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Details about Viviana Fernandez

Postal address:Business School Universidad Adolfo Ibáñez Av. Diagonal Las Torres 2700 Office 512C Peñalolen 7941169 Chile
Workplace:Escuela de Negocios (Business School), Universidad Adolfo Ibáñez (Adolfo Ibanez University), (more information at EDIRC)

Access statistics for papers by Viviana Fernandez.

Last updated 2019-01-28. Update your information in the RePEc Author Service.

Short-id: pfe103


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Working Papers

2008

  1. Emerging Markets Variance Shocks: Local or International in Origin?
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (2)

2007

  1. Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (7)
    See also Journal Article in Journal of Futures Markets (2008)
  2. Spatial Linkages in International Financial Markets
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2011)
  3. The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads

2006

  1. Copula-based measures of dependence structure in assets returns
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  2. Forecasting crude oil and natural gas spot prices by classification methods
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads
  3. Portfolio management implications of volatility shifts: Evidence from simulated data
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (1)
    Also in The Institute for International Integration Studies Discussion Paper Series, IIIS (2006) Downloads View citations (1)
  4. The International CAPM and a Wavelet-Based Decomposition of Value at Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in The Institute for International Integration Studies Discussion Paper Series, IIIS (2005) Downloads View citations (32)
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile (2005) Downloads View citations (44)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)

2005

  1. Adjustment of the WACC with Subsidized Debt in the Presence of Corporate Taxes: the N-Period Case
    Finance, University Library of Munich, Germany Downloads
    Also in Proyecciones Financieras y Valoración, Master Consultores (2005) Downloads

    See also Journal Article in Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016) (2005)
  2. Do Regional Integration Agreements Increase Business-Cycle Convergence? Evidence From APEC and NAFTA
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads View citations (2)
    Also in Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile (2005) Downloads View citations (8)
  3. Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (4)
    See also Journal Article in Emerging Markets Finance and Trade (2007)
  4. Structural Breakpoints in Volatility in International Markets
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (3)
  5. What Drives Capital Structure? Evidence from Chilean Panel Data
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads

2004

  1. Detection of Breakpoints in Volatility
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (3)
  2. EXTREMAL DEPENDENCE IN EXCHANGE RATE MARKETS
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads
  3. The Credit Channel in an Emerging Economy
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (1)
  4. Time-Scale Decomposition of Price Transmission in International Markets
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (3)
    See also Journal Article in Emerging Markets Finance and Trade (2005)

2003

  1. Extremal Dependence in Exchange Markets
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile
  2. Extreme Value Theory and Value at Risk
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (7)
    See also Journal Article in Revista de Analisis Economico – Economic Analysis Review (2003)
  3. Extreme Value Theory: Value at Risk and Returns Dependence Around the World
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (2)
  4. Interest Rate Volatility and Nominalization
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads

2002

  1. How Sensitive is Volatility to Exchange Rate Regimes?
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (2)
  2. The Derivatives Markets in Latin America with an Emphasis on Chile
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (6)
  3. What Drives Replacement of Durable Goods at the Micro Level?
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads

2001

  1. A Liquidity Premium Puzzle?: Evidence from Chile
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads
  2. A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile View citations (1)
    See also Journal Article in International Review of Financial Analysis (2001)
  3. Un análisis del mercado de cobertura de riesgo en Chile y el mundo
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads

2000

  1. Decisions to Replace Consumer Durables Goods: An Econometric Application of Wiener and Renewal Processes
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (6)
    See also Journal Article in The Review of Economics and Statistics (2000)
  2. Estructura de tasas de interés en Chile: ¿Qué tan buen predictor de crecimiento e inflación?
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (2)
    See also Journal Article in Latin American Journal of Economics-formerly Cuadernos de Economía (2000)

Undated

  1. La Estructura de Tasas de Interés, Crecimiento e Inflación: Un Análisis para Chile
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads
  2. Los Costos de Despido: El Rol de las Indemnizaciones por A–os de Servicio
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads

Journal Articles

2018

  1. Future directions in international financial integration research - A crowdsourced perspective
    International Review of Financial Analysis, 2018, 55, (C), 35-49 Downloads View citations (9)
  2. Mineral commodity consumption and intensity of use re-assessed
    International Review of Financial Analysis, 2018, 59, (C), 1-18 Downloads
  3. Price and income elasticity of demand for mineral commodities
    Resources Policy, 2018, 59, (C), 160-183 Downloads

