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Details about Juan Angel Jimenez Martin

E-mail:
Homepage:https://www.ucm.es/fundamentos-analisis-economico2/jajm
Phone:+34 91 394 2355
Postal address:Juan Ángel Jiménez Department of Quantitative Economics Facultad de Ciencias Económicas Universidad Complutense de Madrid Edificio Prefabricado Campus de Somosaguas, 28223, Madrid (Spain) Tlf.: + 34 91 394 23 55 Fax: + 34 91 394 26 13 E_mail: juanangel@ccee.ucm.es
Workplace:Departamento de Análisis Económico y Economía Cuantitativa (Department of Economic Analysis and Quantitative Economics), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de Madrid (Complutense University of Madrid), (more information at EDIRC)
Instituto Complutense de Analisis Economico (ICAE) (UCM Institute for Economic Analysis), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de Madrid (Complutense University of Madrid), (more information at EDIRC)

Access statistics for papers by Juan Angel Jimenez Martin.

Last updated 2019-05-08. Update your information in the RePEc Author Service.

Short-id: pji27


Jump to Journal Articles

Working Papers

2015

  1. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (2)
  2. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (2)

    See also Journal Article in International Review of Economics & Finance (2019)

2014

  1. A Stochastic Dominance Approach to Financial Risk Management Strategies
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2015)
  2. Guns, Economic Growth and Education during the second half of the Twentieth Century: Was Spain different?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2013

  1. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
  2. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (3)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)
  3. Has the Basel Accord Improved Risk Management During the Global Financial Crisis
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (20)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (12)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads

    See also Journal Article in The North American Journal of Economics and Finance (2013)

2012

  1. Currency Hedging Strategies Using Dynamic Multivariate GARCH
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (7)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (8)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)

2011

  1. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (5)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (29)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (7)
  2. International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (11)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (21)

    See also Journal Article in Journal of Forecasting (2013)
  3. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (10)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (10)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (18)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (22)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)
  4. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (15)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (16)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (18)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (14)

    See also Journal Article in Managerial Finance (2011)
  5. The Rise and Fall of S&P500 Variance Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (6)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (9)

    See also Journal Article in The North American Journal of Economics and Finance (2013)

2010

  1. GFC-Robust Risk Management Strategies under the Basel Accord
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (14)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2010) Downloads View citations (13)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (7)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (2)

    See also Journal Article in International Review of Economics & Finance (2013)

2009

  1. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (14)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (50)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (8)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (13)
  2. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2009) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (8)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (1)
  3. State-Uncertainty preferences and the Risk Premium in the Exchange rate market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Economic Modelling (2010)
  4. The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Journal of Economic Surveys (2009)
  5. What Happened to Risk Management During the 2008-09 Financial Crisis?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (11)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads

2005

  1. Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2004

  1. Macroeconomic and policy uncertainty and Exchange rate risk Premium
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  2. Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  3. The Fit of Dynamic Equilibrium Models of Exchange Rate
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2003

  1. La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

Journal Articles

2019

  1. Choosing expected shortfall over VaR in Basel III using stochastic dominance
    International Review of Economics & Finance, 2019, 60, (C), 95-113 Downloads View citations (2)
    See also Working Paper (2015)

2015

  1. A stochastic dominance approach to financial risk management strategies
    Journal of Econometrics, 2015, 187, (2), 472-485 Downloads View citations (11)
    See also Working Paper (2014)

2014

  1. Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
    Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 159-177 Downloads View citations (2)
    See also Working Paper (2013)

2013

  1. Currency hedging strategies using dynamic multivariate GARCH
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 164-182 Downloads View citations (6)
    See also Working Paper (2012)
  2. GFC-robust risk management strategies under the Basel Accord
    International Review of Economics & Finance, 2013, 27, (C), 97-111 Downloads View citations (16)
    See also Working Paper (2010)
  3. GFC-robust risk management under the Basel Accord using extreme value methodologies
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 223-237 Downloads View citations (1)
    See also Working Paper (2013)
  4. Has the Basel Accord improved risk management during the global financial crisis?
    The North American Journal of Economics and Finance, 2013, 26, (C), 250-265 Downloads View citations (23)
    See also Working Paper (2013)
  5. International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
    Journal of Forecasting, 2013, 32, (3), 267-288 View citations (10)
    See also Working Paper (2011)
  6. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 183-204 Downloads View citations (5)
    See also Working Paper (2011)
  7. The rise and fall of S&P500 variance futures
    The North American Journal of Economics and Finance, 2013, 25, (C), 151-167 Downloads View citations (1)
    See also Working Paper (2011)

2011

  1. Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures
    Managerial Finance, 2011, 37, (11), 1088-1106 Downloads View citations (12)
    See also Working Paper (2011)

2010

  1. PPP: Delusion or Reality? Evidence from a Nonlinear Analysis
    Open Economies Review, 2010, 21, (5), 679-704 Downloads View citations (3)
  2. State-uncertainty preferences and the risk premium in the exchange rate market
    Economic Modelling, 2010, 27, (5), 1043-1053 Downloads View citations (2)
    See also Working Paper (2009)

2009

  1. Seasonal fluctuations and equilibrium models of exchange rate
    Applied Economics, 2009, 41, (20), 2635-2652 Downloads View citations (3)
  2. THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
    Journal of Economic Surveys, 2009, 23, (5), 850-855 Downloads View citations (44)
    See also Working Paper (2009)

2006

  1. Can Equilibrium Models Replicate the Stochastic Properties of the Exchange Rates?/¿Se pueden replicar las propiedades estocásticas del tipo de cambio con un modelo de Equilibrio?
    Estudios de Economia Aplicada, 2006, 24, 361-395 Downloads
 
Page updated 2019-10-14