Trino-Manuel Ñíguez : Citation Profile


Are you Trino-Manuel Ñíguez?

University of Westminster

5

H index

3

i10 index

86

Citations

RESEARCH PRODUCTION:

16

Articles

9

Papers

RESEARCH ACTIVITY:

   20 years (2003 - 2023). See details.
   Cites by year: 4
   Journals where Trino-Manuel Ñíguez has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 10 (10.42 %)

EXPERT IN:

   Specific Distributions
   Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
   Model Evaluation, Validation, and Selection
   Forecasting and Prediction Methods; Simulation Methods
   Criteria for Decision-Making under Risk and Uncertainty

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu249
   Updated: 2024-11-04    RAS profile: 2024-05-07    
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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:

Perote, Javier (37)

Mora-Valencia, Andrés (22)

Cortés, Lina (11)

Corbet, Shaen (10)

HU, YANG (8)

Georgescu, Irina (7)

DEL BRIO, ESTHER (7)

Trespalacios, Alfredo (5)

Larkin, Charles (4)

Zagaglia, Paolo (3)

Gabrielsen, Alexandros (3)

Cites to:

Perote, Javier (44)

Engle, Robert (29)

Bollerslev, Tim (28)

Laurent, Sébastien (17)

Jondeau, Eric (16)

Diebold, Francis (16)

Sentana, Enrique (15)

Rockinger, Michael (15)

Gallant, A. (13)

DEL BRIO, ESTHER (12)

Tay, Anthony S (10)

Main data


Where Trino-Manuel Ñíguez has published?


Journals with more than one article published# docs
Finance Research Letters2
Journal of Banking & Finance2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)2
Working Papers / Banco de España2
Working Papers / Lancaster University Management School, Economics Department2

Recent works citing Trino-Manuel Ñíguez (2024 and 2023)


YearTitle of citing document
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.

Full description at Econpapers || Download paper

2023Spillovers 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

2024Financial 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.

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2024Bitcoin 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.

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2023Re-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

2023RISK-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

2023Symmetric 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:


YearTitleTypeCited
2015Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers.
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paper0
2016Multivariate moments expansion density: application of the dynamic equicorrelation model In: Working Papers.
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paper14
2016Multivariate moments expansion density: Application of the dynamic equicorrelation model.(2016) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 14
article
2004Forecasting the density of asset returns In: STICERD - Econometrics Paper Series.
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paper2
2004Forecasting the density of asset returns.(2004) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 2
paper
2017Moments expansion densities for quantifying financial risk In: The North American Journal of Economics and Finance.
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article5
2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications In: Journal of Empirical Finance.
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article0
2016Pure higher-order effects in the portfolio choice model In: Finance Research Letters.
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article8
2021Backtesting VaR under the COVID-19 sudden changes in volatility In: Finance Research Letters.
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article2
2011Multivariate semi-nonparametric distributions with dynamic conditional correlations In: International Journal of Forecasting.
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article21
2020Modeling asset returns under time-varying semi-nonparametric distributions In: Journal of Banking & Finance.
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article0
2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk In: The Quarterly Review of Economics and Finance.
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article0
2021Copula methods for evaluating relative tail forecasting performance In: Journal of Risk Finance.
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article0
In: .
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article2
2003VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA In: Working Papers. Serie AD.
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paper0
2003FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE In: Working Papers. Serie AD.
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paper6
2006Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence.(2006) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 6
article
2013Higher-order moments in the theory of diversification and portfolio composition In: Working Papers.
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paper5
2011On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers.
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paper1
2008Multivariate Gram-Charlier Densities In: MPRA Paper.
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paper0
2017Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory.
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article2
2008Volatility and VaR forecasting in the Madrid Stock Exchange In: Spanish Economic Review.
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article1
2022Polynomial adjusted Student-t densities for modeling asset returns In: The European Journal of Finance.
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article0
2019Flexible distribution functions, higher-order preferences and optimal portfolio allocation In: Quantitative Finance.
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article5
2009Gram-Charlier densities: a multivariate approach In: Quantitative Finance.
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article12

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team