2017

  1. A historical perspective of the informational content of commodity futures
    Resources Policy, 2017, 51, (C), 135-150 Downloads View citations (1)
  2. Rare-earth elements market: A historical and financial perspective
    Resources Policy, 2017, 53, (C), 26-45 Downloads View citations (4)
  3. Some facts on the platinum-group elements
    International Review of Financial Analysis, 2017, 52, (C), 333-347 Downloads View citations (3)
  4. The finance of innovation in Latin America
    International Review of Financial Analysis, 2017, 53, (C), 37-47 Downloads

2016

  1. Further evidence on the relationship between spot and futures prices
    Resources Policy, 2016, 49, (C), 368-371 Downloads View citations (1)
  2. Futures markets and fundamentals of base metals
    International Review of Financial Analysis, 2016, 45, (C), 215-229 Downloads View citations (2)
  3. Spot and Futures Markets Linkages: Does Contango Differ from Backwardation?
    Journal of Futures Markets, 2016, 36, (4), 375-396 Downloads View citations (1)

2015

  1. Commodity price excess co-movement from a historical perspective: 1900–2010
    Energy Economics, 2015, 49, (C), 698-710 Downloads View citations (2)
  2. Influence in commodity markets: Measuring co‐movement globally
    Resources Policy, 2015, 45, (C), 151-164 Downloads View citations (9)

2014

  1. Commodities and Macroeconomic Factors: Unconditional Volatility Measures
    Emerging Markets Finance and Trade, 2014, 50, (S5), 87-109 Downloads
  2. Guest Editor’s Introduction
    Emerging Markets Finance and Trade, 2014, 50, (S5), 4-5 Downloads
  3. Linear and non-linear causality between price indices and commodity prices
    Resources Policy, 2014, 41, (C), 40-51 Downloads View citations (7)
  4. Stock volatility and pension funds under an individual capitalization-based system
    Journal of Business Research, 2014, 67, (4), 536-541 Downloads View citations (2)

2013

  1. Profitability of Chile's Defined-Contribution-Based Pension System During the Multifund Era
    Emerging Markets Finance and Trade, 2013, 49, (5), 4-25 Downloads View citations (1)

2012

  1. Trends in real commodity prices: How real is real?
    Resources Policy, 2012, 37, (1), 30-47 Downloads View citations (9)

2011

  1. Alternative Estimators of Long-Range Dependence
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 1-37 Downloads View citations (2)
  2. Spatial linkages in international financial markets
    Quantitative Finance, 2011, 11, (2), 237-245 Downloads View citations (16)
    See also Working Paper (2007)
  3. The Driving Factors of Firm Investment: Latin American Evidence
    Emerging Markets Finance and Trade, 2011, 47, (5), 4-26 Downloads

2010

  1. Commodity futures and market efficiency: A fractional integrated approach
    Resources Policy, 2010, 35, (4), 276-282 Downloads View citations (13)

2009

  1. The behavior of stock returns in the mining industry following the Iraq war
    Research in International Business and Finance, 2009, 23, (3), 274-292 Downloads View citations (2)

2008

  1. Copula-based measures of dependence structure in assets returns
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (14), 3615-3628 Downloads View citations (10)
    See also Working Paper (2006)
  2. Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement
    Journal of Futures Markets, 2008, 28, (2), 182-207 Downloads View citations (7)
    See also Working Paper (2007)
  3. The war on terror and its impact on the long-term volatility of financial markets
    International Review of Financial Analysis, 2008, 17, (1), 1-26 Downloads View citations (14)
  4. Traditional versus novel forecasting techniques: how much do we gain?
    Journal of Forecasting, 2008, 27, (7), 637-648 Downloads View citations (5)

