Javier Mencía - Central Bank Research Hub

Papers by year: All | 2015 | 2012 | 2010 | 2009 | 2007

Title Other author(s)

Volatility-related exchange traded assets: an econometric investigation

Bank of Spain Working Papers [View] (Paper: 1510, 13.04.2015)

JEL: G13

Valuation of VIX derivatives

Bank of Spain Working Papers [View] (Paper: 1232, 24.09.2012)

A systematic approach to multi-period stress testing of portfolio credit risk

Bank of Spain Working Papers [View] (Paper: 1018, 18.06.2010)

JEL: C15, G20, G28, G32

Testing non-linear dependence in the Hedge Fund industry

Bank of Spain Working Papers [View] (Paper: 1007, 19.03.2010)

Distributional tests in multivariate dynamic models with Normal and Student t innovations

Bank of Spain Working Papers [View] (Paper: 0929, 21.12.2009)

JEL: C12, C32, C52

Assessing the risk-return trade-off in loans portfolios (566 KB)

Bank of Spain Working Papers [View] (Paper: 0911, 12.06.2009)

JEL: C32, D81, G11, G12, G21, G28

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (1.129 KB)

Bank of Spain Working Papers [View] (Paper: 0909, 02.06.2009)

JEL: C32, C52, G11

Modeling the distribution of credit losses with observable and latent factors

Bank of Spain Working Papers [View] (Paper: 0709, 18.04.2007)

JEL: E32, E37, G21

Parametric properties of semi-nonparametric distributions, with applications to option valuation

Bank of Spain Working Papers [View] (Paper: 0707, 27.03.2007)

JEL: G13

Papers by year: All | 2015 | 2012 | 2010 | 2009 | 2007