Juan Arismendi-Zambrano

University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students

Lecturer (Assistant Professor)

Blackrock, Dublin

Ireland

http://https://www.smurfitschool.ie/

University of Reading - ICMA Centre

Visiting Research Fellow

Whiteknights Park

P.O. Box 242

Reading, RG6 6BA

United Kingdom

  • University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students

    • Email
    • Tel: +353017168077

  • University of Reading - ICMA Centre

SCHOLARLY PAPERS

17

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2,691

TOTAL CITATIONS

11

Ideas:
“  Asset Pricing (Theoretical and Empirical), Approximate Factor Models, Predictability  ”

  • University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students

    • Email
    • Tel: +353017168077

  • University of Reading - ICMA Centre

Scholarly Papers (17)

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1.

Equity Risk Premium Predictability from Cross-Sectoral Downturns

Number of pages: 60 Posted: 12 Jun 2015 Last Revised: 10 Apr 2021
José Afonso Faias and Juan Arismendi-Zambrano
Catholic University of Portugal (UCP) and University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students
Downloads 546 (105,292)

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predictability, left tail dependence, asset pricing model

2.

Intraday Returns Forecasting Using Machine Learning: Evidence from the Brazilian Stock Market

Downloads 408 (149,664)

Intraday Returns Forecasting Using Machine Learning: Evidence from the Brazilian Stock Market

Number of pages: 54 Posted: 01 Sep 2023 Last Revised: 06 Sep 2023
Juan Arismendi-Zambrano, Alan Genaro and Henrique Leone Alexandre
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and University of Sao Paulo (USP), Faculty of Economics, Administration and Accounting (FEA), Students
Downloads 385 (157,719)

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Machine Learning Forecasting, LASSO, Ridge Regression, Emerging Markets, Outof- Sample Forecasting

Intraday Returns Forecasting Using Machine Learning: Evidence from the Brazilian Stock Market

Number of pages: 50 Posted: 03 Feb 2025
Juan Arismendi-Zambrano, Henrique Leone Alexandre and Alan Genaro
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, University of Sao Paulo (USP), Faculty of Economics, Administration and Accounting (FEA), Students and Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 23 (1,073,576)

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Machine Learning Forecasting, LASSO, Ridge Regression, Emerging Markets, Out-of-Sample Forecasting

3.

Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options

Journal of Banking and Finance, Vol. 66, 2016
Number of pages: 53 Posted: 05 Jul 2011 Last Revised: 22 Mar 2019
Juan Arismendi-Zambrano, Janis Back, Marcel Prokopczuk, Raphael Paschke and Markus Rudolf
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, WHU - Otto Beisheim School of Management, University of Reading - ICMA Centre, University of Mannheim - Department of Business Administration and Finance and WHU Otto Beisheim Graduate School of Management
Downloads 394 (155,620)
Citation 7

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commodities, seasonality, stochastic volatility, options pricing, natural gas, corn

4.

A Monte Carlo Multi-Asset Option Pricing Approximation for General Stochastic Processes

Chaos, Solitons & Fractals, Forthcoming
Number of pages: 44 Posted: 25 Apr 2014 Last Revised: 18 Feb 2016
Juan Arismendi-Zambrano and Alan Genaro
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 192 (323,303)
Citation 2

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Multi-asset option pricing, Multivariate Risk Management, Edgeworth Expansion, Higher-order Moments

5.

Informativeness of the Federal Reserve Chair Communication's Sentiment on the Monetary Policy Uncertainty

Number of pages: 109 Posted: 15 Dec 2021 Last Revised: 22 Nov 2024
Juan Arismendi-Zambrano, Emmanuel Kypraios and Alessia Paccagnini
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, School of Business, Maynooth University and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 163 (373,856)

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Federal Reserve, Monetary Policy, Communications, Uncertainty, Machine Learning

6.

Higher-Order Tail Moments in Asset-Pricing Theory

Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers, Forthcoming
Number of pages: 61 Posted: 18 Jan 2017 Last Revised: 30 Mar 2017
Juan Arismendi-Zambrano
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students
Downloads 146 (412,061)

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Higher-Order Moments, Tail Moments, Asset Pricing, Exceedence Correlation, Financial Crisis Modeling

7.

Monte Carlo Approximate Tensor Moment Simulations

Numerical Linear Algebra with Applications, Forthcoming
Number of pages: 27 Posted: 06 Sep 2014 Last Revised: 12 Jun 2016
Juan Arismendi-Zambrano and Herbert Kimura
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Universidade de Brasília (UnB)
Downloads 137 (430,992)
Citation 1

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Monte Carlo Simulation, Higher-order Moments, Exact Moments Simulation, Stress-testing

8.

