Javier Perote

Universidad Rey Juan Carlos - Department Economia

Mostoles - Madrid, E-28933

Spain

University of Salamanca

Professor

Campus Miguel de Unamuno

Economia e Historia Economica

37008 Salamanca

Spain

  • Universidad Rey Juan Carlos - Department Economia

  • University of Salamanca

    • Email
    • Tel: 34-923-294640
    • Fax: 34-923-294686
SCHOLARLY PAPERS

8

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in Total Papers Downloads

2,209

TOTAL CITATIONS

6

Scholarly Papers (8)

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1.

Insider Trading in the Spanish Stock Market

Number of pages: 26 Posted: 16 Apr 2001
Esther del Brío, Alberto de Miguel and Javier Perote
University of Salamanca, University of Salamanca - Administration and Business Economics and Universidad Rey Juan Carlos - Department Economia
Downloads 816 (63,955)
Citation 2

Abstract:

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Insider trading, strong form of market efficiency, intensive trading criterion, daily returns, non-event-overlapping, GARCH and ARCH models, indirect transactions

2.

Measuring the Impact of Corporate Investment Announcements on Share Prices

Number of pages: 29 Posted: 10 Oct 2000
Esther del Brío, Javier Perote and Julio Pindado
University of Salamanca, Universidad Rey Juan Carlos - Department Economia and University of Salamanca - Administration and Business Economics
Downloads 546 (107,196)

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Corporate investment announcements, market response, Tobin's q, FCF, GARCH effects

3.

Measuring Value at Risk of Portfolios Under the Edgeworth-Sargan Distribution

Number of pages: 25 Posted: 20 Jun 2002
Javier Perote and Esther del Brío
Universidad Rey Juan Carlos - Department Economia and University of Salamanca
Downloads 296 (215,617)
Citation 3

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Value at Risk, portfolio choice, joint distribution, Edgeworth-Sargan distribution, GARCH models, optimal weighting

4.

The Ability of Multivariate Edgeworth-Sargan Density Capturing Financial Data Behaviour

Number of pages: 22 Posted: 20 Sep 2000
Ignacio Mauleón and Javier Perote
Universidad Rey Juan Carlos and Universidad Rey Juan Carlos - Department Economia
Downloads 222 (287,611)

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Multivariate densities, Edgeworth-Sargan and Student's t distributions, financial data, conditional heteroskedasticity

5.

Forecasting the Density of Asset Returns

LSE STICERD Research Paper No. EM479
Number of pages: 30 Posted: 21 Jul 2008
Trino-Manuel Niguez and Javier Perote
affiliation not provided to SSRN and Universidad Rey Juan Carlos - Department Economia
Downloads 161 (385,062)

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6.

Positive Definiteness of Multivariate Densities Based on Hermite Polynomials

Number of pages: 34 Posted: 24 Feb 2005
Javier Perote and Esther Del Brio
Universidad Rey Juan Carlos - Department Economia and University of Salamanca - Administration and Business Economics
Downloads 130 (458,200)
Citation 1

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Gram-Charlier and Edgeworth expansions, conditional heterosckedasticity and kurtosis, financial data

7.

Forecasting Market Crashes: Does Density Specification Matter?

Applied Econometrics and International Development, Vol. 8, No. 1, 2008
Number of pages: 6 Posted: 01 Dec 2008
Esther Del Brio and Javier Perote
University of Salamanca - Administration and Business Economics and Universidad Rey Juan Carlos - Department Economia
Downloads 38 (908,681)

Abstract:

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Confidence intervals, Edgeworth-Sargan, Student's t

8.

Measuring Value at Risk Under the Conditional Edgeworth-Sargan Distribution

Posted: 10 Oct 2003
Javier Perote and Esther Del Brio
Universidad Rey Juan Carlos - Department Economia and University of Salamanca - Administration and Business Economics

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Value at Risk, Multivariate Densities, Edgeworth-Sargan Density, GARCH Models