Andrés Mora Valencia : Citation Profile

Universidad de los Andes (Colombia)

8

H index

4

i10 index

134

Citations

RESEARCH PRODUCTION:

39

Articles

3

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2010 - 2025). See details.
   Cites by year: 8
   Journals where Andrés Mora Valencia has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 18 (11.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo824
   Updated: 2025-12-27    RAS profile: 2025-12-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Perote, Javier (15)

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

Is cited by:

Perote, Javier (21)

Cortés, Lina (19)

Trespalacios, Alfredo (14)

Corbet, Shaen (7)

HU, YANG (7)

Jalkh, Naji (4)

Righi, Marcelo (4)

Maghyereh, Aktham (3)

Larkin, Charles (3)

Popescu, Catalin (2)

Maneejuk, Paravee (2)

Cites to:

Perote, Javier (123)

Ñíguez Grau, Trino (28)

DEL BRIO, ESTHER (25)

Engle, Robert (22)

Mauleón, Ignacio (20)

Cortés, Lina (17)

Laurent, Sébastien (15)

Bouri, Elie (14)

Giot, Pierre (12)

Gallant, A. (11)

Bollerslev, Tim (11)

Main data

Where Andrés Mora Valencia has published?

Journals with more than one article published# docs
Risk Management5
Emerging Markets Review4
Physica A: Statistical Mechanics and its Applications3
Finance Research Letters2
Energies2
The North American Journal of Economics and Finance2
Mathematics2
Estudios Gerenciales2

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

Recent works citing Andrés Mora Valencia (2025 and 2024)

YearTitle of citing document
2025Forecasting and Assessing the Impact of Direct Tax Risks on the Short-Term Financial Policy of a Russian Vertically Integrated Oil Company. (2025). Shvediani, Angi Y ; Saranin, Zakhar A. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:24:y:2025:i:2:p:654-684.

Full description at Econpapers || Download paper

2025The effect of currency risk on crypto asset utilization in Türkiye. (2025). Smales, Lee ; Baur, Dirk G ; Oefele, Nico. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000135.

Full description at Econpapers || Download paper

2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Syuhada, Khreshna ; Suprijanto, Djoko ; Hakim, Arief. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

Full description at Econpapers || Download paper

2024Multiscale quantile dependence between Chinas green bond and green equity: Fresh evidence from higher-order moment perspective. (2024). Zhang, Yongmin ; Yang, Xiaomei ; Hau, Liya. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004174.

Full description at Econpapers || Download paper

2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Syuhada, Khreshna ; Hakim, Arief. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

Full description at Econpapers || Download paper

2024Price discovery of climate risk and green bonds: A dynamic information leadership share approach. (2024). Goodell, John W ; Hou, Yang ; Oxley, Les ; Xu, Danyang. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011279.

Full description at Econpapers || Download paper

2024Some stylized facts about bitcoin halving. (2024). Lashkaripour, Mohammadhossein. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012273.

Full description at Econpapers || Download paper

2025Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach. (2025). Perote, Javier ; Rendn, Juan F ; Corts, Lina M. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000506.

Full description at Econpapers || Download paper

2024Top research performance in Poland over three decades: A multidimensional micro-data approach. (2024). Roszka, Wojciech ; Kwiek, Marek. In: Journal of Informetrics. RePEc:eee:infome:v:18:y:2024:i:4:s175115772400107x.

Full description at Econpapers || Download paper

2024A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices. (2024). Muzzioli, Silvia ; Campisi, Giovanni ; de Baets, Bernard. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:869-880.

Full description at Econpapers || Download paper

2024On the estimation of Value-at-Risk and Expected Shortfall at extreme levels. (2024). Wang, Shixuan ; Lazar, Emese ; Pan, Jingqi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000102.

Full description at Econpapers || Download paper

2024Food-fuel nexus beyond mean-variance: New evidence from a quantile approach. (2024). Etienne, Xiaoli ; Wang, Linjie ; Li, Jian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000606.

Full description at Econpapers || Download paper

2025Can fourth industrial revolution assets provide diversification benefits for traditional sectoral stocks? Evidence from China. (2025). Zhao, Yachao ; Su, Xianfang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24004141.

Full description at Econpapers || Download paper

2024Fear, extreme fear and U.S. stock market returns. (2024). Gradojevic, Nikola ; Bouri, Elie ; Nekhili, Ramzi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:656:y:2024:i:c:s0378437124007210.

Full description at Econpapers || Download paper

2025Causality and dynamic volatility spillover between the cryptocurrency implied exchange rate and the official exchange rate. (2025). Ma, Shiqun ; Feng, Chao ; Yin, Zhichao ; Xiang, Lijin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:666:y:2025:i:c:s0378437125001657.

Full description at Econpapers || Download paper

2024Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments. (2024). Maghyereh, Aktham ; Cui, Jinxin ; Liao, Dijia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004623.

