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Details about Javier Mencia

E-mail:
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 2019-05-08. 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
    Also in Working Papers, Banco de España (2018) Downloads

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

2016

  1. Macroprudential policy: objectives, instruments and indicators
    Occasional Papers, Banco de España Downloads View citations (2)

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

2014

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

2012

  1. Valuation of vix derivatives
    Working Papers, Banco de España Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads
    Working Papers, CEMFI (2009) Downloads

    See also Journal Article in Journal of Financial Economics (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 in Journal of Banking & Finance (2012)
  2. Testing non-linear dependence in the hedge fund industry
    Working Papers, Banco de España Downloads
    See also Journal Article in Journal of Financial Econometrics (2012)

2009

  1. Assessing the risk-return trade-off in loans portfolios
    Working Papers, Banco de España Downloads
    See also Journal Article in Journal of Banking & Finance (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 in The Review of Economics and Statistics (2012)
  3. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
    Working Papers, Banco de España Downloads View citations (44)
    Also in Working Papers, CEMFI (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2009)

2007

  1. Modeling the distribution of credit losses with observable and latent factors
    Working Papers, Banco de España Downloads View citations (2)
    See also Journal Article in Journal of Empirical Finance (2009)
  2. Parametric properties of semi-nonparametric distributions, with applications to option valuation
    Working Papers, Banco de España Downloads View citations (10)
    Also in Working Papers, CEMFI (2005) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (4)

2005

  1. Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (2)
    Working Papers, CEMFI (2004) Downloads View citations (6)

Journal Articles

2013

  1. Valuation of VIX derivatives
    Journal of Financial Economics, 2013, 108, (2), 367-391 Downloads View citations (31)
    See also Working Paper (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 (19)
    See also Working Paper (2010)
  2. Assessing the risk-return trade-off in loan portfolios
    Journal of Banking & Finance, 2012, 36, (6), 1665-1677 Downloads View citations (1)
    See also Working Paper (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 (26)
    See also Working Paper (2009)
  4. Testing Nonlinear Dependence in the Hedge Fund Industry
    Journal of Financial Econometrics, 2012, 10, (3), 545-587 Downloads
    See also Working Paper (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 (10)
    See also Working Paper (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 (36)
    See also Working Paper (2009)
 
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