Andrés Mora Valencia : Citation Profile

Are you Andrés Mora Valencia?

Universidad de los Andes (Colombia)

7

H index

3

i10 index

96

Citations

RESEARCH PRODUCTION:

27

Articles

3

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 8
   Journals where Andrés Mora Valencia has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 14 (12.73 %)

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   Permalink: http://citec.repec.org/pmo824
   Updated: 2023-11-04    RAS profile: 2022-05-07    
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Relations with other researchers

Works with:

Perote, Javier (8)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrés Mora Valencia.

Is cited by:

Cortés, Lina (19)

Perote, Javier (17)

Trespalacios, Alfredo (14)

Corbet, Shaen (6)

HU, YANG (5)

Oxley, Les (2)

Ahmed, Walid (2)

Popescu, Catalin (2)

Hossain, Monzur (1)

Smyth, Russell (1)

Klotzle, Marcelo (1)

Cites to:

Perote, Javier (96)

DEL BRIO, ESTHER (21)

Ñíguez Grau, Trino (20)

Engle, Robert (20)

Laurent, Sébastien (15)

Mauleón, Ignacio (14)

Cortés, Lina (13)

Giot, Pierre (12)

Bollerslev, Tim (11)

Jagannathan, Ravi (10)

Rockinger, Michael (10)

Main data

Where Andrés Mora Valencia has published?

Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications3
Risk Management3
The North American Journal of Economics and Finance2
Mathematics2
Estudios Gerenciales2
Emerging Markets Review2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo CIEF / Universidad EAFIT3

Recent works citing Andrés Mora Valencia (2023 and 2022)

YearTitle of citing document
2023Composite distributions in the social sciences: A comparative empirical study of firms sales distribution for France, Germany, Italy, Japan, South Korea, and Spain. (2023). Mizuno, Takayuki ; Fujimoto, Shouji ; Ishikawa, Atushi ; Massing, Till ; Ramos, Arturo. In: Papers. RePEc:arx:papers:2301.09438.

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2022Nationalization of private enterprises and default risk: Evidence from mixed-ownership reform in China. (2022). Li, Wanli ; Huang, Qing ; Ran, Maosheng ; Wang, Jinbo. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:534-553.

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2022Can low-carbon value bring high returns? Novel quantitative trading from portfolio-of-investment targets in a new-energy market. (2022). Ruan, Yinglin ; Liu, Shan ; Lu, Kai ; Zhu, Qing ; Yang, Sung-Byung ; Wang, Lin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:755-769.

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2022Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042.

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2022The growth of oil futures in China: Evidence of market maturity through global crises. (2022). Corbet, Shaen ; Oxley, Les ; Hu, Yang ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003863.

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2022The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters. (2022). Corbet, Shaen ; Oxley, Les ; Larkin, Charles ; Hu, Yang ; Hou, Yang ; Collings, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000229.

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2023An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2022Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic. (2022). Corbet, Shaen ; Oxley, Les ; Lucey, Brian ; Larkin, Charles ; Hu, Yang ; Hou, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s154461232100218x.

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2022Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach. (2022). Hakim, Arief ; Suprijanto, Djoko ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004517.

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2022Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk. (2022). Muller, Fernanda Maria ; Santos, Samuel Solgon ; Gossling, Thalles Weber ; Righi, Marcelo Brutti. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001878.

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2022Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003294.

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2022Have crisis-induced banking supports influenced European bank performance, resilience and price discovery?. (2022). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Cumming, Douglas J ; Oxley, Les. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s104244312200052x.

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2022Hedging UK stock portfolios with gold and oil: The impact of Brexit. (2022). Bouri, Elie ; Al-Fayoumi, Nedal ; Abuzayed, Bana. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004438.

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2022Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. (2022). Arbi, Lukman ; Muchtadi-Alamsyah, Intan ; Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005542.

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2023Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937.

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2022On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151.

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2023Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors. (2023). Zhu, Haoyang ; Dai, Zhifeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:421-450.

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2022The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets. (2022). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001318.

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2022Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model. (2022). Liu, Yimeng ; Song, Jiashan ; Zeng, Linhui ; Jiang, Kunliang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000228.

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2023Energy Transition and the Economy: A Review Article. (2023). Kosempel, Stephen ; Genc, Talat S. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:7:p:2965-:d:1106226.

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2022.

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2022.

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2023Effect of Chinese Currency Appreciation on Investments in Renewable Energy Projects in Countries along the Belt and Road. (2023). Zai, Wenjiao ; Ergu, Daji ; Wang, Huazhang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1784-:d:1038820.

