Francisco J. Nogales

Universidad Carlos III de Madrid - Department of Statistics

Associate Professor

Avda. de la Universidad, 30

Leganes, Madrid 28911

Spain

http://www.est.uc3m.es/Nogales

Institute of Financial Big Data UC3M-BS

Senior Researcher

CL. de Madrid 126

Madrid, Madrid 28903

Spain

  • Universidad Carlos III de Madrid - Department of Statistics

    • Email
    • Tel: +34 916248773

  • Institute of Financial Big Data UC3M-BS

SCHOLARLY PAPERS

11

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47

CROSSREF CITATIONS

133

Scholarly Papers (11)

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1.

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Downloads 2,061 ( 7,325)
Citation 26

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Number of pages: 114 Posted: 08 Feb 2017 Last Revised: 17 Jan 2019
Victor DeMiguel, Alberto Martin-Utrera, Francisco J. Nogales and Raman Uppal
London Business School, New Jersey Institute of Technology, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2,060 (7,178)
Citation 29

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cross section of stock returns, trading diversification, factor zoo

A Portfolio Perspective on the Multitude of Firm Characteristics

CEPR Discussion Paper No. DP12417
Number of pages: 63 Posted: 06 Nov 2017
Victor DeMiguel, Alberto Martin Utrera, Francisco J. Nogales and Raman Uppal
London Business School, Lancaster University - Lancaster University Management School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
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Anomalies, out of sample performance, Risk, transaction costs

2.

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Downloads 1,156 ( 18,502)
Citation 39

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

AFA 2011 Denver Meetings Paper
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 14 Nov 2013
Victor DeMiguel, Francisco J. Nogales and Raman Uppal
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 1,154 (18,202)
Citation 19

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Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

CEPR Discussion Paper No. DP9456
Number of pages: 64 Posted: 02 May 2013
Victor DeMiguel, Francisco J. Nogales and Raman Uppal
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2 (701,885)
Citation 8
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out-of-sample performance, portfolio choice, Serial dependence, vector autoregression

3.

Portfolio Selection With Robust Estimation

Number of pages: 44 Posted: 28 Jun 2006 Last Revised: 04 Nov 2007
Victor DeMiguel and Francisco J. Nogales
London Business School and Universidad Carlos III de Madrid - Department of Statistics
Downloads 1,038 (21,674)
Citation 13

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Portfolio choice, minimum-variance portfolios, estimation error, robust statistics.

4.

Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection

Number of pages: 39 Posted: 21 Jul 2011 Last Revised: 22 Apr 2013
Victor DeMiguel, Alberto Martin-Utrera and Francisco J. Nogales
London Business School, New Jersey Institute of Technology and Universidad Carlos III de Madrid - Department of Statistics
Downloads 848 (29,056)
Citation 13

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Portfolio choice, estimation error, shrinkage intensity, bootstrap

5.

Multiperiod Portfolio Optimization with Many Risky Assets and General Transaction Costs

Number of pages: 48 Posted: 18 Jul 2013 Last Revised: 15 Jan 2014
Victor DeMiguel, Xiaoling Mei and Francisco J. Nogales
London Business School, Xiamen University-Department of Finance, School of Economics and Wang Yanan Institute for Studies in Economics (WISE) and Universidad Carlos III de Madrid - Department of Statistics
Downloads 506 (57,747)
Citation 4

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Portfolio optimization, multiperiod utility, no-trade region, market impact.

6.

Electricity Pool Prices: Long-Term Uncertainty Characterization for Futures-Market Trading and Risk Management

Number of pages: 28 Posted: 20 May 2007 Last Revised: 12 Oct 2008
Antonio J. Conejo, Francisco J. Nogales, Miguel Carrión and Juan M. Morales
University of Castilla-La Mancha - Department of Electrical Engineering, Universidad Carlos III de Madrid - Department of Statistics, University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 328 (96,356)

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Electricity pool prices, year-ahead forecasting, forward trading, futures prices, scenarios

7.

Optimal Portfolios with Minimum Capital Requirements

Journal of Banking and Finance, Vol. 36, No. 7, 2012
Number of pages: 55 Posted: 04 May 2010 Last Revised: 17 Jul 2012
Andre A. P. Santos, Francisco J. Nogales, Esther Ruiz and Dick J. C. van Dijk
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 293 (109,098)

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Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation

8.

Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs

Number of pages: 45 Posted: 16 Jul 2013 Last Revised: 28 Feb 2014
Victor DeMiguel, Alberto Martin-Utrera and Francisco J. Nogales
London Business School, New Jersey Institute of Technology and Universidad Carlos III de Madrid - Department of Statistics
Downloads 262 (122,688)
Citation 6

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estimation error, shrinkage portfolios, trading costs, out-of-sample performance

9.

Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

Journal of Financial Econometrics, Forthcoming
Number of pages: 44 Posted: 17 Jul 2012 Last Revised: 18 Aug 2013
Andre A. P. Santos, Francisco J. Nogales and Esther Ruiz
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 223 (144,116)
Citation 3

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Backtesting, Basel Accords, market risk, composite likelihood, risk management, volatility

10.

Combining Multivariate Volatility Forecasts: An Economic-Based Approach

Journal of Financial Econometrics, Forthcoming
Number of pages: 45 Posted: 23 Sep 2015 Last Revised: 25 Oct 2016
João Caldeira, Guilherme V. Moura, Francisco J. Nogales and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 175 (180,237)
Citation 1

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Composite likelihood, conditional correlation models, model confidence set, realized covariance, stochastic volatility

11.

A Decomposition Method to Deflate the Curse of Dimensionality for Dynamic Stochastic Models

Computers and Operations Research, 2007
Number of pages: 15 Posted: 27 Mar 2007
Mercedes Esteban-Bravo and Francisco J. Nogales
Universidad Carlos III de Madrid and Universidad Carlos III de Madrid - Department of Statistics
Downloads 98 (282,139)

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Economic dynamic stochastic model, computation of equilibrium, decomposition methods