Details about Daniel Mantilla Garcia

Access statistics for papers by Daniel Mantilla Garcia.

Last updated 2022-07-01. Update your information in the RePEc Author Service.

Short-id: pma2887

Working Papers

2014

1. Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?
   Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences

2013

2. A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
   CIRANO Working Papers, CIRANO View citations (5)
   See also Journal Article A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) View citations (25) (2014)

Journal Articles

2022

1. Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?
   Finance Research Letters, 2022, 47, (PA) View citations (1)

2021

2. ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES
   International Journal of Theoretical and Applied Finance (IJTAF), 2021, 24, (03), 1-28

2017

3. Predicting stock returns in the presence of uncertain structural changes and sample noise
   Financial Markets and Portfolio Management, 2017, 31, (3), 357-391

2014

4. A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
   Journal of Financial and Quantitative Analysis, 2014, 49, (5-6), 1133-1165 View citations (25)
   See also Working Paper A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns, CIRANO Working Papers (2013) View citations (5) (2013)
5. Dynamic allocation strategies for absolute and relative loss control
   Algorithmic Finance, 2014, 3, (3-4), 209-231