7
H index
3
i10 index
108
Citations
Andrés Mora Valencia : Citation Profile
Universidad de los Andes (Colombia) | RESEARCH PRODUCTION: 35 Articles 3 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2010 - 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 Andrés Mora Valencia. | Is cited by:
| Cites to:
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Main data
Where Andrés Mora Valencia has published?
| Journals with more than one article published | # docs |
|---|---|
| Emerging Markets Review | 3 |
| Risk Management | 3 |
| Physica A: Statistical Mechanics and its Applications | 3 |
| Estudios Gerenciales | 2 |
| Finance Research Letters | 2 |
| Energies | 2 |
| Mathematics | 2 |
| The North American Journal of Economics and Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Documentos de Trabajo CIEF / Universidad EAFIT | 3 |
Recent works citing Andrés Mora Valencia (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Composite 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. Full description at Econpapers || Download paper |
| 2023 | Backtesting portfolio valueâ€atâ€risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619. Full description at Econpapers || Download paper |
| 2024 | Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594. Full description at Econpapers || Download paper |
| 2023 | An 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. Full description at Econpapers || Download paper |
| 2023 | From 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. Full description at Econpapers || Download paper |
| 2023 | Spillovers 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 |
| 2024 | Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703. Full description at Econpapers || Download paper |
| 2023 | Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318. Full description at Econpapers || Download paper |
| 2023 | Realized higher-order moments spillovers between commodity and stock markets: Evidence from China. (2023). Xu, Yahua ; Gao, Wang ; Bouri, Elie ; Jin, Chen ; Zhang, Hongwei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000320. Full description at Econpapers || Download paper |
| 2023 | Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000132. Full description at Econpapers || Download paper |
| 2023 | Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets. (2023). Alshater, Muneer ; Mensi, Walid ; Cui, Jinxin. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009972. Full description at Econpapers || Download paper |
| 2023 | Efficiency 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. Full description at Econpapers || Download paper |
| 2023 | Dynamic 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. Full description at Econpapers || Download paper |
| 2024 | Do conventional and new energy stock markets herd differently? Evidence from China. (2024). Zhang, Cheng ; Jiang, Lijun ; Hong, Hui ; Yue, Zhonggang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002465. Full description at Econpapers || Download paper |
| 2024 | Selling 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 |
| 2023 | Energy 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. Full description at Econpapers || Download paper |
| 2023 | Effect 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. Full description at Econpapers || Download paper |
| 2023 | Risk 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. Full description at Econpapers || Download paper |
| 2023 | Dynamic 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. Full description at Econpapers || Download paper |
| 2024 | Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925. Full description at Econpapers || Download paper |
Works by Andrés Mora Valencia:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | CDS: relación con índices accionarios y medida de riesgo In: Revista ESPE - Ensayos sobre Política Económica. [Full Text][Citation analysis] | article | 0 |
| 2011 | CDS: 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 | |
| 2022 | Moral hazard index for credit risk to SMEs In: International Economics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Moral hazard index for credit risk to SMEs.(2022) In: International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | The productivity of top researchers: A semi-nonparametric approach In: Documentos de Trabajo de Valor Público. [Full Text][Citation analysis] | paper | 8 |
| 2016 | The productivity of top researchers: a semi-nonparametric approach.(2016) In: Scientometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2017 | Measuring firm size distribution with semi-nonparametric densities In: Documentos de Trabajo de Valor Público. [Full Text][Citation analysis] | paper | 12 |
| 2017 | Measuring 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: 12 | article | |
| 2017 | Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach In: Documentos de Trabajo de Valor Público. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad In: Estudios Gerenciales. [Full Text][Citation analysis] | article | 1 |
| 2015 | Opciones 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] | article | 1 |
| 2010 | Consideraciones en la estimación de cuantiles altos en el riesgo operativo In: Análisis - Revista del Mercado de Valores. [Full Text][Citation analysis] | article | 0 |
| 2020 | Retrieving 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] | article | 1 |
| 2021 | Skew index: Descriptive analysis, predictive power, and short-term forecast In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | VaR performance during the subprime and sovereign debt crises: An application to emerging markets In: Emerging Markets Review. [Full Text][Citation analysis] | article | 9 |
| 2017 | The kidnapping of Europe: High-order moments transmission between developed and emerging markets In: Emerging Markets Review. [Full Text][Citation analysis] | article | 26 |
| 2023 | Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model In: Emerging Markets Review. [Full Text][Citation analysis] | article | 0 |
| 2020 | Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 11 |
| 2018 | Moral hazard and default risk of SMEs with collateralized loans In: Finance Research Letters. [Full Text][Citation analysis] | article | 8 |
| 2022 | Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2023 | Earnings management to avoid losses: Evidence in non-listed Colombian companies In: Journal of International Accounting, Auditing and Taxation. [Full Text][Citation analysis] | article | 0 |
| 2014 | Semi-nonparametric VaR forecasts for hedge funds during the recent crisis In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 4 |
| 2020 | Market-crash forecasting based on the dynamics of the alpha-stable distribution In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
| 2024 | Bitcoin 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] | article | 0 |
| 2022 | Semi-nonparametric risk assessment with cryptocurrencies In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 5 |
| 2020 | A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets In: Energies. [Full Text][Citation analysis] | article | 8 |
| 2024 | Real Options Volatility Surface for Valuing Renewable Energy Projects In: Energies. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 1 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2019 | Quantifying Risk in Traditional Energy and Sustainable Investments In: Sustainability. [Full Text][Citation analysis] | article | 3 |
| 2017 | The Return Performance of Cubic Market Model: An Application to Emerging Markets In: Emerging Markets Finance and Trade. [Full Text][Citation analysis] | article | 0 |
| 2014 | El uso de la distribución g-h en riesgo operativo In: Contaduría y Administración. [Full Text][Citation analysis] | article | 0 |
| 2017 | Risk quantification in turmoil markets In: Risk Management. [Full Text][Citation analysis] | article | 7 |
| 2019 | Testing expected shortfall: an application to emerging market stock indices In: Risk Management. [Full Text][Citation analysis] | article | 1 |
| 2022 | Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies In: Risk Management. [Full Text][Citation analysis] | article | 0 |
| 2017 | Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory. [Full Text][Citation analysis] | article | 0 |
| 2021 | Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions In: Springer Books. [Citation analysis] | chapter | 0 |
| 2022 | Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns In: The Engineering Economist. [Full Text][Citation analysis] | article | 0 |
| 2021 | Backtesting 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] | article | 0 |
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