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
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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, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth
- 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
- 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
- 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
- Multivariate Elliptical Truncated Moments
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
- 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
- A Multi-Asset Option Approximation for General Stochastic Processes
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University 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, Reading University
- Monte Carlo Approximate Tensor Moment Simulations
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)
Undated
- 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
- 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
- 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 (14)
- 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)
- 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 (10)
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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