7
H index
6
i10 index
155
Citations
Manuel Moreno : Citation Profile
Barcelona School of Economics (BSE) (50% share) | RESEARCH PRODUCTION: 21 Articles 14 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1995 - 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 Manuel Moreno. | Is cited by:
| Cites to:
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Main data
Where Manuel Moreno has published?
| Journals with more than one article published | # docs |
|---|---|
| European Journal of Operational Research | 4 |
| Physica A: Statistical Mechanics and its Applications | 3 |
| Journal of Banking & Finance | 3 |
| Quantitative Finance | 2 |
| Nature Communications | 2 |
Recent works citing Manuel Moreno (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Risk management with Local Least Squares Monte-Carlo. (2023). Akbaraly, Adnane ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023003. Full description at Econpapers || Download paper |
| 2023 | Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166. Full description at Econpapers || Download paper |
| 2023 | Accounting 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. 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 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
| 2023 | Research 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. Full description at Econpapers || Download paper |
| 2023 | Exploring 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. Full description at Econpapers || Download paper |
| 2024 | Tail risk spillovers between Shanghai oil and other markets. (2024). Shafiullah, Muhammad ; Gul, Raazia ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323006801. Full description at Econpapers || Download paper |
| 2023 | Valuing 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. Full description at Econpapers || Download paper |
| 2023 | Forecasting 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. Full description at Econpapers || Download paper |
| 2023 | Measurement 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. Full description at Econpapers || Download paper |
| 2023 | Best-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. Full description at Econpapers || Download paper |
| 2023 | Forecasting 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. Full description at Econpapers || Download paper |
| 2023 | Maximum 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. Full description at Econpapers || Download paper |
Works by Manuel Moreno:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2003 | Australian Asian Options In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Australian Asian options.(2003) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2007 | Pricing tranched credit products with generalized multifactor models In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 9 |
| 2011 | Statistical properties and economic implications of jump-diffusion processes with shot-noise effects.(2011) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 1995 | On the term structure of Interbank interest rates: jump-diffusion processes and option pricing In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 1996 | On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing.(1996) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | A term structure model under cyclical fluctuations in interest rates In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | ||
| 2013 | Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 12 |
| 2015 | A cyclical square-root model for the term structure of interest rates In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 12 |
| 2019 | Long-term swings and seasonality in energy markets In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | ||
| 2014 | Tail risk in energy portfolios In: Energy Economics. [Full Text][Citation analysis] | article | 18 |
| 2022 | The generalized Vasicek credit risk model: A Machine Learning approach In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2014 | Estimating the distribution of total default losses on the Spanish financial system In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | One-sided performance measures under Gram-Charlier distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
| 2017 | An approximate multi-period Vasicek credit risk model In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Stochastic string models with continuous semimartingales In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 2 |
| 2016 | The stochastic string model as a unifying theory of the term structure of interest rates In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 2 |
| 2020 | Valuation of caps and swaptions under a stochastic string model In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 2 |
| 2003 | On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 48 |
| 2001 | On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives.(2001) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
| 2019 | Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit In: Nature Communications. [Full Text][Citation analysis] | article | 1 |
| 2016 | Nonlinear spectra of spinons and holons in short GaAs quantum wires In: Nature Communications. [Full Text][Citation analysis] | article | 0 |
| 2015 | Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers In: QM&ET Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Australian Options In: Australian Journal of Management. [Full Text][Citation analysis] | article | 3 |
| 2020 | Random LGD adjustments in the Vasicek credit risk model In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Portfolio selection with commodities under conditional copulas and skew preferences In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
| 2022 | Bond market completeness under stochastic strings with distribution-valued strategies In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 1996 | A two-mean reverting-factor model of the term structure of interest rates In: Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | A two?mean reverting?factor model of the term structure of interest rates.(2003) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 1997 | Risk management under a two-factor model of the term structure of interest rates In: Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | On the relevance of modeling volatility for pricing purposes In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | GARCH modeling of robust market returns In: Kiel Advanced Studies Working Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 27 2024. Contact: CitEc Team