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Details about Andrés Mora Valencia

E-mail:
Workplace:Facultad de Administración (School of Management), Universidad de los Andes (University of the Andes), (more information at EDIRC)

Access statistics for papers by Andrés Mora Valencia.

Last updated 2020-06-05. Update your information in the RePEc Author Service.

Short-id: pmo824


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Working Papers

2017

  1. Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads
  2. Measuring firm size distribution with semi-nonparametric densities
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads View citations (7)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)

2016

  1. The productivity of top researchers: A semi-nonparametric approach
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads View citations (9)
    See also Journal Article in Scientometrics (2016)

Journal Articles

2020

  1. A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets
    Energies, 2020, 13, (11), 1-42 Downloads

2019

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

2018

  1. Moral hazard and default risk of SMEs with collateralized loans
    Finance Research Letters, 2018, 26, (C), 95-99 Downloads View citations (4)

2017

  1. Measuring firm size distribution with semi-nonparametric densities
    Physica A: Statistical Mechanics and its Applications, 2017, 485, (C), 35-47 Downloads View citations (5)
    See also Working Paper (2017)
  2. Multivariate approximations to portfolio return distribution
    Computational and Mathematical Organization Theory, 2017, 23, (3), 347-361 Downloads
    Also in Computational and Mathematical Organization Theory, 1-15 Downloads
  3. Risk quantification in turmoil markets
    Risk Management, 2017, 19, (3), 202-224 Downloads View citations (3)
  4. The Return Performance of Cubic Market Model: An Application to Emerging Markets
    Emerging Markets Finance and Trade, 2017, 53, (10), 2233-2241 Downloads
  5. The kidnapping of Europe: High-order moments' transmission between developed and emerging markets
    Emerging Markets Review, 2017, 31, (C), 96-115 Downloads View citations (3)

2016

  1. The productivity of top researchers: a semi-nonparametric approach
    Scientometrics, 2016, 109, (2), 891-915 Downloads View citations (9)
    See also Working Paper (2016)

2015

  1. Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes me?todos de estimacio?n de la volatilidad
    Estudios Gerenciales, 2015, 31, (136), 287-298 Downloads
    Also in Estudios Gerenciales, 2015, 31, (136), 287-298 (2015) Downloads

2014

  1. El uso de la distribución g-h en riesgo operativo
    Contaduría y Administración, 2014, 59, (1), 123-148 Downloads
  2. Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
    Physica A: Statistical Mechanics and its Applications, 2014, 401, (C), 330-343 Downloads View citations (3)
  3. VaR performance during the subprime and sovereign debt crises: An application to emerging markets
    Emerging Markets Review, 2014, 20, (C), 23-41 Downloads View citations (8)

2011

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

2010

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