Details about Andrés Mora Valencia

Access statistics for papers by Andrés Mora Valencia.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pmo824

Working Papers

2017

1. Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach
   Documentos de Trabajo de Valor Público, Universidad EAFIT
2. Measuring firm size distribution with semi-nonparametric densities
   Documentos de Trabajo de Valor Público, Universidad EAFIT View citations (15)
   See also Journal Article Measuring firm size distribution with semi-nonparametric densities, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (14) (2017)

2016

3. The productivity of top researchers: A semi-nonparametric approach
   Documentos de Trabajo de Valor Público, Universidad EAFIT View citations (13)
   See also Journal Article The productivity of top researchers: a semi-nonparametric approach, Scientometrics, Springer (2016) View citations (12) (2016)

Journal Articles

2025

1. Skew Index: a machine learning forecasting approach
   Risk Management, 2025, 27, (1), 1-60

2024

2. Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers
   International Review of Economics & Finance, 2024, 92, (C), 302-315 View citations (1)
3. Real Options Volatility Surface for Valuing Renewable Energy Projects
   Energies, 2024, 17, (5), 1-13

2023

4. Earnings management to avoid losses: Evidence in non-listed Colombian companies
   Journal of International Accounting, Auditing and Taxation, 2023, 53, (C)
5. Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model
   Emerging Markets Review, 2023, 56, (C) View citations (2)

2022

6. Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies
   Risk Management, 2022, 24, (1), 81-99
7. Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
   Finance Research Letters, 2022, 49, (C) View citations (3)
8. Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns
   The Engineering Economist, 2022, 67, (3), 218-233
9. Moral hazard index for credit risk to SMEs
   International Economics, 2022, 172, (C), 311-323
   Also in International Economics, 2022, (172), 311-323 (2022)
10. Semi-nonparametric risk assessment with cryptocurrencies
    Research in International Business and Finance, 2022, 59, (C) View citations (8)

2021

11. Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures
    International Journal of Finance & Economics, 2021, 26, (3), 4163-4189
12. Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
    Mathematics, 2021, 9, (21), 1-19
13. Skew index: Descriptive analysis, predictive power, and short-term forecast
    The North American Journal of Economics and Finance, 2021, 56, (C) View citations (2)

2020

14. A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets
    Energies, 2020, 13, (11), 1-42 View citations (8)
15. Market-crash forecasting based on the dynamics of the alpha-stable distribution
    Physica A: Statistical Mechanics and its Applications, 2020, 557, (C) View citations (2)
16. Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies
    Mathematics, 2020, 8, (12), 1-24 View citations (2)
17. Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
    The North American Journal of Economics and Finance, 2020, 54, (C) View citations (2)
18. Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall
    International Review of Financial Analysis, 2020, 70, (C) View citations (19)

2019

19. Quantifying Risk in Traditional Energy and Sustainable Investments
    Sustainability, 2019, 11, (3), 1-22 View citations (4)
20. Testing expected shortfall: an application to emerging market stock indices
    Risk Management, 2019, 21, (3), 153-182 View citations (2)

2018

21. Moral hazard and default risk of SMEs with collateralized loans
    Finance Research Letters, 2018, 26, (C), 95-99 View citations (9)

2017

22. Measuring firm size distribution with semi-nonparametric densities
    Physica A: Statistical Mechanics and its Applications, 2017, 485, (C), 35-47 View citations (14)
    See also Working Paper Measuring firm size distribution with semi-nonparametric densities, Documentos de Trabajo de Valor Público (2017) View citations (15) (2017)
23. Multivariate approximations to portfolio return distribution
    Computational and Mathematical Organization Theory, 2017, 23, (3), 347-361 View citations (3)
24. Risk quantification in turmoil markets
    Risk Management, 2017, 19, (3), 202-224 View citations (9)
25. The Return Performance of Cubic Market Model: An Application to Emerging Markets
    Emerging Markets Finance and Trade, 2017, 53, (10), 2233-2241
26. The kidnapping of Europe: High-order moments' transmission between developed and emerging markets
    Emerging Markets Review, 2017, 31, (C), 96-115 View citations (33)

2016

27. The productivity of top researchers: a semi-nonparametric approach
    Scientometrics, 2016, 109, (2), 891-915 View citations (12)
    See also Working Paper The productivity of top researchers: A semi-nonparametric approach, Documentos de Trabajo de Valor Público (2016) View citations (13) (2016)

2015

28. Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad
    Estudios Gerenciales, 2015, 31, (136), 287-298 View citations (1)
29. Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad
    Estudios Gerenciales, 2015, 31, (136), 287-298 View citations (1)

2014

30. El uso de la distribución g-h en riesgo operativo
    Contaduría y Administración, 2014, 59, (1), 123-148
31. Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
    Physica A: Statistical Mechanics and its Applications, 2014, 401, (C), 330-343 View citations (8)
32. VaR performance during the subprime and sovereign debt crises: An application to emerging markets
    Emerging Markets Review, 2014, 20, (C), 23-41 View citations (15)

2011

33. CDS: relación con índices accionarios y medida de riesgo
    Revista ESPE - Ensayos Sobre Política Económica, 2011, 29, (64), 178-211
    Also in Revista ESPE - Ensayos sobre Política Económica, 2011, 29, (64), 178-211 (2011)

2010

34. Consideraciones en la estimación de cuantiles altos en el riesgo operativo
    Análisis - Revista del Mercado de Valores, 2010

Undated

35. A note on the standard measurement approach versus the loss distribution approach–advanced measurement approach: the dawning of a new regulation
    Journal of Operational Risk

Chapters

2021

1. Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions
   Springer