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Details about Javier Perote

E-mail:
Homepage:https://diarium.usal.es/perote/?lang=en
Postal address:Dpt. Economía e Historia Económica Universidad de Salamanca Campus Miguel de Unamuno (Edif. FES) 37007 Salamanca (Spain)
Workplace:Departamento de Economía e Historia Económica (Department of Economics and Economic History), Facultad de Economía y Empresa (Faculty of Economics and Business), Universidad de Salamanca (University of Salamanca), (more information at EDIRC)

Access statistics for papers by Javier Perote.

Last updated 2021-11-02. Update your information in the RePEc Author Service.

Short-id: ppe277


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Working Papers

2021

  1. Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads

2020

  1. Firm size and economic concentration: An analysis from lognormal expansion
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads
    See also Journal Article in PLOS ONE (2021)
  2. Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads
    See also Journal Article in Energies (2021)

2019

  1. Firm size and concentration inequality: A flexible extension of Gibrat’s law
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads
  2. Modeling the electricity spot price with switching regime semi-nonparametric distributions
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads
  3. Uncertainty in Electricity Markets from a seminonparametric Approach
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads
    See also Journal Article in Energy Policy (2020)

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 (10)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)

2016

  1. Multivariate moments expansion density: application of the dynamic equicorrelation model
    Working Papers, Banco de España Downloads View citations (9)
    See also Journal Article in Journal of Banking & Finance (2016)
  2. The productivity of top researchers: A semi-nonparametric approach
    Documentos de Trabajo CIEF, Universidad EAFIT Downloads View citations (12)
    See also Journal Article in Scientometrics (2016)

2015

  1. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
    Working Papers, Banco de España Downloads View citations (1)

2013

  1. Higher-order moments in the theory of diversification and portfolio composition
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (3)

2012

  1. Strategic behavior in regressions: an experimental
    Working Papers, FEDEA Downloads View citations (1)

2011

  1. On the stability of the CRRA utility under high degrees of uncertainty
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)

2010

  1. Strategy-Proof Estimators for Simple Regression
    EcoMod2003, EcoMod Downloads
    Also in Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces (2003) Downloads View citations (1)

    See also Journal Article in Mathematical Social Sciences (2004)

2008

  1. Multivariate Gram-Charlier Densities
    MPRA Paper, University Library of Munich, Germany Downloads

2007

  1. Selfish-biased conditional cooperation: On the decline of contributions in repeated public goods experiments
    Kiel Working Papers, Kiel Institute for the World Economy (IfW) Downloads
    Also in Experimental, University Library of Munich, Germany (2005) Downloads View citations (3)

    See also Journal Article in Journal of Economic Psychology (2009)

2005

  1. THEORY AND MISBEHAVIOR OF FIRST-PRICE AUCTIONS: THE IMPORTANCE OF INFORMATION FEEDBACK IN EXPERIMENTAL MARKETS
    Experimental, University Library of Munich, Germany Downloads
  2. Within-Team Competition in the Minimum Effort Coordination Game
    Experimental, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Pacific Economic Review (2006)

2004

  1. Forecasting the density of asset returns
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (2)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2004) Downloads View citations (1)

2003

  1. A Social Choice Trade-off Between Alternative Fairness Concepts: Solidarity versus Flexibility
    Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces Downloads
  2. The Impossibility of Strategy-Proof Clustering
    Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces Downloads View citations (1)
    See also Journal Article in Economics Bulletin (2003)

Journal Articles

2021

  1. 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 Downloads
  2. Firm size and economic concentration: An analysis from a lognormal expansion
    PLOS ONE, 2021, 16, (7), 1-21 Downloads
    See also Working Paper (2020)
  3. Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts
    Energies, 2021, 14, (11), 1-26 Downloads
    See also Working Paper (2020)
  4. 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 Downloads

2020

  1. A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets
    Energies, 2020, 13, (11), 1-42 Downloads
  2. Determinants of the Public Debt in the Eurozone and Its Sustainability Amid the Covid-19 Pandemic
    Sustainability, 2020, 12, (16), 1-29 Downloads View citations (3)
  3. Market-crash forecasting based on the dynamics of the alpha-stable distribution
    Physica A: Statistical Mechanics and its Applications, 2020, 557, (C) Downloads
  4. 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) Downloads
  5. Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall
    International Review of Financial Analysis, 2020, 70, (C) Downloads View citations (5)
  6. The demand for Divisia money in the United States: evidence from the CFS Divisia M3 aggregate
    Applied Economics Letters, 2020, 27, (1), 41-45 Downloads View citations (1)
  7. Uncertainty in electricity markets from a semi-nonparametric approach
    Energy Policy, 2020, 137, (C) Downloads View citations (6)
    See also Working Paper (2019)

2019

  1. Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
    The European Journal of Finance, 2019, 25, (17), 1746-1764 Downloads View citations (2)
  2. Flexible distribution functions, higher-order preferences and optimal portfolio allocation
    Quantitative Finance, 2019, 19, (4), 699-703 Downloads View citations (2)
  3. The drivers of Bitcoin demand: A short and long-run analysis
    International Review of Financial Analysis, 2019, 62, (C), 21-34 Downloads View citations (17)

