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

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

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)

Abstract:

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

2.

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
European University Institute - Economics Department (ECO), Tecnologico de Monterrey (ITESM), Montpellier Business School and IPAG Business School

Abstract:

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

3.

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)

Abstract:

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