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José Arreola Hernández

Tecnologico de Monterrey (ITESM)

Lecturer in Finance

Av. Montaña Monarca 1340

Jesus de Monte

Morelia, Michoacan 58350

Mexico

http://https://mx.linkedin.com/in/jose-arreola-hernandez-0a7273105

  • Tecnologico de Monterrey (ITESM)

SCHOLARLY PAPERS

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Scholarly Papers (6)

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1.

Nonlinear Dependence and Spillovers between Cryptocurrency and Global/Regional Equity Markets

Pacific-Basin Finance Journal, Vol. 74, No. 101822, 2022
Posted: 10 Apr 2023 Last Revised: 06 May 2026
Waqas Hanif, José Arreola Hernández, Victor Troster, Sang Hoon Kang and Seong-Min Yoon
University of Algarve, Tecnologico de Monterrey (ITESM), Universitat de les Illes Balears, Pusan National University and Department of Economics, Pusan National University

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Cryptocurrency; copula; conditional value-at-risk; equity market; nonlinear dependence; spillover

2.

Systemic Risk Spillovers Between Stock Returns of the Banking and Financial Sectors: Evidence from Developed and Emerging Europe

Posted: 10 Apr 2023 Last Revised: 06 May 2026
Waqas Hanif, Walid Mensi, José Arreola Hernández and Seong-Min Yoon
University of Algarve, Sultan Qaboos University, Tecnologico de Monterrey (ITESM) and Department of Economics, Pusan National University

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Bank stock returns; Developed and emerging Europe; Non-linear dependence; Spillovers; Copulas; CoVaR

3.

Are the Interdependence Characteristics of the Us and Canadian Energy Equity Sectors Nonlinear and Asymmetric?

The North American Journal of Economics and Finance, Vol. 51, January 2020
Posted: 21 Mar 2023
Waqas Hanif, José Arreola Hernández, Perry Sadorsky and Seong-Min Yoon
University of Algarve, Tecnologico de Monterrey (ITESM), York University - Schulich School of Business and Department of Economics, Pusan National University

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Energy sectors, Nonlinear dependence structure, Portfolio optimization, Tail dependence, Vine copulas

4.

Time Lag Dependence, Cross-Correlation and Risk Analysis of US Energy and Non-Energy Stock Portfolios.

Journal of Asset Management Vol. 16, 7, 467–483, 2015
Posted: 30 May 2016
José Arreola Hernández
Tecnologico de Monterrey (ITESM)

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stock returns; cross-correlation; dependence; value-at-risk; Sharpe ratio

5.

Multivariate Dependence Risk and Portfolio Optimization: An Application to Mining Stock Portfolios

Resources Policy 46 (2015) 1–11
Posted: 30 May 2016
Stelios Bekiros, José Arreola Hernández, Shawkat M. Hammoudeh and Duc Khuong Nguyen
University of Turin/, Tecnologico de Monterrey (ITESM), Drexel University - Lebow College of Business and University of Cambridge - Department of Land Economy

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Mining stocks, Vine copulas, Risk measures, Tail dependence, Portfolio optimization

6.

Are Oil and Gas Stocks from the Australian Market Riskier than Coal and Uranium Stocks? Dependence Risk Analysis and Portfolio Optimization

Energy Economics 45 (2014) 528–536
Posted: 30 May 2016
José Arreola Hernández
Tecnologico de Monterrey (ITESM)

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Energy stocks, C-vines, D-vines, Dependence structure, Risk measures, Portfolio optimization