Details about Roberto Joaquín Santillán-Salgado

Access statistics for papers by Roberto Joaquín Santillán-Salgado.

Last updated 2025-03-17. Update your information in the RePEc Author Service.

Short-id: psa147

Working Papers

2012

1. Endogeneidad y Exogeneidad en las Opciones Reales: Una Propuesta de Cambio de Paradigma para la Evaluaci´on de Proyectos de Inversi
   Post-Print, HAL

2011

2. Generalidades sobre los Fondos de Capital Privado y de Capital Emprendedor: una visión actualizada de la industria y de su entorno en México
   (Generalities on Private Equity and Venture Capital Funds: a current review of the industry and its environment in Mexico)
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2024

1. Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails
   Risks, 2024, 12, (3), 1-23

2023

2. Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach
   Mathematics, 2023, 11, (20), 1-20

2022

3. COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets
   Mathematics, 2022, 10, (9), 1-36
4. The Global Automotive Industry Stock Returns During the COVID-19 Pandemic
   Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2022, 17, (4), 1-21

2021

5. How the use of Markov-Switching Sharpe Ratio can improve Mexican Pension Funds Investment Decisions / Cómo el uso de Razones de Sharpe cambiantes según un proceso de Markov puede mejorar las decisiones de inversión de los portafolios de pensiones mexicanos
   Estocástica: finanzas y riesgo, 2021, 11, (1), 59-80
6. Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico
   Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2021, 16, (1), 1-15

2020

7. On the Interaction among Economic Growth, Energy-Electricity Consumption, CO2 Emissions, and Urbanization in Latin America
   Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2020, 15, (4), 745-767 View citations (1)
8. On the Relations among CO2 Emissions, Gross Domestic Product, Energy Consumption, Electricity Use, Urbanization, and Income Inequality for a Sample of 134 Countries
   International Journal of Energy Economics and Policy, 2020, 10, (6), 195-207 View citations (6)
9. Optimal Hedge Ratios for the Mexican Stock Market Index Futures Contract: A Multivariate GARCH Approach
   Economía: teoría y práctica, 2020, 53, (2), 201-238
10. WHAT HAPPENED TO THE WILLINGNESS OF COMPANIES TO INVEST AFTER THE FINANCIAL CRISIS? EVIDENCE FROM LATIN AMERICAN COUNTRIES
    Journal of Financial Research, 2020, 43, (2), 231-262 View citations (1)

2019

11. Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets
    International Journal of Economics and Financial Issues, 2019, 9, (3), 127-141
12. Empirical evidence on the relationship of capital structure and market value among Mexican publicly listed companies
    Contaduría y Administración, 2019, 64, (1), 21-22
13. Exchange rate exposure of Latin American firms: Empirical evidence
    Journal of Multinational Financial Management, 2019, 51, (C), 80-97 View citations (1)
14. Incidencia de las fluctuaciones del índice VIX en la volatilidad de los mercados bursátiles latinoamericanos / VIX Index Spillover on Latin American Stock Markets Volatility
    Estocástica: finanzas y riesgo, 2019, 9, (1), 97-123
15. Is There a Reverse Causality from Nominal Financial Variables to Energy Prices?
    International Journal of Energy Economics and Policy, 2019, 9, (3), 229-243
16. Latin American Corporate Emerging Markets Bond Indices (CEMBIs): Their recent evolution
    Global Finance Journal, 2019, 41, (C), 104-112 View citations (2)
17. The "day-of-the-week" effects in the exchange rate of Latin American currencies
    Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2019, 14, (PNEA), 485-507
18. The Real Estate Investment Trust Industry and the Financial Crisis: Modeling Volatility (1985-2016)
    Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2019, 14, (2), 169-188

