8
H index
8
i10 index
363
Citations
Banco de España | 8 H index 8 i10 index 363 Citations RESEARCH PRODUCTION: 9 Articles 25 Papers RESEARCH ACTIVITY: 15 years (2004 - 2019). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pme741 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Javier Mencia. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Banco de España | 10 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 4 |
Year | Title of citing document |
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2023 | Stressing Dynamic Loss Models. (2022). Jaimungal, Sebastian ; Pesenti, Silvana M ; Kroell, Emma. In: Papers. RePEc:arx:papers:2211.03221. Full description at Econpapers || Download paper |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper |
2024 | The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach. (2024). Pop, Adrian ; Levy-Rueff, Guy ; Darne, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001007. 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 | Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142. Full description at Econpapers || Download paper |
2023 | On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236. Full description at Econpapers || Download paper |
2023 | Pricing VIX futures: A framework with random level shifts. (2023). Wang, Tianyi ; Feng, Jianfen ; Chen, Xiaoyi. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006778. Full description at Econpapers || Download paper |
2024 | Stressing dynamic loss models. (2024). Jaimungal, Sebastian ; Pesenti, Silvana M ; Kroell, Emma. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:56-78. Full description at Econpapers || Download paper |
2023 | GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989. Full description at Econpapers || Download paper |
2023 | Machine learning-based profit modeling for credit card underwriting - implications for credit risk. (2023). Krivorotov, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000213. Full description at Econpapers || Download paper |
2023 | Bridging the gap from the current deposit insurance fund to a fund target. (2023). Ufier, Alexander B ; Okeefe, John P ; Kusaya, Charles. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:148-157. Full description at Econpapers || Download paper |
2023 | Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Macroprudential policy: objectives, instruments and indicators In: Occasional Papers. [Full Text][Citation analysis] | paper | 5 |
2018 | Sovereign bond-backed Securities as European reference safe assets: a review of the proposal by the ESRB-HLTF In: Revista de Estabilidad Financiera. [Full Text][Citation analysis] | article | 0 |
2007 | Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers. [Full Text][Citation analysis] | paper | 55 |
2005 | Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
2005 | Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
2007 | Modeling the distribution of credit losses with observable and latent factors In: Working Papers. [Full Text][Citation analysis] | paper | 21 |
2009 | Modelling the distribution of credit losses with observable and latent factors.(2009) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers. [Full Text][Citation analysis] | paper | 65 |
2008 | Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | article | |
2009 | Assessing the risk-return trade-off in loans portfolios In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | Assessing the risk-return trade-off in loan portfolios.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2009 | Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers. [Full Text][Citation analysis] | paper | 46 |
2008 | Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2012 | Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations.(2012) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
2010 | Testing non-linear dependence in the hedge fund industry In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Testing Nonlinear Dependence in the Hedge Fund Industry.(2012) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2010 | A systematic approach to multi-period stress testing of portfolio credit risk In: Working Papers. [Full Text][Citation analysis] | paper | 35 |
2012 | A systematic approach to multi-period stress testing of portfolio credit risk.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2012 | Valuation of vix derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 88 |
2009 | Valuation of VIX Derivatives.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
2010 | Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
2013 | Valuation of VIX derivatives.(2013) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | article | |
2018 | Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
2018 | What drives sovereign debt portfolios of banks in a crisis context? In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2019 | What drives sovereign debt portfolios of banks in a crisis context?.(2019) In: ESRB Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2004 | Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
2005 | Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2004 | Estimation and testing of dynamic models with generalised hyperbolic innovations.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2014 | Distributional Linkages between European Sovereign Bond and Bank Asset Returns In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Volatility-Related Exchange Traded Assets: An Econometric Investigation In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2015 | Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2018 | Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2018) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2018 | Conditional Return Asymmetries in the Sovereign-Bank Nexus In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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