Details about Javier Perote
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Last updated 2024-07-05. Update your information in the RePEc Author Service.
Short-id: ppe277
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Working Papers
2021
- Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
Documentos de Trabajo de Valor Público, Universidad EAFIT
2020
- Firm size and economic concentration: An analysis from lognormal expansion
Documentos de Trabajo de Valor Público, Universidad EAFIT 
See also Journal Article Firm size and economic concentration: An analysis from a lognormal expansion, PLOS ONE, Public Library of Science (2021) View citations (1) (2021)
- Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts
Documentos de Trabajo de Valor Público, Universidad EAFIT 
See also Journal Article Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts, Energies, MDPI (2021) View citations (2) (2021)
2019
- Firm size and concentration inequality: A flexible extension of Gibrat’s law
Documentos de Trabajo de Valor Público, Universidad EAFIT
- Modeling the electricity spot price with switching regime semi-nonparametric distributions
Documentos de Trabajo de Valor Público, Universidad EAFIT
- Uncertainty in Electricity Markets from a seminonparametric Approach
Documentos de Trabajo de Valor Público, Universidad EAFIT 
See also Journal Article Uncertainty in electricity markets from a semi-nonparametric approach, Energy Policy, Elsevier (2020) View citations (10) (2020)
2017
- Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach
Documentos de Trabajo de Valor Público, Universidad EAFIT
- 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
- Multivariate moments expansion density: application of the dynamic equicorrelation model
Working Papers, Banco de España View citations (20)
See also Journal Article Multivariate moments expansion density: Application of the dynamic equicorrelation model, Journal of Banking & Finance, Elsevier (2016) View citations (16) (2016)
- 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)
2015
- Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
Working Papers, Banco de España View citations (2)
2013
- Higher-order moments in the theory of diversification and portfolio composition
Working Papers, Lancaster University Management School, Economics Department View citations (5)
2012
- Strategic behavior in regressions: an experimental
Working Papers, FEDEA View citations (1)
2011
- On the stability of the CRRA utility under high degrees of uncertainty
Working Papers, Lancaster University Management School, Economics Department View citations (1)
2010
- Strategy-Proof Estimators for Simple Regression
EcoMod2003, EcoMod 
Also in Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces (2003) View citations (1)
See also Journal Article Strategy-proof estimators for simple regression, Mathematical Social Sciences, Elsevier (2004) View citations (5) (2004)
2008
- Multivariate Gram-Charlier Densities
MPRA Paper, University Library of Munich, Germany
2007
- Selfish-biased conditional cooperation: On the decline of contributions in repeated public goods experiments
Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (2)
Also in Experimental, University Library of Munich, Germany (2005) View citations (3)
See also Journal Article Selfish-biased conditional cooperation: On the decline of contributions in repeated public goods experiments, Journal of Economic Psychology, Elsevier (2009) View citations (129) (2009)
2005
- THEORY AND MISBEHAVIOR OF FIRST-PRICE AUCTIONS: THE IMPORTANCE OF INFORMATION FEEDBACK IN EXPERIMENTAL MARKETS
Experimental, University Library of Munich, Germany
- Within-Team Competition in the Minimum Effort Coordination Game
Experimental, University Library of Munich, Germany View citations (3)
See also Journal Article WITHIN‐TEAM COMPETITION IN THE MINIMUM EFFORT COORDINATION GAME, Pacific Economic Review, Wiley Blackwell (2006) View citations (15) (2006)
2004
- Forecasting the density of asset returns
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2004) View citations (1)
2003
- A Social Choice Trade-off Between Alternative Fairness Concepts: Solidarity versus Flexibility
Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces
- The Impossibility of Strategy-Proof Clustering
Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces View citations (1)
See also Journal Article The impossibility of strategy-proof clustering, Economics Bulletin, AccessEcon (2003) (2003)
Journal Articles
2024
- Basel III countercyclical bank capital buffer estimation and its relation to monetary policy
Journal of Economics and Business, 2024, 130, (C)
- Beneath the surface: The asymmetric effects of unconventional monetary policy on corporate investment