2018

  1. Efficiency and Sustainability in Teamwork: The Role of Entry Costs
    Sustainability, 2018, 10, (7), 1-19 Downloads View citations (1)
  2. Moral hazard and default risk of SMEs with collateralized loans
    Finance Research Letters, 2018, 26, (C), 95-99 Downloads View citations (6)

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 (11)
    See also Working Paper (2017)
  2. Moments expansion densities for quantifying financial risk
    The North American Journal of Economics and Finance, 2017, 42, (C), 53-69 Downloads View citations (5)
  3. Multivariate approximations to portfolio return distribution
    Computational and Mathematical Organization Theory, 2017, 23, (3), 347-361 Downloads
  4. The Lazarillo’s game: Sharing resources with asymmetric conditions
    PLOS ONE, 2017, 12, (7), 1-14 Downloads View citations (3)
  5. The Return Performance of Cubic Market Model: An Application to Emerging Markets
    Emerging Markets Finance and Trade, 2017, 53, (10), 2233-2241 Downloads
  6. The kidnapping of Europe: High-order moments' transmission between developed and emerging markets
    Emerging Markets Review, 2017, 31, (C), 96-115 Downloads View citations (10)

2016

  1. 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 Downloads View citations (2)
  2. Multivariate moments expansion density: Application of the dynamic equicorrelation model
    Journal of Banking & Finance, 2016, 72, (S), S216-S232 Downloads View citations (9)
    See also Working Paper (2016)
  3. The productivity of top researchers: a semi-nonparametric approach
    Scientometrics, 2016, 109, (2), 891-915 Downloads View citations (11)
    See also Working Paper (2016)

2015

  1. Strategic behavior in regressions: an experimental study
    Theory and Decision, 2015, 79, (3), 517-546 Downloads View citations (1)

2014

  1. 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 (7)
  2. 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 (12)

2012

  1. Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions
    Oxford Bulletin of Economics and Statistics, 2012, 74, (4), 600-627 Downloads View citations (15)
  2. Gram–Charlier densities: Maximum likelihood versus the method of moments
    Insurance: Mathematics and Economics, 2012, 51, (3), 531-537 Downloads View citations (8)
  3. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
    Economics Letters, 2012, 115, (2), 244-248 Downloads View citations (11)

2011

  1. Multivariate semi-nonparametric distributions with dynamic conditional correlations
    International Journal of Forecasting, 2011, 27, (2), 347-364 Downloads View citations (10)
    Also in International Journal of Forecasting, 2011, 27, (2), 347-364 (2011) Downloads View citations (15)

2009

  1. Gram-Charlier densities: a multivariate approach
    Quantitative Finance, 2009, 9, (7), 855-868 Downloads View citations (15)
  2. Selfish-biased conditional cooperation: On the decline of contributions in repeated public goods experiments
    Journal of Economic Psychology, 2009, 30, (1), 52-60 Downloads View citations (111)
    See also Working Paper (2007)

2008

  1. Bidding ‘as if’ risk neutral in experimental first price auctions without information feedback
    Experimental Economics, 2008, 11, (2), 190-202 Downloads View citations (21)
  2. FORECASTING MARKET CRASHES: DOES DENSITY SPECIFICATION MATTER?
    Applied Econometrics and International Development, 2008, 8, (1), 53-58 Downloads

2007

  1. What Enhances Insider Trading Profitability?
    Atlantic Economic Journal, 2007, 35, (2), 173-188 Downloads View citations (3)

2006

  1. Positive Definiteness of Multivariate Densities Based on Hermite Polynomials
    International Advances in Economic Research, 2006, 12, (3), 425-425 Downloads
  2. WITHIN‐TEAM COMPETITION IN THE MINIMUM EFFORT COORDINATION GAME
    Pacific Economic Review, 2006, 11, (2), 247-266 Downloads View citations (14)
    See also Working Paper (2005)

2004

  1. Strategy-proof estimators for simple regression
    Mathematical Social Sciences, 2004, 47, (2), 153-176 Downloads View citations (4)
    See also Working Paper (2010)
  2. The multivariate Edgeworth-Sargan density
    Spanish Economic Review, 2004, 6, (1), 77-96 Downloads View citations (15)

2003

  1. Measuring the Impact of Corporate Investment Announcements on Share Prices: The Spanish Experience
    Journal of Business Finance & Accounting, 2003, 30, (5‐6), 715-747 Downloads View citations (15)
  2. The impossibility of strategy-proof clustering
    Economics Bulletin, 2003, 4, (23), 1-9 Downloads
    See also Working Paper (2003)

2002

  1. An investigation of insider trading profits in the Spanish stock market
    The Quarterly Review of Economics and Finance, 2002, 42, (1), 73-94 Downloads View citations (23)

2000

  1. 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 Downloads View citations (32)

Chapters

2018

  1. Insider Trading and Corporate Governance in the Banking Sector. New Lessons on the Entrenchment Effect
    Springer

2016

  1. Classroom Experiments: A Useful Tool for Learning about Economic and Entrepreneurial Decisions
    Springer
 
Page updated 2021-11-27