Details about Javier Mencia

Access statistics for papers by Javier Mencia.

Last updated 2020-08-24. Update your information in the RePEc Author Service.

Short-id: pme741

Working Papers

2019

1. What drives sovereign debt portfolios of banks in a crisis context?
   ESRB Working Paper Series, European Systemic Risk Board View citations (3)
   Also in Working Papers, Banco de España (2018) View citations (5)

2018

2. Conditional Return Asymmetries in the Sovereign-Bank Nexus
   Working Papers, CEMFI
3. Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe
   Working Papers, Banco de España View citations (10)

2016

4. Macroprudential policy: objectives, instruments and indicators
   Occasional Papers, Banco de España View citations (5)

2015

5. Volatility-Related Exchange Traded Assets: An Econometric Investigation
   Working Papers, CEMFI View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
   See also Journal Article Volatility-Related Exchange Traded Assets: An Econometric Investigation, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (1) (2018)

2014

6. Distributional Linkages between European Sovereign Bond and Bank Asset Returns
   Working Papers, CEMFI View citations (1)

2012

7. Valuation of vix derivatives
   Working Papers, Banco de España View citations (6)
   Also in Working Papers, CEMFI (2009) View citations (2)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010)
   See also Journal Article Valuation of VIX derivatives, Journal of Financial Economics, Elsevier (2013) View citations (78) (2013)

2010

8. A systematic approach to multi-period stress testing of portfolio credit risk
   Working Papers, Banco de España View citations (2)
   See also Journal Article A systematic approach to multi-period stress testing of portfolio credit risk, Journal of Banking & Finance, Elsevier (2012) View citations (34) (2012)
9. Testing non-linear dependence in the hedge fund industry
   Working Papers, Banco de España
   See also Journal Article Testing Nonlinear Dependence in the Hedge Fund Industry, Journal of Financial Econometrics, Oxford University Press (2012) (2012)

2009

10. Assessing the risk-return trade-off in loans portfolios
    Working Papers, Banco de España
    See also Journal Article Assessing the risk-return trade-off in loan portfolios, Journal of Banking & Finance, Elsevier (2012) View citations (3) (2012)
11. Distributional tests in multivariate dynamic models with Normal and Student t innovations
    Working Papers, Banco de España View citations (12)
    Also in Working Papers, CEMFI (2008) View citations (1)
    See also Journal Article Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations, The Review of Economics and Statistics, MIT Press (2012) View citations (35) (2012)
12. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
    Working Papers, Banco de España View citations (61)
    Also in Working Papers, CEMFI (2008) View citations (1)
    See also Journal Article Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation, Journal of Econometrics, Elsevier (2009) View citations (52) (2009)

2007

13. Modeling the distribution of credit losses with observable and latent factors
    Working Papers, Banco de España View citations (5)
    See also Journal Article Modelling the distribution of credit losses with observable and latent factors, Journal of Empirical Finance, Elsevier (2009) View citations (16) (2009)
14. Parametric properties of semi-nonparametric distributions, with applications to option valuation
    Working Papers, Banco de España View citations (12)
    Also in Working Papers, CEMFI (2005) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (5)

2005

15. Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (5)
    Working Papers, CEMFI (2004) View citations (9)

Journal Articles

2018

1. Sovereign bond-backed Securities as European reference safe assets: a review of the proposal by the ESRB-HLTF
   Revista de Estabilidad Financiera, 2018, (Primavera)
2. Volatility-Related Exchange Traded Assets: An Econometric Investigation
   Journal of Business & Economic Statistics, 2018, 36, (4), 599-614 View citations (1)
   See also Working Paper Volatility-Related Exchange Traded Assets: An Econometric Investigation, Working Papers (2015) View citations (2) (2015)

2013

3. Valuation of VIX derivatives
   Journal of Financial Economics, 2013, 108, (2), 367-391 View citations (78)
   See also Working Paper Valuation of vix derivatives, Working Papers (2012) View citations (6) (2012)

2012

4. A systematic approach to multi-period stress testing of portfolio credit risk
   Journal of Banking & Finance, 2012, 36, (2), 332-340 View citations (34)
   See also Working Paper A systematic approach to multi-period stress testing of portfolio credit risk, Working Papers (2010) View citations (2) (2010)
5. Assessing the risk-return trade-off in loan portfolios
   Journal of Banking & Finance, 2012, 36, (6), 1665-1677 View citations (3)
   See also Working Paper Assessing the risk-return trade-off in loans portfolios, Working Papers (2009) (2009)
6. Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations
   The Review of Economics and Statistics, 2012, 94, (1), 133-152 View citations (35)
   See also Working Paper Distributional tests in multivariate dynamic models with Normal and Student t innovations, Working Papers (2009) View citations (12) (2009)
7. Testing Nonlinear Dependence in the Hedge Fund Industry
   Journal of Financial Econometrics, 2012, 10, (3), 545-587
   See also Working Paper Testing non-linear dependence in the hedge fund industry, Working Papers (2010) (2010)

2009

8. Modelling the distribution of credit losses with observable and latent factors
   Journal of Empirical Finance, 2009, 16, (2), 235-253 View citations (16)
   See also Working Paper Modeling the distribution of credit losses with observable and latent factors, Working Papers (2007) View citations (5) (2007)
9. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
   Journal of Econometrics, 2009, 153, (2), 105-121 View citations (52)
   See also Working Paper Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation, Working Papers (2009) View citations (61) (2009)