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Details about Javier Mencia

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Homepage:http://www.bde.es/investigador/en/menu/research_staff_a/Mencia__Francisco_Javier.html
Workplace:Banco de España (Bank of Spain), (more information at EDIRC)

Access statistics for papers by Javier Mencia.

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

Short-id: pme741


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Working Papers

2019

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

2018

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

2016

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

2015

  1. Volatility-Related Exchange Traded Assets: An Econometric Investigation
    Working Papers, CEMFI Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads

    See also Journal Article Volatility-Related Exchange Traded Assets: An Econometric Investigation, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) Downloads View citations (1) (2018)

2014

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

2012

  1. Valuation of vix derivatives
    Working Papers, Banco de España Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads
    Working Papers, CEMFI (2009) Downloads View citations (2)

    See also Journal Article Valuation of VIX derivatives, Journal of Financial Economics, Elsevier (2013) Downloads View citations (77) (2013)

2010

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

2009

  1. Assessing the risk-return trade-off in loans portfolios
    Working Papers, Banco de España Downloads
    See also Journal Article Assessing the risk-return trade-off in loan portfolios, Journal of Banking & Finance, Elsevier (2012) Downloads View citations (3) (2012)
  2. Distributional tests in multivariate dynamic models with Normal and Student t innovations
    Working Papers, Banco de España Downloads View citations (12)
    Also in Working Papers, CEMFI (2008) Downloads 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) Downloads View citations (35) (2012)
  3. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
    Working Papers, Banco de España Downloads View citations (61)
    Also in Working Papers, CEMFI (2008) Downloads View citations (1)

    See also Journal Article Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation, Journal of Econometrics, Elsevier (2009) Downloads View citations (52) (2009)

2007

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

2005

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

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) Downloads
  2. Volatility-Related Exchange Traded Assets: An Econometric Investigation
    Journal of Business & Economic Statistics, 2018, 36, (4), 599-614 Downloads View citations (1)
    See also Working Paper Volatility-Related Exchange Traded Assets: An Econometric Investigation, Working Papers (2015) Downloads View citations (2) (2015)

2013

  1. Valuation of VIX derivatives
    Journal of Financial Economics, 2013, 108, (2), 367-391 Downloads View citations (77)
    See also Working Paper Valuation of vix derivatives, Working Papers (2012) Downloads View citations (6) (2012)

2012

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

2009

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