2018

19. Impacto de los precios de los metales en la estructura de capital de las empresas minero-metalúrgicas en América Latina (2004-2014)
    Contaduría y Administración, 2018, 63, (3), 1-2
20. La dependencia del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores (IPC) con respecto a los principales índices bursátiles latinoamericanos
    Contaduría y Administración, 2018, 63, (4), 17-18
21. On the Stock Market-Electricity Sector Nexus in Latin America: A Dynamic Panel Data Model
    International Journal of Energy Economics and Policy, 2018, 8, (6), 148-154 View citations (1)
22. Polls, Prediction Markets, and Financial Variables
    Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2018, 13, (3), 295-323
23. The dependence of the Price and Quotation Index of the Mexican Stock Exchange (IPC) with respect to the main Latin American stock market indices
    Contaduría y Administración, 2018, 63, (4), 19-20
24. The impact of metals’ prices on the capital structure of mining and metallurgic firms in Latin America (2004-2014)
    Contaduría y Administración, 2018, 63, (3), 3-4

2017

25. An Exploratory Study on Nonlinear Causality Among the MILA Markets
    Emerging Markets Finance and Trade, 2017, 53, (10), 2303-2317 View citations (1)
26. Efficient portfolios and the generalized hyperbolic distribution
    Economics Bulletin, 2017, 37, (4), 2711-2727

2016

27. Análisis Econométrico del Riesgo y Rendimiento de las SIEFORES
    Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2016, 11, (1), 29-54
28. Evaluación del grado de integración de los principales mercados de capital europeos con un modelo Cópula-GARCH
    Estocástica: finanzas y riesgo, 2016, 6, (1), 9-36

2015

29. European stock markets’ cointegration in the presence of structural breaks (1999-2014)
    Contaduría y Administración, 2015, 60, (6), 83-105
30. The profile of the entrepreneur supported by venture capital/private equity funds in Mexico
    Contaduría y Administración, 2015, 60, (5), 149-174

2014

31. Interdependence of NAFTA Capital Markets: A Minimum Variance Portfolio Approach
    Panoeconomicus, 2014, 61, (6), 691-707
32. Interrelaciones y causalidad entre los principales mercados de capitales en América Latina: un enfoque de series de tiempo / Interrelations and causality among the main capital markets in Latin America: a Time Series approach
    Estocástica: finanzas y riesgo, 2014, 4, (1), 63-86

2013

33. Cointegración entre R2 y Volatilidad para acciones de la Bolsa Mexicana de Valores / Cointegration between R2 and Volatility in the Mexican Stock Exchange Stock Prices
    Estocástica: finanzas y riesgo, 2013, 3, (2), 119-144

2012

34. Razones financieras y el spread que pagan por su deuda emisoras que cotizan en la Bolsa Mexicana de Valores / Financial ratios and the spread paid on their debt by issuers listed on the Mexican Stock Exchange Market
    Estocástica: finanzas y riesgo, 2012, 2, (2), 123-146

2011

35. Banking Concentration in the European Union during the Last Fifteen Years
    Panoeconomicus, 2011, 58, (2), 245-266
36. Is the Mexican Stock Market Becoming More Efficient?
    Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2011, 6, (1), 87-102
37. Offshore Financial Centers: Recent Evolution and Likely Future Trends
    Journal of Global Economy, 2011, 7, (2), 87-99

2010

38. Las Administradoras de Fondos de Pensiones y el desarrollo del mercado de capitales en Chile
    Ensayos Revista de Economia, 2010, XXIX, (2), 53-76 View citations (1)
39. STOCK MARKET WEALTH-EFFECTS DURING PRIVATIZATION INITIAL PUBLIC OFFERS IN CHILE (1984-1989)
    Estudios Gerenciales, 2010

2004

40. APPLICATION OF THE REAL OPTIONS METHODOLOGY TO VALUE A CEMENT FIRM'S ACQUISITION
    Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2004, 3, (4), 313-331

2000

41. Strategic alliances in emerging Latin America: a view from Brazilian, Chilean, and Mexican companies
    Journal of World Business, 2000, 35, (2), 114-132 View citations (18)

Chapters

2020

1. Regime-Switching in the Volatility of Mexican Pension Fund Returns
   Springer