Full description at Econpapers || Download paper

2024Do conventional and new energy stock markets herd differently? Evidence from China. (2024). Yue, Zhonggang ; Jiang, Lijun ; Hong, Hui ; Zhang, Cheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002465.

Full description at Econpapers || Download paper

2024Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453.

Full description at Econpapers || Download paper

2024Exploring the use of emotional sentiment to understanding market response to unexpected corporate pivots. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Taffler, Richard ; Cioroianu, Iulia ; Larkin, Charles. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924000977.

Full description at Econpapers || Download paper

2025Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers. (2025). Perlin, Marcelo Scherer ; Mller, Fernanda Maria ; Almeida, Lucas Mussoi. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10585-6.

Full description at Econpapers || Download paper

2025Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible?. (2025). Cruz, Carlos A ; Novoa-Hernndez, Pavel ; Lara-Rubio, Juan ; Navarro-Galera, Andrs. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10586-5.

Full description at Econpapers || Download paper

2024Mixtures of log-normal distributions in the mid-scale range of firm-size variables. (2024). Ramos, Arturo ; Massing, Till ; Ishikawa, Atushi ; Fujimoto, Shouji ; Mizuno, Takayuki. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:21:y:2024:i:2:d:10.1007_s40844-024-00283-1.

Full description at Econpapers || Download paper

2024The dynamic connectedness between collateralized loan obligations and major asset classes: a TVP-VAR approach and portfolio hedging strategies for investors. (2024). Papathanasiou, Spyros ; Kenourgios, Dimitris ; Pergeris, Georgios ; Koutsokostas, Drosos. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:3:d:10.1007_s00181-024-02583-2.

Full description at Econpapers || Download paper

2025The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach. (2025). Jiang, Xuejun ; Cheng, Lingju ; Dai, Xinjie. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00680-w.

Full description at Econpapers || Download paper

2025Firm failure prediction for small and medium-sized enterprises and new ventures. (2025). Guedes, Maria Joao ; Wang, Weiyu. In: Review of Managerial Science. RePEc:spr:rvmgts:v:19:y:2025:i:7:d:10.1007_s11846-024-00742-4.

Full description at Econpapers || Download paper

2024Trading commodity ETFs: Price behavior, investment insights, and performance analysis. (2024). Nippani, Srinivas ; Hadad, Elroi ; Malhotra, Davinder. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1257-1276.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Moral hazard index for credit risk to SMEs In: International Economics.
[Full Text][Citation analysis]		article0
2022Moral hazard index for credit risk to SMEs.(2022) In: International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2016The productivity of top researchers: A semi-nonparametric approach In: Documentos de Trabajo de Valor Público.
[Full Text][Citation analysis]		paper9
2016The productivity of top researchers: a semi-nonparametric approach.(2016) In: Scientometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2017Measuring firm size distribution with semi-nonparametric densities In: Documentos de Trabajo de Valor Público.
[Full Text][Citation analysis]		paper13
2017Measuring firm size distribution with semi-nonparametric densities.(2017) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach In: Documentos de Trabajo de Valor Público.
[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 métodos de estimación 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]		article2
2021Skew index: Descriptive analysis, predictive power, and short-term forecast In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article2
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]		article30
2023Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model In: Emerging Markets Review.
[Full Text][Citation analysis]		article4
2025Dynamic volatility spillovers among commodities, bitcoin, and emerging markets In: Emerging Markets Review.
[Full Text][Citation analysis]		article0
2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article12
2018Moral hazard and default risk of SMEs with collateralized loans In: Finance Research Letters.
[Full Text][Citation analysis]		article11
2022Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2023Earnings management to avoid losses: Evidence in non-listed Colombian companies In: Journal of International Accounting, Auditing and Taxation.
[Full Text][Citation analysis]		article0
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]		article2
2024Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article2
2022Semi-nonparametric risk assessment with cryptocurrencies In: Research in International Business and Finance.
[Full Text][Citation analysis]		article5
2020A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets In: Energies.
[Full Text][Citation analysis]		article8
2024Real Options Volatility Surface for Valuing Renewable Energy Projects In: Energies.
[Full Text][Citation analysis]		article0
2020Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies In: Mathematics.
[Full Text][Citation analysis]		article2
2021Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index In: Mathematics.
[Full Text][Citation analysis]		article0
2019Quantifying Risk in Traditional Energy and Sustainable Investments In: Sustainability.
[Full Text][Citation analysis]		article3
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]		article9
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
2025Skew Index: a machine learning forecasting approach In: Risk Management.
[Full Text][Citation analysis]		article0
2025Correction: Skew Index: a machine learning forecasting approach.(2025) In: Risk Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
A note on the standard measurement approach versus the loss distribution approach€“advanced measurement approach: the dawning of a new regulation In: Journal of Operational Risk.
[Full Text][Citation analysis]		article0
2017Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory.
[Full Text][Citation analysis]		article1
2021Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions In: Springer Books.
[Citation analysis]		chapter0
2022Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns In: The Engineering Economist.
[Full Text][Citation analysis]		article0
2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team