.
Jiménez-Martin, Juan-Angel's
Scholarly Papers
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column.
Aggregate Statistics
Total 8,973
Total Citations 39
1.
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
Posted:
30 Apr 09
Last Revised:
27 Jan 10
2,346(2,152)
9
Value-at-Risk (VaR), daily capital charges, exogenous and endogenous violations, violation penalties, optimizing strategy, risk forecasts, aggressive or conservative risk management strategies, Basel II Accord, financial crisis
2.
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
985(9,492)
2
risk management, violations, aggressive risk strategy, conservative risk strategy, value-at-risk forecasts
3.
Jiménez-Martin, Juan-Angel Complutense University of Madrid
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
Posted:
11 Mar 09
Last Revised:
09 Aug 09
964(9,799)
8
Financial portfolios, daily capital charges, frequency of violations, magnitude of violations, optimizing strategy, risk forecasts, value-at-risk, green zone, red zone
4.
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
920(10,554)
2
Optimal risk management, average daily capital requirements, alternative risk strategies, value-at-risk forecasts, combining risk models
5.
Chang, Chia-Lin National Chung Hsing University - Department of Applied Economics, Department of Finance
Jiménez-Martin, Juan-Angel Complutense University of Madrid
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
783(13,559)
Median strategy, Value-at-Risk (VaR), daily capital charges, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel II Accord, VIX futures, global financial crisis (GFC)
6.
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
Jiménez-Martin, Juan-Angel Complutense University of Madrid
764(14,094)
11
7.
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
724(15,187)
2
Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management strategy, conservative risk management strategy, Basel II Accord, global financial crisis.
8.
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Perez Amaral, Teodosio Complutense University of Madrid - Facultad de Económicas y Empresariales
619(19,069)
2
Median Strategy, Value-at-Risk (VaR), Daily Capital Charges, Robust Forecasts, Violation Penalties, Optimizing Strategy, Aggressive Risk Management, Conservative Risk Management, Basel II Accord, Global Financial Crisis (GFC)
9.
Chang, Chia-Lin National Chung Hsing University - Department of Applied Economics, Department of Finance
González Serrano, Lydia Universidad Rey Juan Carlos
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Posted:
02 Nov 11
Last Revised:
14 Feb 12
336(42,123)
2
multivariate GARCH, conditional correlations, exchange rates, optimal hedge ratio, optimal portfolio weights, hedging strategies
10.
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Robles-Fernández, M.D. Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration
269(54,513)
Unit-root test, Cointegration test, Fourier approximation, nonlinear VECM, exchange rates, purchasing power parity
11.
Jiménez-Martin, Juan-Angel Complutense University of Madrid
Novales Cinca, Alfonso Universidad Complutense de Madrid
263(55,938)
1
risk premium, taste shocks, fundamental uncertainty
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