Details about Trino-Manuel Ñíguez

Access statistics for papers by Trino-Manuel Ñíguez.

Last updated 2024-05-07. Update your information in the RePEc Author Service.

Short-id: pgu249

Working Papers

2016

1. Multivariate moments expansion density: application of the dynamic equicorrelation model
   Working Papers, Banco de España View citations (20)
   See also Journal Article Multivariate moments expansion density: Application of the dynamic equicorrelation model, Journal of Banking & Finance, Elsevier (2016) View citations (16) (2016)

2015

2. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
   Working Papers, Banco de España View citations (2)

2013

3. Higher-order moments in the theory of diversification and portfolio composition
   Working Papers, Lancaster University Management School, Economics Department View citations (6)

2011

4. On the stability of the CRRA utility under high degrees of uncertainty
   Working Papers, Lancaster University Management School, Economics Department View citations (1)

2008

5. Multivariate Gram-Charlier Densities
   MPRA Paper, University Library of Munich, Germany

2004

6. Forecasting the density of asset returns
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2004) View citations (1)

2003

7. FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
   See also Journal Article Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence, Journal of Forecasting, John Wiley & Sons, Ltd. (2006) View citations (6) (2006)
8. VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Journal Articles

2023

1. Skewness in energy returns: estimation, testing and retain-->implications for tail risk
   The Quarterly Review of Economics and Finance, 2023, 90, (C), 178-189 View citations (2)

2022

2. Polynomial adjusted Student-t densities for modeling asset returns
   The European Journal of Finance, 2022, 28, (9), 907-929

2021

3. Backtesting VaR under the COVID-19 sudden changes in volatility
   Finance Research Letters, 2021, 43, (C) View citations (2)
4. Copula methods for evaluating relative tail forecasting performance
   Journal of Risk Finance, 2021, 22, (5), 332-344
5. The transformed Gram Charlier distribution: Parametric properties and financial risk applications
   Journal of Empirical Finance, 2021, 63, (C), 323-349

2020

6. Modeling asset returns under time-varying semi-nonparametric distributions
   Journal of Banking & Finance, 2020, 118, (C)
7. Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies
   Mathematics, 2020, 8, (12), 1-24 View citations (2)

2019

8. Flexible distribution functions, higher-order preferences and optimal portfolio allocation
   Quantitative Finance, 2019, 19, (4), 699-703 View citations (8)

2017

9. Moments expansion densities for quantifying financial risk
   The North American Journal of Economics and Finance, 2017, 42, (C), 53-69 View citations (5)
10. Multivariate approximations to portfolio return distribution
    Computational and Mathematical Organization Theory, 2017, 23, (3), 347-361 View citations (3)

2016

11. Multivariate moments expansion density: Application of the dynamic equicorrelation model
    Journal of Banking & Finance, 2016, 72, (S), S216-S232 View citations (16)
    See also Working Paper Multivariate moments expansion density: application of the dynamic equicorrelation model, Working Papers (2016) View citations (20) (2016)
12. Pure higher-order effects in the portfolio choice model
    Finance Research Letters, 2016, 19, (C), 255-260 View citations (9)

2011

13. Multivariate semi-nonparametric distributions with dynamic conditional correlations
    International Journal of Forecasting, 2011, 27, (2), 347-364 View citations (21)

2009

14. Gram-Charlier densities: a multivariate approach
    Quantitative Finance, 2009, 9, (7), 855-868 View citations (15)

2008

15. Volatility and VaR forecasting in the Madrid Stock Exchange
    Spanish Economic Review, 2008, 10, (3), 169-196 View citations (1)

2006

16. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
    Journal of Forecasting, 2006, 25, (6), 439-458 View citations (6)
    See also Working Paper FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE, Working Papers. Serie AD (2003) (2003)