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Details about Manuel Moreno

Workplace:Departamento de Analisis Económico y Finanzas (Department of Economic Analysis and Finance), Facultad de Derecho y Ciencias Sociales (Faculty of Law and Social Sciences), Universidad de Castilla La Mancha (University of Castilla La Mancha), (more information at EDIRC)
Departament d'Economia i Empresa (Department of Economics and Business), Universitat Pompeu Fabra (Pompeu Fabra University), Barcelona School of Economics (BSE), (more information at EDIRC)

Access statistics for papers by Manuel Moreno.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pmo127


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Working Papers

2019

  1. A term structure model under cyclical fluctuations in interest rates
    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 A term structure model under cyclical fluctuations in interest rates, Economic Modelling, Elsevier (2018) Downloads View citations (4) (2018)
  2. Long-term swings and seasonality in energy markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (3)
    See also Journal Article Long-term swings and seasonality in energy markets, European Journal of Operational Research, Elsevier (2019) Downloads View citations (6) (2019)

2015

  1. Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers
    QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory Downloads

2008

  1. Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads View citations (2)
    See also Journal Article Statistical properties and economic implications of jump-diffusion processes with shot-noise effects, European Journal of Operational Research, Elsevier (2011) Downloads View citations (9) (2011)

2007

  1. GARCH modeling of robust market returns
    Kiel Advanced Studies Working Papers, Kiel Institute for the World Economy (IfW Kiel) Downloads
  2. Pricing tranched credit products with generalized multifactor models
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads

2003

  1. Australian Asian Options
    Working Papers, Barcelona School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) Downloads View citations (1)

2001

  1. On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (6)
    See also Journal Article On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives, Review of Derivatives Research, Springer (2003) Downloads View citations (49) (2003)

1999

  1. On the relevance of modeling volatility for pricing purposes
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads

1997

  1. Risk management under a two-factor model of the term structure of interest rates
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)

1996

  1. A two-mean reverting-factor model of the term structure of interest rates
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    See also Journal Article A two‐mean reverting‐factor model of the term structure of interest rates, Journal of Futures Markets, John Wiley & Sons, Ltd. (2003) Downloads View citations (1) (2003)
  2. On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995) Downloads

Journal Articles

2024

  1. Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
    Annals of Operations Research, 2024, 337, (1), 167-196 Downloads

2023

  1. The impact of public attention during the COVID-19 pandemic
    Finance Research Letters, 2023, 58, (PA) Downloads View citations (1)

2022

  1. Bond market completeness under stochastic strings with distribution-valued strategies
    Quantitative Finance, 2022, 22, (2), 197-211 Downloads View citations (2)
  2. The generalized Vasicek credit risk model: A Machine Learning approach
    Finance Research Letters, 2022, 47, (PA) Downloads View citations (1)

2020

  1. Random LGD adjustments in the Vasicek credit risk model
    The European Journal of Finance, 2020, 26, (18), 1856-1875 Downloads View citations (1)
  2. Valuation of caps and swaptions under a stochastic string model
    Physica A: Statistical Mechanics and its Applications, 2020, 559, (C) Downloads View citations (2)

2019

  1. Long-term swings and seasonality in energy markets
    European Journal of Operational Research, 2019, 279, (3), 1011-1023 Downloads View citations (6)
    See also Working Paper Long-term swings and seasonality in energy markets, Documentos de Trabajo del ICAE (2019) Downloads View citations (3) (2019)
  2. Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit
    Nature Communications, 2019, 10, (1), 1-8 Downloads View citations (1)

2018

  1. A term structure model under cyclical fluctuations in interest rates
    Economic Modelling, 2018, 72, (C), 140-150 Downloads View citations (4)
    See also Working Paper A term structure model under cyclical fluctuations in interest rates, Documentos de Trabajo del ICAE (2019) Downloads (2019)

2017

  1. An approximate multi-period Vasicek credit risk model
    Journal of Banking & Finance, 2017, 81, (C), 105-113 Downloads View citations (2)
  2. One-sided performance measures under Gram-Charlier distributions
    Journal of Banking & Finance, 2017, 74, (C), 38-50 Downloads View citations (13)

2016

  1. Nonlinear spectra of spinons and holons in short GaAs quantum wires
    Nature Communications, 2016, 7, (1), 1-8 Downloads
  2. The stochastic string model as a unifying theory of the term structure of interest rates
    Physica A: Statistical Mechanics and its Applications, 2016, 461, (C), 217-237 Downloads View citations (4)

2015

  1. A cyclical square-root model for the term structure of interest rates
    European Journal of Operational Research, 2015, 241, (1), 109-121 Downloads View citations (17)
  2. Portfolio selection with commodities under conditional copulas and skew preferences
    Quantitative Finance, 2015, 15, (1), 151-170 Downloads View citations (15)
  3. Stochastic string models with continuous semimartingales
    Physica A: Statistical Mechanics and its Applications, 2015, 433, (C), 229-246 Downloads View citations (5)

2014

  1. Estimating the distribution of total default losses on the Spanish financial system
    Journal of Banking & Finance, 2014, 49, (C), 242-261 Downloads
  2. Tail risk in energy portfolios
    Energy Economics, 2014, 46, (C), 422-434 Downloads View citations (19)

2013

  1. Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
    European Journal of Operational Research, 2013, 225, (3), 429-442 Downloads View citations (12)

2011

  1. Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
    European Journal of Operational Research, 2011, 214, (3), 656-664 Downloads View citations (9)
    See also Working Paper Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects, DEE - Working Papers. Business Economics. WB (2008) Downloads View citations (2) (2008)

2008

  1. Australian Options
    Australian Journal of Management, 2008, 33, (1), 69-93 Downloads View citations (3)

2003

  1. A two‐mean reverting‐factor model of the term structure of interest rates
    Journal of Futures Markets, 2003, 23, (11), 1075-1105 Downloads View citations (1)
    See also Working Paper A two-mean reverting-factor model of the term structure of interest rates, Economics Working Papers (1996) Downloads View citations (2) (1996)
  2. On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
    Review of Derivatives Research, 2003, 6, (2), 107-128 Downloads View citations (49)
    See also Working Paper On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives, Economics Working Papers (2001) Downloads View citations (6) (2001)

Chapters

2012

  1. On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?
    A chapter in Derivative Securities Pricing and Modelling, 2012, pp 227-257 Downloads
 
Page updated 2025-03-31