Sistema de blogs Diarium
Universidad de Salamanca
Trino-Manuel Ñíguez Grau
Investigador Distinguido Beatriz Galindo Senior
 

Publicaciones

Refereed Journal Articles

  1. Carnero, M. A., León, A., and Ñíguez, T. M. 2025. Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities. Journal of Financial Econometrics 23(2), 1194–1209.  ABS 3*
  2. Carnero, M. A., León, A., and Ñíguez, T. M. 2025. New Bounds for Tail Risk Measures. Finance Research Letters 75, 106888.  ABS 2*
  3. Carnero, M. A., León, A., and Ñíguez, T. M. 2023. Skewness in Energy Returns: Estimation, Testing and Implications for Tail Risk. Quarterly Review of Economics and Finance 90, 178–189.  ABS 2*
  4. León, A., and Ñíguez, T. M. 2022. Polynomial Adjusted Student-t Densities for Modeling Asset Returns. European Journal of Finance 28(9), 907–929.  ABS 3*
  5. León, A., and Ñíguez, T. M. 2021. The Transformed Gram-Charlier Distribution: Parametric Properties and Financial Risk Applications. Journal of Empirical Finance 63, 323–349.  ABS 3*
  6. León, A., and Ñíguez, T. M. 2021. Copula Methods for Evaluating Relative Tail Forecasting Performance. Journal of Risk Finance 22(5), 332–344.  ABS 1*
  7. Castillo, B., León, A., and Ñíguez, T. M. 2021. Backtesting VaR Under the COVID-19 Sudden Changes in Volatility. Finance Research Letters 43, 102024.  ABS 2*
  8. Jiménez, I., Mora, A., Ñíguez, T. M., and Perote, J. 2020. Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-nonparametric Estimation: An Application to Cryptocurrencies. Mathematics 8(12), 2110.
  9. León, A., and Ñíguez, T. M. 2020. Modeling Asset Returns Under Time-Varying Semi-nonparametric Distributions. Journal of Banking and Finance 118, 105870.  ABS 3*
  10. Ñíguez, T. M., Paya, I., Peel, D., and Perote, J. 2019. Flexible Distribution Functions, Higher-order Preferences and Optimal Portfolio Allocation. Quantitative Finance 19, 699–703.  ABS 3*
  11. Ñíguez, T. M., and Perote, J. 2017. Moments Expansion Densities for Quantifying Financial Risk. North American Journal of Economics and Finance 42, 53–69.  ABS 2*
  12. Mora, A., Ñíguez, T. M., and Perote, J. 2017. Multivariate Approximations to Portfolio Return Distributions. Computational and Mathematical Organization Theory 23(3), 347–361.
  13. Ñíguez, T. M., Paya, I., and Peel, D. 2016. Pure Higher-Order Effects in the Portfolio Choice Model. Finance Research Letters 19, 255–260.  ABS 2*
  14. Ñíguez, T. M., and Perote, J. 2016. Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model. Journal of Banking and Finance 72, S216–S232.  ABS 3*
  15. Ñíguez, T. M. 2016. Evaluating Monthly Volatility Forecasts using Proxies at Different Frequencies. Finance Research Letters 17, 41–47.  ABS 2*
  16. Ñíguez, T. M., and Perote, J. 2012. Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions. Oxford Bulletin of Economics and Statistics 74(4), 600–627.  ABS 3*
  17. Ñíguez, T. M., Paya, I., Peel, D., and Perote, J. 2012. On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty. Economics Letters 115(2), 244–248.  ABS 3*
  18. Del Brío, E. B., Ñíguez, T. M., and Perote, J. 2011. Multivariate Semi-nonparametric Densities with Dynamic Conditional Correlations. International Journal of Forecasting 27(2), 347–364.  ABS 3*
  19. Ñíguez, T. M., and Perote, J. 2011. A New Proposal for Computing Portfolio Value-at-Risk for Semi-nonparametric Distributions. International Journal of Mathematics and Computers in Simulation 5, 85–92.
  20. Del Brío, E. B., Ñíguez, T. M., and Perote, J. 2009. Gram-Charlier Densities: A Multivariate Approach. Quantitative Finance 9(7), 855–868.  ABS 3*
  21. Nowman, K. B., and Ñíguez, T. M. 2009. Estimating the Dynamics of Interest Rates in the Japanese Economy. Asia Pacific Journal of Economics and Business 13, 1–12.
  22. Ñíguez, T. M. 2008. Volatility and VaR Forecasting in the Madrid Stock Exchange. Spanish Economic Review 10(3), 169–196.
  23. Ñíguez, T. M., and Rubia, A. 2006. Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence. Journal of Forecasting 25, 439–458.  ABS 3*

Book Chapters

  1. Carnero, M. A., León, A., and Ñíguez, T. M. 2024. “Selección de activos para construir carteras de inversión en base a su asimetría y curtosis”, in: Predicción y Decisiones Económicas con Big Data. FUNCAS, Madrid.
  2. Ñíguez, T. M., Perote, J., and Rubia, A. 2010. “Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution”, in A. T. Molnar (ed.) Economic Forecasting. Nova Science Publishers, New York.
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