Publicaciones

De la Horra, L.P. Perote, J., De la Fuente, G. (2024) Beneath the surface: The asymmetric effects of unconventional monetary policy. Finance Research letters 61, 105050.

González-Muñoz, R.-I., Molina-Muñoz, J., Mora-Valencia, A., Perote, J. (2024). Real options volatility surface for valuing energy projects. Energies 17, 1125.

Jiménez, I., Mora-Valencia, A., Perote, J. (2024). Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers. International Review of Economics and Finance 92, 302-315.

Sánchez, M., Martínez-Ferrero, J., Perote, J.  (2024) Investors’ perception on the optimistic tone of sustainability assurance reports: Evidence on managerial capture risk. Sustainability Accounting Management and Policy Journal 15, 520-555.

Jiménez, I., Mora-Valencia, A., Perote, J. (2023). Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. Emerging Markets Review 101054.

Rendón, J. F., Cortés, L.M, Perote, J. (2023). Prudential regulation adn bank solvency based on flexible distributions: An example for evaluating the impact of monetary policy. World Economy 46, 2780–2807.

Velásquez-Gaviria, D., Mora-Valencia, A., Perote, J. (2023). Asymptotic Expansions for Market Risk Assessment: Evidence in Energy and Commodity Indices. In Theory and Applications of Time Series Analysis and Forecasting. Contributions to Statistics. Springer, 123-142.

Molina-Muñoz, J.E., Mora-Valencia, A., Perote, J., Rodríguez-Raga, S. Volatility Transmission Dynamics between Energy and Financial Indices for Emerging Markets during COVID-19. International Journal of Emerging Markets 1-22.

Trespalacios, A., Cortes, Perote, J. (2023). The impact of El Niño phenomenon on electricity prices in hydrologic-based production systems: A switching regime semi-nonparametric approach. Energy Science & Engineering 11, 1564-1578.

Perote, J., Vicente-Lorente, J.D., Zúñiga, J.A. (2023).  How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis. Finance Research Letters 53, 103688.

Pineda, J., Cortés, L.M, Perote, J. (2022). Financial contagion drivers during recent global crises. Economic Modelling 117, 106067.

Jiménez, I., Mora-Valencia, A., Perote, J. (2022). Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? Finance Research Letters 49, 103105.

De la Horra, L.P., Perote, J., De la Fuente, G. (2022). The impact of economic policy uncertainty and monetary policy on R&D investment: An option pricing approach. Economics Letters 214, 110413.

Jiménez, I., Mora-Valencia, A., Perote, J. (2022). Semi-nonparametric risk assessment with cryptocurrencies. Research in International Business and Finance 59, 101567.

Castillo, J. A., Mora-Valencia, A., Perote, J. (2022). Moral Hazard index for credit risk to SMEs. International Economics 172, 311-323.

Molina, J., Mora-Valencia, A., Perote, J. (2022). Technical Note: Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns. The Engineering Economist 67, 218-233.

Jiménez, I., Mora-Valencia, A. & Perote, J. (2022). Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. Risk Management 24, 81-99.

Molina-Muñoz, E., Mora-Valencia, A., Perote, J. (2021). Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions. In Mathematical and Statistical Methods for Actuarial Sciences and Finance  (M. Corazza et al. (eds.), 355-360.

Cortés, L.M, Lozada, J.M., Perote, J. (2021). Firm size and economic  concentration: An analysis form a lognormal expansion. North American PLoS ONE 16(7), e0254487.

Molina-Muñoz, E., Mora-Valencia, A., Perote, J. (2021). Backtesting expected shortfall for world stock index ETFs with Extreme Value Theory and Gram-Charlier mixtures. International Journal of Finance and Economics 26, 4163-4189.

Trespalacios, A., Cortes, Perote, J. (2021). Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts. Energies 14, 3345.

De la Horra, L.P., Perote, J., De la Fuente, G. (2021). Monetary policy and corporate investment: A panel data analysis of transmission mechanisms in contexts of high uncertainty. International Review of Economics and Finance 75, 609-624.

Cortés, L.M, Mora-Valencia, A., Perote, J. (2020). Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. North American Journal of Economics and Finance 54, 1004862.

Jiménez, I., Mora-Valencia, A., Ñíguez, T-M., Perote, J. (2020). Portfolio risk assessment under dynamic (equi)correlation and semi-nonparametric estimation: An application to cryptocurrencies. Mathematics 8, 2110.

