| Volatility and VaR forecasting in the Madrid stock exchange TM Ñíguez Spanish Economic Review 10 (3), 169-196, 2008 | 45 | 2008 |
| Multivariate semi-nonparametric distributions with dynamic conditional correlations EB Del Brio, TM Ñíguez, J Perote International Journal of Forecasting 27 (2), 347-364, 2011 | 43 | 2011 |
| Forecasting heavy‐tailed densities with positive Edgeworth and Gram‐Charlier expansions TM Ñíguez, J Perote Oxford Bulletin of Economics and Statistics 74 (4), 600-627, 2012 | 42 | 2012 |
| Gram–Charlier densities: a multivariate approach EB Del Brio, TM Niguez, J Perote Quantitative Finance 9 (7), 855-868, 2009 | 40 | 2009 |
| Multivariate moments expansion density: Application of the dynamic equicorrelation model TM Ñíguez, J Perote Journal of Banking & Finance 72, S216-S232, 2016 | 29 | 2016 |
| Forecasting the conditional covariance matrix of a portfolio under long‐run temporal dependence TM Ñíguez, A Rubia Journal of Forecasting 25 (6), 439-458, 2006 | 24 | 2006 |
| On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty TM Ñíguez, I Paya, D Peel, J Perote Economics Letters 115 (2), 244-248, 2012 | 18 | 2012 |
| Backtesting VaR under the COVID-19 sudden changes in volatility B Castillo, Á León, TM Ñíguez Finance Research Letters 43, 102024, 2021 | 17 | 2021 |
| Modeling asset returns under time-varying semi-nonparametric distributions Á León, TM Ñíguez Journal of Banking & Finance 118, 105870, 2020 | 17 | 2020 |
| Flexible distribution functions, higher-order preferences and optimal portfolio allocation TM Ñíguez, I Paya, D Peel, J Perote Quantitative Finance 19 (4), 699-703, 2019 | 17 | 2019 |
| Portfolio risk assessment under dynamic (equi) correlation and semi-nonparametric estimation: An application to cryptocurrencies I Jiménez, A Mora-Valencia, TM Ñíguez, J Perote Mathematics 8 (12), 2110, 2020 | 14 | 2020 |
| Forecasting the density of asset returns TM Ñíguez, J Perote LSE STICERD Research Paper No. EM479, 2004 | 11 | 2004 |
| Pure higher-order effects in the portfolio choice model TM Ñíguez, I Paya, D Peel Finance Research Letters 19, 255-260, 2016 | 10 | 2016 |
| The transformed Gram Charlier distribution: Parametric properties and financial risk applications Á León, TM Ñíguez Journal of Empirical Finance 63, 323-349, 2021 | 9 | 2021 |
| Moments expansion densities for quantifying financial risk TM Ñíguez, J Perote The North American Journal of Economics and Finance 42, 53-69, 2017 | 9 | 2017 |
| Multivariate approximations to portfolio return distribution A Mora-Valencia, TM Ñíguez, J Perote Computational and Mathematical Organization Theory 23, 347-361, 2017 | 9 | 2017 |
| Polynomial adjusted Student-t densities for modeling asset returns Á León, TM Ñíguez The European Journal of Finance 28 (9), 907-929, 2022 | 7 | 2022 |
| Evaluating monthly volatility forecasts using proxies at different frequencies TM Ñíguez Finance Research Letters 17, 41-47, 2016 | 6 | 2016 |
| Higher-order moments in the theory of diversification and portfolio composition TM Ñíguez, I Paya, D Peel, J Perote Univ. Management School, 2013 | 6 | 2013 |
| Linking social media, intelligent agents and expert systems for formulating open innovation strategies for software development A Adetola, S Li, A Rieple, TM Ñíguez WSEAS, 2013 | 6 | 2013 |
Javier Perote PeñaProfesor de EconomíaE-mail confirmado em usal.es