2007

  1. A postcard from the past: The behavior of U.S. stock markets during 1871–1938
    Physica A: Statistical Mechanics and its Applications, 2007, 386, (1), 267-282 Downloads View citations (1)
  2. Extreme-value dependence: An application to exchange rate markets
    Physica A: Statistical Mechanics and its Applications, 2007, 377, (2), 583-589 Downloads
  3. Portfolio management under sudden changes in volatility and heterogeneous investment horizons
    Physica A: Statistical Mechanics and its Applications, 2007, 375, (2), 612-624 Downloads View citations (15)
  4. Stock Market Turmoil: Worldwide Effects of Middle East Conflicts
    Emerging Markets Finance and Trade, 2007, 43, (3), 58-102 Downloads View citations (7)
    See also Working Paper (2005)
  5. Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry
    Resources Policy, 2007, 32, (1-2), 80-89 Downloads View citations (8)

2006

  1. Does domestic cooperation lead to business-cycle convergence and financial linkages?
    The Quarterly Review of Economics and Finance, 2006, 46, (3), 369-396 Downloads View citations (1)
  2. Emerging Derivatives Markets: The Case of Chile
    Emerging Markets Finance and Trade, 2006, 42, (2), 63-92 Downloads View citations (3)
  3. Extremal dependence in European capital markets
    Journal of Applied Economics, 2006, 9, 275-293 Downloads View citations (1)
  4. Specification tests for a parsimonious random-effects model
    Applied Economics Letters, 2006, 13, (15), 1009-1012 Downloads View citations (1)
  5. The CAPM and value at risk at different time-scales
    International Review of Financial Analysis, 2006, 15, (3), 203-219 Downloads View citations (38)
  6. The impact of major global events on volatility shifts: Evidence from the Asian crisis and 9/11
    Economic Systems, 2006, 30, (1), 79-97 Downloads View citations (21)

2005

  1. Adjustment of the WACC with Subsidized Debt in the Presence of Corporate Taxes: The N-Period Case
    Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), 2005, 4, 1-19 Downloads
    See also Working Paper (2005)
  2. Monetary Policy and the Banking Sector in Chile
    Emerging Markets Finance and Trade, 2005, 41, (3), 5-36 Downloads View citations (1)
  3. Risk management under extreme events
    International Review of Financial Analysis, 2005, 14, (2), 113-148 Downloads View citations (12)
  4. The International CAPM and a Wavelet-Based Decomposition of Value at Risk
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (4), 1-37 Downloads View citations (38)
    See also Working Paper (2006)
  5. Time-Scale Decomposition of Price Transmission in International Markets
    Emerging Markets Finance and Trade, 2005, 41, (4), 57-90 Downloads View citations (10)
    See also Working Paper (2004)

2004

  1. Interest rate risk in an emerging economy
    The Quarterly Review of Economics and Finance, 2004, 44, (5), 678-709 Downloads

2003

  1. Extreme Value Theory and Value at Risk
    Revista de Analisis Economico – Economic Analysis Review, 2003, 18, (1), 57-85 Downloads View citations (5)
    See also Working Paper (2003)
  2. What determines market development?: Lessons from Latin American derivatives markets with an emphasis on Chile
    Journal of Financial Intermediation, 2003, 12, (4), 390-421 Downloads View citations (5)

2001

  1. A nonparametric approach to model the term structure of interest rates: The case of Chile
    International Review of Financial Analysis, 2001, 10, (2), 99-122 Downloads View citations (3)
    See also Working Paper (2001)
  2. Observable and unobservable determinants of replacement of home appliances
    Energy Economics, 2001, 23, (3), 305-323 Downloads View citations (23)

2000

  1. Decisions To Replace Consumer Durables Goods: An Econometric Application Of Wiener And Renewal Processes
    The Review of Economics and Statistics, 2000, 82, (3), 452-461 Downloads View citations (4)
    See also Working Paper (2000)
  2. Estructura de Tasas de Interés en Chile: ¿Qué tan Buen Predictor de Crecimiento e Inflación?
    Latin American Journal of Economics-formerly Cuadernos de Economía, 2000, 37, (111), 373-404 Downloads
    See also Working Paper (2000)

1999

  1. Estructura de Tasas de Interés en Chile: La Vía No Paramétrica
    Latin American Journal of Economics-formerly Cuadernos de Economía, 1999, 36, (109), 1005-1034 Downloads

1993

  1. Los Costos de Despido: el Efecto de las Indemnizaciones por Años de Servicio
    Latin American Journal of Economics-formerly Cuadernos de Economía, 1993, 30, (89), 77-110 Downloads
 
Page updated 2019-07-21