A Moment Based Analytic Approximation of the Risk-neutral Density of American Options

Applied Mathematical Finance, Volume 23, 2016 - Issue 6
Number of pages: 44 Posted: 25 Aug 2014 Last Revised: 04 Feb 2018
Juan Arismendi-Zambrano and Marcel Prokopczuk
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and University of Reading - ICMA Centre
Downloads 128 (454,645)

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Multi-asset Risk-neutral Density, American Multi-asset Options, Higher-order Moments

9.

Tail Systemic Risk and Banking Network Contagion: Evidence from the Brazilian Banking System

Emerging Markets Review, Forthcoming
Number of pages: 36 Posted: 22 Sep 2016 Last Revised: 04 Jan 2018
Miguel Rivera-Castro, Andrea Ugolini and Juan Arismendi-Zambrano
Post graduate programme in management - PPGA, University of Salvador (UNIFACS), University of Florence and University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students
Downloads 124 (466,041)

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Systemic Risk, Brazilian Banking System, Banking Network, Financial Contagion, Financial Crisis

10.

On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

This article has been accepted for publication in Biometrika Published by Oxford University Press. (https://doi.org/10.1093/biomet/asaa067)
Number of pages: 19 Posted: 16 Apr 2019 Last Revised: 03 Sep 2020
Simon A. Broda and Juan Arismendi-Zambrano
University of Zurich - Department of Finance and University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students
Downloads 110 (510,109)

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Characteristic Function, Conditional Value at Risk, Expected Shortfall, Transform Inversion, Two Stage Least Squares

11.

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-5
Number of pages: 31 Posted: 19 Aug 2020 Last Revised: 12 Mar 2021
Juan Arismendi-Zambrano and Rafael Azevedo
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Getulio Vargas Foundation (FGV)
Downloads 97 (557,025)

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Risk management, Risk analysis, Nonparametric Asset Pricing, State Price Density, Interest Rate Derivatives.

12.

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Number of pages: 111 Posted: 08 Nov 2021 Last Revised: 16 Jun 2024
Juan Arismendi-Zambrano, Massimo Guidolin and Martin Lozano
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, Bocconi University, Dept. of Finance and University of Monterrey - UDEM
Downloads 90 (583,920)

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June, 2024 JEL classification: C51, C52, G12 Empirical asset pricing, Factor models, Higher order moments, Generalized Method of Moments, Stochastic discount factor, Beta pricing, Estimation efficiency

13.

The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing

Journal of Financial Stability, (Preprint) Forthcoming, Journal of Financial Stability, volume 58, 2022[10.1016/j.jfs.2021.100969]
Number of pages: 61 Posted: 28 Sep 2021 Last Revised: 08 Jan 2025
Juan Arismendi-Zambrano, Vladimir Belitsky, Vinicius Amorim Sobreiro and Herbert Kimura
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, Institute of Mathematics and Statistics, Department of Statistics, Universidade de Brasília (UnB) and Universidade de Brasília (UnB)
Downloads 78 (634,771)

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14.

Multivariate Elliptical Truncated Moments

Journal of Multivariate Analysis, Forthcoming
Number of pages: 39 Posted: 21 Sep 2016 Last Revised: 16 Feb 2017
Juan Arismendi-Zambrano and Simon A. Broda
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and University of Zurich - Department of Finance
Downloads 69 (677,455)
Citation 1

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Multivariate Truncated Moments, Quadratic Forms, Elliptical Truncation, Tail Moments, Parametric Distributions, Elliptical Functions

15.

The Effciency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Number of pages: 98 Posted: 21 Jan 2025
Juan Arismendi-Zambrano, Massimo Guidolin and Martin Lozano
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, Bocconi University, Dept. of Finance and University of Monterrey - UDEM
Downloads 9 (1,201,859)

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empirical asset pricing, factor models, Higher order moments, Generalized Method ofMoments, Estimation effciency

16.

Validation of Default Probability Models: A Stress Testing Approach

International Review of Financial Analysis, Forthcoming
Posted: 02 Jul 2016 Last Revised: 07 Jul 2016
Fabio Yasuhiro Tsukahara, Herbert Kimura, Vinicius Amorim Sobreiro and Juan Arismendi-Zambrano
Midway Financeira, Universidade de Brasília (UnB), Universidade de Brasília (UnB) and University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students

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Portfolio, Credit risk, Banking, Default Probability, Validation techniques

17.

Multivariate Truncated Moments

Journal of Multivariate Analysis, Volume 117, May 2013
Posted: 25 Apr 2014
Juan Arismendi-Zambrano
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students

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Truncated moments; Extreme moments; Censored Data