Finance Research Letters, 2024, 61, (C)
- 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)
- Predicting carbon and oil price returns using hybrid models based on machine and deep learning
Intelligent Systems in Accounting, Finance and Management, 2024, 31, (2)
- Real Options Volatility Surface for Valuing Renewable Energy Projects
Energies, 2024, 17, (5), 1-13
2023
- How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis
Finance Research Letters, 2023, 53, (C) View citations (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 (1)
- Prudential regulation and bank solvency based on flexible distributions: An example for evaluating the impact of monetary policy
The World Economy, 2023, 46, (9), 2780-2807
- Volatility transmission dynamics between energy and financial indices of emerging markets: a comparison between the subprime crisis and the COVID-19 pandemic
International Journal of Emerging Markets, 2023, 20, (1), 135-156
2022
- Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies
Risk Management, 2022, 24, (1), 81-99
- Financial contagion drivers during recent global crises
Economic Modelling, 2022, 117, (C) View citations (9)
- Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Finance Research Letters, 2022, 49, (C) View citations (2)
- Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns
The Engineering Economist, 2022, 67, (3), 218-233
- Moral hazard index for credit risk to SMEs
International Economics, 2022, (172), 311-323 
Also in International Economics, 2022, 172, (C), 311-323 (2022)
- Semi-nonparametric risk assessment with cryptocurrencies
Research in International Business and Finance, 2022, 59, (C) View citations (8)
- The impact of economic policy uncertainty and monetary policy on R&D investment: An option pricing approach
Economics Letters, 2022, 214, (C) View citations (3)
2021
- 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
- Firm size and economic concentration: An analysis from a lognormal expansion
PLOS ONE, 2021, 16, (7), 1-21 View citations (1)
See also Working Paper Firm size and economic concentration: An analysis from lognormal expansion, Documentos de Trabajo de Valor Público (2020) (2020)
- Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts
Energies, 2021, 14, (11), 1-26 View citations (2)
See also Working Paper Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts, Documentos de Trabajo de Valor Público (2020) (2020)
- Monetary policy and corporate investment: A panel-data analysis of transmission mechanisms in contexts of high uncertainty
International Review of Economics & Finance, 2021, 75, (C), 609-624 View citations (6)
2020
- A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets
Energies, 2020, 13, (11), 1-42 View citations (8)
- Determinants of the Public Debt in the Eurozone and Its Sustainability Amid the Covid-19 Pandemic
Sustainability, 2020, 12, (16), 1-29 View citations (14)
- 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)
- Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies
Mathematics, 2020, 8, (12), 1-24 View citations (2)
- 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 (1)
- Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall
International Review of Financial Analysis, 2020, 70, (C) View citations (19)
- The demand for Divisia money in the United States: evidence from the CFS Divisia M3 aggregate
Applied Economics Letters, 2020, 27, (1), 41-45 View citations (4)
- Uncertainty in electricity markets from a semi-nonparametric approach
Energy Policy, 2020, 137, (C) View citations (10)
See also Working Paper Uncertainty in Electricity Markets from a seminonparametric Approach, Documentos de Trabajo de Valor Público (2019) (2019)
2019
- Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
The European Journal of Finance, 2019, 25, (17), 1746-1764 View citations (7)
- Flexible distribution functions, higher-order preferences and optimal portfolio allocation
Quantitative Finance, 2019, 19, (4), 699-703 View citations (7)
- The drivers of Bitcoin demand: A short and long-run analysis
International Review of Financial Analysis, 2019, 62, (C), 21-34 View citations (38)
2018
- Efficiency and Sustainability in Teamwork: The Role of Entry Costs
Sustainability, 2018, 10, (7), 1-19 View citations (1)
- Moral hazard and default risk of SMEs with collateralized loans
Finance Research Letters, 2018, 26, (C), 95-99 View citations (8)
2017
- 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)
- Moments expansion densities for quantifying financial risk
The North American Journal of Economics and Finance, 2017, 42, (C), 53-69 View citations (5)
- Multivariate approximations to portfolio return distribution
