Details about Juan Carlos Arismendi Zambrano

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

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
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
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
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
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

2016

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

2014

8. A Multi-Asset Option Approximation for General Stochastic Processes
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
9. 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
10. Monte Carlo Approximate Tensor Moment Simulations
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)

Undated

11. 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

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 View citations (2)

2016

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

2013

6. Multivariate truncated moments
   Journal of Multivariate Analysis, 2013, 117, (C), 41-75 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