antoni (3)

Stentoft, Lars (3)

Pedio, Manuela (3)

Perote, Javier (3)

Guidolin, Massimo (3)

Baruník, Jozef (2)

Dhaene, Jan (2)

Cites to:

gourieroux, christian (11)

Cartea, Álvaro (11)

Scaillet, Olivier (10)

merton, robert (9)

Jarrow, Robert (7)

White, Alan (7)

Sandmann, Klaus (7)

White, Alan (7)

Caporin, Massimiliano (7)

Longstaff, Francis (6)

Svensson, Lars (6)

Main data


Where Manuel Moreno has published?


Journals with more than one article published# docs
European Journal of Operational Research4
Physica A: Statistical Mechanics and its Applications3
Journal of Banking & Finance3
Quantitative Finance2
Nature Communications2

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
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2

Recent works citing Manuel Moreno (2024 and 2023)


YearTitle of citing document
2023Risk management with Local Least Squares Monte-Carlo. (2023). Akbaraly, Adnane ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023003.

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2023Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166.

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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335.

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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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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767.

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2023Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises. (2023). Arfaoui, Nadia ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005807.

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2023Valuing photovoltaic power plants by compound real options. (2023). Pringles, Rolando ; Olsina, Fernando ; Mombello, Bruno. In: Renewable Energy. RePEc:eee:renene:v:216:y:2023:i:c:s0960148123009357.

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2023Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach. (2023). Fernandez-Aguado, Pilar Gomez ; Urea, Antonio Partal ; Gonzalez, Marta Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000338.

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2023Measurement and Calibration of Regulatory Credit Risk Asset Correlations. (2023). van Vuuren, Gary ; van Dyk, Anton. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:402-:d:1235319.

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2023Best-Case Scenario Robust Portfolio: Evidence from China Stock Market. (2023). Xian, Liang ; Wang, Lihua ; Tian, Jingsong ; Li, Jinjun ; Zhao, Guiyu ; Chen, Chen. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:2:d:10.1007_s10690-022-09375-7.

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2023Forecasting the Government Yield Curve in China: A Cyclical Reverting Mean Approach. (2023). Zhang, Fang ; Li, Songzhuo. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:78-90.

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2023Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula. (2023). Ge, Yingen ; Zhu, MO ; Wang, Xueqin ; Gong, Yuting ; Shi, Wenming. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:69-89.

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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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This paper has nother version. Agregated cites: 1
paper
2007Pricing tranched credit products with generalized multifactor models In: DEE - Working Papers. Business Economics. WB.
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paper0
2008Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects In: DEE - Working Papers. Business Economics. WB.
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paper9
2011Statistical properties and economic implications of jump-diffusion processes with shot-noise effects.(2011) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 9
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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This paper has nother version. Agregated cites: 2
paper
2018A term structure model under cyclical fluctuations in interest rates In: Economic Modelling.
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article3
.() In: .
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This paper has nother version. Agregated cites: 3
paper
2013Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? In: European Journal of Operational Research.
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article12
2015A cyclical square-root model for the term structure of interest rates In: European Journal of Operational Research.
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article12
2019Long-term swings and seasonality in energy markets In: European Journal of Operational Research.
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article5
.() In: .
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This paper has nother version. Agregated cites: 5
paper
2014Tail risk in energy portfolios In: Energy Economics.
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article17
2022The generalized Vasicek credit risk model: A Machine Learning approach In: Finance Research Letters.
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article1
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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article13
2017An approximate multi-period Vasicek credit risk model In: Journal of Banking & Finance.
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article1
2015Stochastic string models with continuous semimartingales In: Physica A: Statistical Mechanics and its Applications.
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article2
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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article2
2020Valuation of caps and swaptions under a stochastic string model In: Physica A: Statistical Mechanics and its Applications.
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article2
2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives In: Review of Derivatives Research.
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article48
2001On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives.(2001) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 48
paper
2019Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit In: Nature Communications.
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article0
2016Nonlinear spectra of spinons and holons in short GaAs quantum wires In: Nature Communications.
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article0
2015Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers In: QM&ET Working Papers.
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paper0
2008Australian Options In: Australian Journal of Management.
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article3
2020Random LGD adjustments in the Vasicek credit risk model In: The European Journal of Finance.
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article1
2015Portfolio selection with commodities under conditional copulas and skew preferences In: Quantitative Finance.
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article14
2022Bond market completeness under stochastic strings with distribution-valued strategies In: Quantitative Finance.
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article1
1996A two-mean reverting-factor model of the term structure of interest rates In: Economics Working Papers.
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paper3
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 nother version. Agregated cites: 3
article
1997Risk management under a two-factor model of the term structure of interest rates In: Economics Working Papers.
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paper1
1999On the relevance of modeling volatility for pricing purposes In: Economics Working Papers.
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paper0
2007GARCH modeling of robust market returns In: Kiel Advanced Studies Working Papers.
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paper0

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