Briceño, H. R., Perote, J. (2020). Determinants of the public debt in the Eurozone and its sustainability amid the Covid-19 pandemic. Sustainability 12, 6456.

Molina, J. E., Mora-Valencia, A., Perote, J. (2020). Market-crash forecasting based on the dynamics of the alpha-stable distribution. Physica A 557, 124876.

Jiménez, I., Mora-Valencia, A., Perote, J. (2020). Risk quantification for Bitcoin. Operations Research Letters 48, 534-541.

Del Brio, E.B., Mora-Valencia, A., Perote, J. (2020). Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. International Review of Financial Analysis 70, 101163.

Velásquez-Gaviria, D., Mora-Valencia, A., Perote, J. (2020). A comparison of the risk quantification in traditional and renewable markets. Energies 13(11), 2805.

Trespalacios, A., Cortes, L.M., Perote, J. (2020). Uncertainty in electricity markets from a semi-nonparametric approach. Energy Policy 137, 111091.

De la Fuente, G., De la Horra, L.P., Perote, J. (2020). The demand for Divisia money in the United States: Evidence from the CFS Divisia M3 aggregate. Applied Economics Letters 27, 41-45.

Del Brio, E.B., Mora-Valencia, A., Perote, J. (2019). Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications. European Journal of Finance 25, 1746-1764.

Ñíguez, T-M., Paya, I., Peel, D., Perote, J. (2019). Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Quantitative Finance 19, 669-703.

De la Horra, L.P., De la Fuente, G., Perote, J. (2019). The drivers of Bitcoin demand: A short and long-run analysis. International Review of Financial Analysis 62, 21-34.

Jijena, C.E., Perote, J., Vicente-Lorente, J.D. (2018). Efficiency and sustainability in teamwork: The role of entry costs. Sustainability 10, 2334.

Castillo, J.A., Mora-Valencia, A., Perote, J. (2018). Moral hazard and default risk of SMEs with collateralized loans. Finance Research Letters 26, 95-99.

Lacomba, J.A., Lagos, F., Perote, J. (2017). The Lazarillo’s game: Sharing resources with asymmetric conditions. PLoS ONE 12/7, e0180421.

Ñíguez, T-M. Perote, J. (2017). Moments expansion densities for quantifying financial risk. North American Journal of Economics and Finance 42, 56-69.

Del Brio, E. B., Mora-Valencia, A., Perote, J. (2017). The kidnapping of Europe: High-order moments’ transmission between developed and emerging markets. Emerging Markets Review 31, 96-115.

Cortés, L.M., Mora-Valencia, A., Perote, J. (2017). Measuring firm size distribution with semi-nonparametric densities. Physica A 485, 35-47.

Mora-Valencia, A., Perote, J., Tobar, J. (2017). The Return Performance of Cubic Market Model: An Application to Emerging Markets. Emerging Markets, Finance and Trade 53, 2233-2241.

Mora-Valencia, A., Ñíguez, T.M., Perote, J. (2017). Multivariate approximations to portfolio return distributions. Computational and Mathematical Organization Theory 23, 347-361.

Del Brio, E.B., Lopes-e-Silva, I., Perote, J. (2016). Effects of opportunistic behaviors on security markets: an experimental approach to insider trading and earnings management. Economia Politica 33, 379-402.

Ñíguez, T.M., Perote, J. (2016). The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. Journal of Banking and Finance 72, S216-S232.

Cortes, L.M, Mora-Valencia, A., Perote, J. (2016). The productivity of top researchers: A semi-non-parametric approach. Scientometrics 118, 891-915.

Perote, J., Perote-Peña and Vorsatz, M. J. (2015). Strategic Behavior in Regressions: An Experimental Study. Theory and Decision 79, 517-546.

Del Brio, E.B., Mora-Valencia, A., Perote, J. (2014). VaR Performance during the Subprime and Sovereign Debt Crises: An Application to Emerging Markets. Emerging Markets Review 20, 23-41.

Del Brio, E.B., Mora-Valencia, A., Perote, J. (2014). Semi-Nonparametric VaR Forecasts for Hedge Funds during the Recent Crisis. Physica A 401, 23-41.

Publicaciones anteriores pueden encontrarse en la siguiente página web.