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2022Deviation-Based Model Risk Measures. (2022). Righi, Marcelo Brutti ; Lakhnati, Ghizlane ; Muller, Fernanda Maria ; Berkhouch, Mohammed. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10093-x.

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2022Business strategy, market power, and stock price crash risk: Evidence from China. (2022). Wahab, Salman ; Qayyum, Abdul ; Chen, Yingying ; Safi, Adnan. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00080-9.

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2022Oil tail-risk forecasts: from financial crisis to COVID-19. (2022). Kuang, Wei. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:4:d:10.1057_s41283-022-00100-2.

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2023Risk measures-based cluster methods for finance. (2023). Righi, Marcelo Brutti ; Muller, Fernanda Maria ; Guedes, Pablo Cristini. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0.

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2022Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic. (2022). Cui, Jinxin ; Maghyereh, Aktham. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00395-w.

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2023Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets. (2023). Kang, Sang Hoon ; Pham, Linh ; Ko, Hee-Un ; Hanif, Waqas. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00474-6.

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2022Interpolation of non-random missing values in financial statements’ big data using CatBoost. (2022). Ishikawa, Atushi ; Mizuno, Takayuki ; Fujimoto, Shouji. In: Journal of Computational Social Science. RePEc:spr:jcsosc:v:5:y:2022:i:2:d:10.1007_s42001-022-00165-9.

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Works by Andrés Mora Valencia:

YearTitleTypeCited
2011CDS: relación con índices accionarios y medida de riesgo In: Revista ESPE - Ensayos sobre Política Económica.
[Full Text][Citation analysis]		article0
2011CDS: relación con índices accionarios y medida de riesgo.(2011) In: Revista ESPE - Ensayos Sobre Política Económica.
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This paper has another version. Agregated cites: 0		article
2016The productivity of top researchers: A semi-nonparametric approach In: Documentos de Trabajo CIEF.
[Full Text][Citation analysis]		paper8
2016The productivity of top researchers: a semi-nonparametric approach.(2016) In: Scientometrics.
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This paper has another version. Agregated cites: 8		article
2017Measuring firm size distribution with semi-nonparametric densities In: Documentos de Trabajo CIEF.
[Full Text][Citation analysis]		paper12
2017Measuring firm size distribution with semi-nonparametric densities.(2017) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 12		article
2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach In: Documentos de Trabajo CIEF.
[Full Text][Citation analysis]		paper0
2015Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad In: Estudios Gerenciales.
[Full Text][Citation analysis]		article1
2015Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes me?todos de estimacio?n de la volatilidad In: Estudios Gerenciales.
[Full Text][Citation analysis]		article1
2010Consideraciones en la estimación de cuantiles altos en el riesgo operativo In: Análisis - Revista del Mercado de Valores.
[Full Text][Citation analysis]		article0
2020Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2021Skew index: Descriptive analysis, predictive power, and short-term forecast In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2014VaR performance during the subprime and sovereign debt crises: An application to emerging markets In: Emerging Markets Review.
[Full Text][Citation analysis]		article9
2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets In: Emerging Markets Review.
[Full Text][Citation analysis]		article21
2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article11
2018Moral hazard and default risk of SMEs with collateralized loans In: Finance Research Letters.
[Full Text][Citation analysis]		article8
2014Semi-nonparametric VaR forecasts for hedge funds during the recent crisis In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article4
2020Market-crash forecasting based on the dynamics of the alpha-stable distribution In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article1
2022Semi-nonparametric risk assessment with cryptocurrencies In: Research in International Business and Finance.
[Full Text][Citation analysis]		article3
2020A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets In: Energies.
[Full Text][Citation analysis]		article6
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2019Quantifying Risk in Traditional Energy and Sustainable Investments In: Sustainability.
[Full Text][Citation analysis]		article2
2017The Return Performance of Cubic Market Model: An Application to Emerging Markets In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article0
2014El uso de la distribución g-h en riesgo operativo In: Contaduría y Administración.
[Full Text][Citation analysis]		article0
2017Risk quantification in turmoil markets In: Risk Management.
[Full Text][Citation analysis]		article7
2019Testing expected shortfall: an application to emerging market stock indices In: Risk Management.
[Full Text][Citation analysis]		article1
2022Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies In: Risk Management.
[Full Text][Citation analysis]		article0
2017Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory.
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2021Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions In: Springer Books.
[Citation analysis]		chapter0
2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures In: International Journal of Finance & Economics.
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