Details about Juan Carlos Arismendi Zambrano
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| Homepage: | https://jarismen.wixsite.com/site
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| Phone: | +353830491468 |
| Postal address: | UCD Michel Smurfit School of Business Carysfort Ave, Carrysfort, Blackrock, Co. Dublin, Dublin |
| Workplace: | Michael Smurfit Graduate School of Business, School of Business, University College Dublin, (more information at EDIRC)
Department of Finance, Kellogg Graduate School of Management, Northwestern University, (more information at EDIRC)
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Access statistics for papers by Juan Carlos Arismendi Zambrano.
Last updated 2022-11-16. Update your information in the RePEc Author Service.
Short-id: par392
Jump to Journal Articles Chapters
Working Papers
2020
- Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 
- Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach
Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth
- Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth
- On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗
Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth
- The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing
Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth
2016
- Multivariate Elliptical Truncated Moments
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
- Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
2014
- A Multi-Asset Option Approximation for General Stochastic Processes
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
- An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
- Monte Carlo Approximate Tensor Moment Simulations
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)
Undated
- Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations
Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth
Journal Articles
2022
- Equity Risk Premium Predictability from Cross-Sectoral Downturns
(International asset allocation with regime shifts)
The Review of Asset Pricing Studies, 2022, 12, (3), 808-842 View citations (1)
- The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing
Journal of Financial Stability, 2022, 58, (C) View citations (1)
2021
- On quadratic forms in multivariate generalized hyperbolic random vectors
(Expected shortfall: A natural coherent alternative to value at risk)
Biometrika, 2021, 108, (2), 413-424
2018
- Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network
Emerging Markets Review, 2018, 35, (C), 164-189 View citations (8)
2016
- A moment-based analytic approximation of the risk-neutral density of American options
Applied Mathematical Finance, 2016, 23, (6), 409-444
- Seasonal Stochastic Volatility: Implications for the pricing of commodity options
Journal of Banking & Finance, 2016, 66, (C), 53-65 View citations (23)
- The profitability of moving average trading rules in BRICS and emerging stock markets
The North American Journal of Economics and Finance, 2016, 38, (C), 86-101 View citations (4)
- Validation of default probability models: A stress testing approach
International Review of Financial Analysis, 2016, 47, (C), 70-85 View citations (1)
2013
- Multivariate truncated moments
Journal of Multivariate Analysis, 2013, 117, (C), 41-75 View citations (17)
Chapters
2019
- Higher-Order Tail Moments in Asset-Pricing Theory
Chapter 27 in HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, 2019, pp 689-741
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