Computational and Mathematical Organization Theory, 2017, 23, (3), 347-361 View citations (3)
- The Lazarillo’s game: Sharing resources with asymmetric conditions
PLOS ONE, 2017, 12, (7), 1-14 View citations (4)
- The Return Performance of Cubic Market Model: An Application to Emerging Markets
Emerging Markets Finance and Trade, 2017, 53, (10), 2233-2241
- 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
- Effects of opportunistic behaviors on security markets: an experimental approach to insider trading and earnings management
Economia Politica: Journal of Analytical and Institutional Economics, 2016, 33, (3), 379-402 View citations (3)
- Multivariate moments expansion density: Application of the dynamic equicorrelation model
Journal of Banking & Finance, 2016, 72, (S), S216-S232 View citations (16)
See also Working Paper Multivariate moments expansion density: application of the dynamic equicorrelation model, Working Papers (2016) View citations (20) (2016)
- 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
- Strategic behavior in regressions: an experimental study
Theory and Decision, 2015, 79, (3), 517-546 View citations (2)
2014
- 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)
- 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)
2012
- Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions
Oxford Bulletin of Economics and Statistics, 2012, 74, (4), 600-627 View citations (19)
- Gram–Charlier densities: Maximum likelihood versus the method of moments
Insurance: Mathematics and Economics, 2012, 51, (3), 531-537 View citations (13)
- On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
Economics Letters, 2012, 115, (2), 244-248 View citations (12)
2011
- Multivariate semi-nonparametric distributions with dynamic conditional correlations
International Journal of Forecasting, 2011, 27, (2), 347-364 View citations (27)
Also in International Journal of Forecasting, 2011, 27, (2), 347-364 (2011) View citations (21)
2009
- Gram-Charlier densities: a multivariate approach
Quantitative Finance, 2009, 9, (7), 855-868 View citations (15)
- Selfish-biased conditional cooperation: On the decline of contributions in repeated public goods experiments
Journal of Economic Psychology, 2009, 30, (1), 52-60 View citations (129)
See also Working Paper Selfish-biased conditional cooperation: On the decline of contributions in repeated public goods experiments, Kiel Working Papers (2007) View citations (2) (2007)
2008
- Bidding ‘as if’ risk neutral in experimental first price auctions without information feedback
Experimental Economics, 2008, 11, (2), 190-202 View citations (22)
- FORECASTING MARKET CRASHES: DOES DENSITY SPECIFICATION MATTER?
Applied Econometrics and International Development, 2008, 8, (1), 53-58
2007
- What Enhances Insider Trading Profitability?
Atlantic Economic Journal, 2007, 35, (2), 173-188 View citations (3)
2006
- Positive Definiteness of Multivariate Densities Based on Hermite Polynomials
International Advances in Economic Research, 2006, 12, (3), 425-425
- WITHIN‐TEAM COMPETITION IN THE MINIMUM EFFORT COORDINATION GAME
Pacific Economic Review, 2006, 11, (2), 247-266 View citations (15)
See also Working Paper Within-Team Competition in the Minimum Effort Coordination Game, Experimental (2005) View citations (3) (2005)
2004
- Strategy-proof estimators for simple regression
Mathematical Social Sciences, 2004, 47, (2), 153-176 View citations (5)
See also Working Paper Strategy-Proof Estimators for Simple Regression, EcoMod2003 (2010) (2010)
- The multivariate Edgeworth-Sargan density
Spanish Economic Review, 2004, 6, (1), 77-96 View citations (19)
2003
- Measuring the Impact of Corporate Investment Announcements on Share Prices: The Spanish Experience
Journal of Business Finance & Accounting, 2003, 30, (5‐6), 715-747 View citations (17)
- The impossibility of strategy-proof clustering
Economics Bulletin, 2003, 4, (23), 1-9 
See also Working Paper The Impossibility of Strategy-Proof Clustering, Economic Working Papers at Centro de Estudios Andaluces (2003) View citations (1) (2003)
2002
- An investigation of insider trading profits in the Spanish stock market
The Quarterly Review of Economics and Finance, 2002, 42, (1), 73-94 View citations (30)
2000
- Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t
The European Journal of Finance, 2000, 6, (2), 225-239 View citations (39)
Chapters
2021
- Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions
Springer
2018
- Insider Trading and Corporate Governance in the Banking Sector. New Lessons on the Entrenchment Effect
Springer
2016
- Classroom Experiments: A Useful Tool for Learning about Economic and Entrepreneurial Decisions
Springer
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