Details about Javier Perote

Access statistics for papers by Javier Perote.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: ppe277

Working Papers

2021

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

2020

2. 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)
3. 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 (3) (2021)

2019

4. Firm size and concentration inequality: A flexible extension of Gibrat’s law
   Documentos de Trabajo de Valor Público, Universidad EAFIT
5. Modeling the electricity spot price with switching regime semi-nonparametric distributions
   Documentos de Trabajo de Valor Público, Universidad EAFIT
6. 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

7. Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach
   Documentos de Trabajo de Valor Público, Universidad EAFIT
8. 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

9. 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)
10. 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

11. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
    Working Papers, Banco de España View citations (2)

2013

12. Higher-order moments in the theory of diversification and portfolio composition
    Working Papers, Lancaster University Management School, Economics Department View citations (6)

2012

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

2011

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

2010

15. 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

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

2007

17. 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

18. THEORY AND MISBEHAVIOR OF FIRST-PRICE AUCTIONS: THE IMPORTANCE OF INFORMATION FEEDBACK IN EXPERIMENTAL MARKETS
    Experimental, University Library of Munich, Germany
19. 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

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

2003

21. A Social Choice Trade-off Between Alternative Fairness Concepts: Solidarity versus Flexibility
    Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces
22. 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

1. Basel III countercyclical bank capital buffer estimation and its relation to monetary policy
   Journal of Economics and Business, 2024, 130, (C)
2. Beneath the surface: The asymmetric effects of unconventional monetary policy on corporate investment
   Finance Research Letters, 2024, 61, (C)
3. 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)
4. 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)
5. Real Options Volatility Surface for Valuing Renewable Energy Projects
   Energies, 2024, 17, (5), 1-13

2023

6. 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)
7. 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)
8. 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
9. 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

10. Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies
    Risk Management, 2022, 24, (1), 81-99
11. Financial contagion drivers during recent global crises
    Economic Modelling, 2022, 117, (C) View citations (9)
12. Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
    Finance Research Letters, 2022, 49, (C) View citations (3)
13. Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns
    The Engineering Economist, 2022, 67, (3), 218-233
14. Moral hazard index for credit risk to SMEs
    International Economics, 2022, 172, (C), 311-323
    Also in International Economics, 2022, (172), 311-323 (2022)
15. Semi-nonparametric risk assessment with cryptocurrencies
    Research in International Business and Finance, 2022, 59, (C) View citations (8)
16. 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

17. 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
18. 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)
19. Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts
    Energies, 2021, 14, (11), 1-26 View citations (3)
    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)
20. 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

21. A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets
    Energies, 2020, 13, (11), 1-42 View citations (8)
22. Determinants of the Public Debt in the Eurozone and Its Sustainability Amid the Covid-19 Pandemic
    Sustainability, 2020, 12, (16), 1-29 View citations (15)
23. 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)
24. Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies
    Mathematics, 2020, 8, (12), 1-24 View citations (2)
25. 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)
26. Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall
    International Review of Financial Analysis, 2020, 70, (C) View citations (19)
27. 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)
28. 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

29. 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)
30. Flexible distribution functions, higher-order preferences and optimal portfolio allocation
    Quantitative Finance, 2019, 19, (4), 699-703 View citations (7)
31. 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

32. Efficiency and Sustainability in Teamwork: The Role of Entry Costs
    Sustainability, 2018, 10, (7), 1-19 View citations (1)
33. Moral hazard and default risk of SMEs with collateralized loans
    Finance Research Letters, 2018, 26, (C), 95-99 View citations (9)

2017

34. 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)
35. Moments expansion densities for quantifying financial risk
    The North American Journal of Economics and Finance, 2017, 42, (C), 53-69 View citations (5)
36. Multivariate approximations to portfolio return distribution
    Computational and Mathematical Organization Theory, 2017, 23, (3), 347-361 View citations (3)
37. The Lazarillo’s game: Sharing resources with asymmetric conditions
    PLOS ONE, 2017, 12, (7), 1-14 View citations (4)
38. The Return Performance of Cubic Market Model: An Application to Emerging Markets
    Emerging Markets Finance and Trade, 2017, 53, (10), 2233-2241
39. 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

40. 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)
41. 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)
42. 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

43. Strategic behavior in regressions: an experimental study
    Theory and Decision, 2015, 79, (3), 517-546 View citations (2)

2014

44. 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)
45. 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

46. 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)
47. Gram–Charlier densities: Maximum likelihood versus the method of moments
    Insurance: Mathematics and Economics, 2012, 51, (3), 531-537 View citations (13)
48. 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

49. Multivariate semi-nonparametric distributions with dynamic conditional correlations
    International Journal of Forecasting, 2011, 27, (2), 347-364 View citations (21)
    Also in International Journal of Forecasting, 2011, 27, (2), 347-364 (2011) View citations (27)

2009

50. Gram-Charlier densities: a multivariate approach
    Quantitative Finance, 2009, 9, (7), 855-868 View citations (15)
51. 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

52. Bidding ‘as if’ risk neutral in experimental first price auctions without information feedback
    Experimental Economics, 2008, 11, (2), 190-202 View citations (22)
53. FORECASTING MARKET CRASHES: DOES DENSITY SPECIFICATION MATTER?
    Applied Econometrics and International Development, 2008, 8, (1), 53-58

2007

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

2006

55. Positive Definiteness of Multivariate Densities Based on Hermite Polynomials
    International Advances in Economic Research, 2006, 12, (3), 425-425
56. 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

57. 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)
58. The multivariate Edgeworth-Sargan density
    Spanish Economic Review, 2004, 6, (1), 77-96 View citations (19)

2003

59. 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)
60. 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

61. 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

62. 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

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

2018

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

2016

3. Classroom Experiments: A Useful Tool for Learning about Economic and Entrepreneurial Decisions
   Springer