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Volatility and VAR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria
Ñíguez, Trino-Manuel (contributor) - 2003 - 1. ed. [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002115963
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Volatility and VaR forecasting in the Madrid stock exchange
Ñíguez, Trino-Manuel - In: Spanish economic review : SER 10 (2008) 3, pp. 169-196
Persistent link: https://www.econbiz.de/10003747257
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Evaluating monthly volatility forecasts using proxies at different frequencies
Ñíguez, Trino-Manuel - In: Finance research letters 17 (2016), pp. 41-47
Persistent link: https://www.econbiz.de/10011596208
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The snp-dcc model: a new methodology for risk management and forecasting
Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier - 2010
Persistent link: https://www.econbiz.de/10010422539
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Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
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Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - 2016
Persistent link: https://www.econbiz.de/10011799240
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Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
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Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda; León Valle, Ángel Manuel; Ñíguez, … - In: Finance research letters 43 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014633484
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Analytic moments of TGARCH(1,1) models with polynomially adjusted densities
Carnero, M. Angeles; León Valle, Ángel Manuel; … - 2025
Persistent link: https://www.econbiz.de/10015339182