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Details about Juan Carlos Arismendi Zambrano

E-mail:
Phone:+353830491468
Postal address:Department of Economics, Finance and Accounting Maynooth University Co. Kildare, Ireland
Workplace:Department of Economics, Finance and Accounting, Maynooth University, (more information at EDIRC)

Access statistics for papers by Juan Carlos Arismendi Zambrano.

Last updated 2021-01-22. Update your information in the RePEc Author Service.

Short-id: par392


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Working Papers

2020

  1. 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 Downloads
  2. Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach
    Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Downloads
  3. Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
    Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Downloads
  4. On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗
    Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Downloads
  5. The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing
    Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Downloads

2016

  1. Multivariate Elliptical Truncated Moments
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)

2014

  1. A Multi-Asset Option Approximation for General Stochastic Processes
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  2. An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Monte Carlo Approximate Tensor Moment Simulations
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)

Undated

  1. Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations
    Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Downloads

Journal Articles

2018

  1. Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network
    Emerging Markets Review, 2018, 35, (C), 164-189 Downloads View citations (2)

2016

  1. A moment-based analytic approximation of the risk-neutral density of American options
    Applied Mathematical Finance, 2016, 23, (6), 409-444 Downloads
  2. Seasonal Stochastic Volatility: Implications for the pricing of commodity options
    Journal of Banking & Finance, 2016, 66, (C), 53-65 Downloads View citations (14)
  3. 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 Downloads View citations (2)
  4. Validation of default probability models: A stress testing approach
    International Review of Financial Analysis, 2016, 47, (C), 70-85 Downloads View citations (1)

2013

  1. Multivariate truncated moments
    Journal of Multivariate Analysis, 2013, 117, (C), 41-75 Downloads View citations (10)

Chapters

2019

  1. 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 Downloads
 
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