8
H index
6
i10 index
177
Citations
Manuel Moreno : Citation Profile
Universidad de Castilla La Mancha (50% share) | RESEARCH PRODUCTION: 23 Articles 14 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1995 - 2024). 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 |
| Finance Research Letters | 2 |
| Nature Communications | 2 |
Recent works citing Manuel Moreno (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2025). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166. Full description at Econpapers || Download paper |
| 2025 | Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing. (2024). Yang, Yang ; Qiu, Jinniao ; Ware, Antony. In: Papers. RePEc:arx:papers:2406.16400. Full description at Econpapers || Download paper |
| 2025 | Through-the-Cycle PD Estimation Under Incomplete Data -- A Single Risk Factor Approach. (2025). Ill, Ferenc ; Domotor, Barbara. In: Papers. RePEc:arx:papers:2508.15651. Full description at Econpapers || Download paper |
| 2025 | Assessing swaption portfolios for prepayment risk mitigation. A parametric perspective. (2025). Perrotta, Adamaria ; Monaco, Andrea ; Sgarabottolo, Alessandro. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:729. Full description at Econpapers || Download paper |
| 2024 | Tail risk spillovers between Shanghai oil and other markets. (2024). Shafiullah, Muhammad ; lucey, brian ; Karim, Sitara ; Gul, Raazia ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323006801. Full description at Econpapers || Download paper |
| 2024 | Volatility spillovers among economic policy uncertainty, energy and carbon markets—The quantile time-frequency perspective. (2024). Liu, Xutang ; Jiang, Wei ; Dong, Lingfei ; Zou, Liming. In: Energy. RePEc:eee:energy:v:307:y:2024:i:c:s0360544224024575. Full description at Econpapers || Download paper |
| 2024 | Bitcoin attention and economic policy uncertainty. (2024). Ordóñez, Javier ; Monfort, Mercedes ; Lafuente, Juan A ; Ordoez, Javier ; Gill-De, Belen. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012114. Full description at Econpapers || Download paper |
| 2024 | A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options. (2024). Stentoft, Lars ; Zhu, Xiaotian ; Reesor, Mark R. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004094. Full description at Econpapers || Download paper |
| 2024 | Coping with longevity via hedging: Fair dynamic valuation of variable annuities. (2024). Chen, ZE ; Yang, Tianyu ; Feng, Runhuan ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:154-169. Full description at Econpapers || Download paper |
| 2024 | Commodity market downturn: Systemic risk and spillovers during left tail events. (2024). Çevik, Emrah ; Kirimhan, Destan ; Gunay, Samet. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000643. Full description at Econpapers || Download paper |
| 2024 | Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility. (2024). Almeida, Thiago Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001302. Full description at Econpapers || Download paper |
| 2024 | The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study. (2024). Esparcia, Carlos ; Diaz, Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002897. Full description at Econpapers || Download paper |
| 2025 | Swing option-implied volatility. (2025). Auer, Benjamin R ; Mhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09214-7. Full description at Econpapers || Download paper |
| 2024 | Momentum-dependent scaling exponents of nodal self-energies measured in strange metal cuprates and modelled using semi-holography. (2024). Takeuchi, T ; Gerritsen, F ; Kondo, T ; Mauri, E ; Kim, T K ; Heumen, E ; Smit, S ; Cacho, C ; Hussey, N E ; Krikun, A ; Golden, M S ; Allan, M ; Bawden, L ; Schalm, K ; H. T. C. Stoof, ; Huang, Y K ; Heringa, F. In: Nature Communications. RePEc:nat:natcom:v:15:y:2024:i:1:d:10.1038_s41467-024-48594-6. Full description at Econpapers || Download paper |
| 2024 | A unified European hydrogen infrastructure planning to support the rapid scale-up of hydrogen production. (2024). Bramstoft, Rasmus ; Munster, Marie ; Gea-Bermudez, Juan ; Kountouris, Ioannis ; Keles, Dogan ; Madsen, Theis. In: Nature Communications. RePEc:nat:natcom:v:15:y:2024:i:1:d:10.1038_s41467-024-49867-w. Full description at Econpapers || Download paper |
| 2025 | Dominant end-tunneling effect in two distinct Luttinger liquids coexisting in one quantum wire. (2025). Tsyplyatyev, Oleksandr ; Weldeyesus, Henok ; Zumbhl, Dominik M ; Ritchie, David A ; Farrer, Ian ; Griffiths, Jonathan P ; Scheller, Christian P ; Moreno, Mara ; Jin, Yiqing ; Tan, Wooi Kiat ; Sedeh, Omid Sharifi. In: Nature Communications. RePEc:nat:natcom:v:16:y:2025:i:1:d:10.1038_s41467-025-62325-5. Full description at Econpapers || Download paper |
| 2025 | Risk Measures and Portfolio Choices for Gain-Loss Dependent Objectives. (2025). Chow, Nikolai Sheung-Chi. In: MPRA Paper. RePEc:pra:mprapa:124440. Full description at Econpapers || Download paper |
| 2024 | Seasonal volatility in agricultural markets: modelling and empirical investigations. (2024). Schneider, L ; Tavin, B. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04241-7. Full description at Econpapers || Download paper |
| 2025 | A multi-objective pair trading strategy: integrating neural networks and cyclical insights for optimal trading performance. (2025). Platania, Federico ; Appio, Francesco ; Hernandez, Celina Toscano ; el Ouadghiri, Imane ; Peillex, Jonathan. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:2:d:10.1007_s10479-023-05754-z. Full description at Econpapers || Download paper |
| 2024 | Some properties of the maximum loss on loan portfolios. (2024). Vrs, Jzsef. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:32:y:2024:i:1:d:10.1007_s10100-022-00837-x. Full description at Econpapers || Download paper |
| 2025 | The 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 |
Works by Manuel Moreno:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2003 | Australian Asian Options In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 |
| 2019 | A term structure model under cyclical fluctuations in interest rates.(2019) In: Documentos de Trabajo del ICAE. [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 | 13 |
| 2019 | Long-term swings and seasonality in energy markets In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 9 |
| 2019 | Long-term swings and seasonality in energy markets.(2019) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2014 | Tail risk in energy portfolios In: Energy Economics. [Full Text][Citation analysis] | article | 21 |
| 2022 | The generalized Vasicek credit risk model: A Machine Learning approach In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2023 | The impact of public attention during the COVID-19 pandemic 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 | 15 |
| 2017 | An approximate multi-period Vasicek credit risk model In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 2015 | Stochastic string models with continuous semimartingales In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 3 |
| 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 |
| 2012 | On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter? In: Contemporary Studies in Economic and Financial Analysis. [Full Text][Citation analysis] | chapter | 0 |
| 2003 | On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 52 |
| 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: 52 | paper | |
| 2019 | Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit In: Nature Communications. [Full Text][Citation analysis] | article | 2 |
| 2016 | Nonlinear spectra of spinons and holons in short GaAs quantum wires In: Nature Communications. [Full Text][Citation analysis] | article | 1 |
| 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 |
| 2024 | Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 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 | 15 |
| 2022 | Bond market completeness under stochastic strings with distribution-valued strategies In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 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 |
| 2003 | Australian Asian options In: Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 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. Last updated November, 20 2025. Contact: CitEc Team