Juan Carlos Arismendi Zambrano

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Identifer

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Affiliations

• Northwestern University / Kellogg Graduate School of Management / Department of Finance (weight: 40%)
  • EDIRC entry
  • location:
• University College Dublin / School of Business / Michael Smurfit Graduate School of Business (weight: 60%)
  • EDIRC entry
  • location:

Research profile

author of:

• The profitability of moving average trading rules in BRICS and emerging stock markets (RePEc:eee:ecofin:v:38:y:2016:i:c:p:86-101)
  by Sobreiro, Vinicius Amorim & Cruz Cacique da Costa, Thiago Raymon & Farias Nazário, Rodolfo Toríbio & Lima e Silva, Jéssica & Moreira, Eduardo Alves & Lima Filho, Marcius Correia & Kimura, Herbert & Ar
• Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network (RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189)
  by Rivera-Castro, Miguel A. & Ugolini, Andrea & Arismendi Zambrano, Juan
• Validation of default probability models: A stress testing approach (RePEc:eee:finana:v:47:y:2016:i:c:p:70-85)
  by Tsukahara, Fábio Yasuhiro & Kimura, Herbert & Sobreiro, Vinicius Amorim & Zambrano, Juan Carlos Arismendi
• The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing (RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261)
  by Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert
• Seasonal Stochastic Volatility: Implications for the pricing of commodity options (RePEc:eee:jbfina:v:66:y:2016:i:c:p:53-65)
  by Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus
• Multivariate truncated moments (RePEc:eee:jmvana:v:117:y:2013:i:c:p:41-75)
  by Arismendi, J.C.
• Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery (RePEc:een:camaaa:2020-105)
  by Juan Arismendi-Zambrano & Massimo Guidolin & Alessia Paccagnini
• On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗ (RePEc:may:mayecw:n302-20.pdf)
  by S. Broda & Juan Carlos Arismendi-Zambrano
• Implicit Entropic Market Risk-Premium from Interest Rate Derivatives (RePEc:may:mayecw:n303-20.pdf)
  by J. Arismendi-Zambrano & R. Azevedo
• Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations (RePEc:may:mayecw:n304-20.pdf)
  by Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano
• Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach (RePEc:may:mayecw:n305-20.pdf)
  by J. C. Arismendi-Zambrano & T. Ramos-Almeida & J. C. Reboredo & M. A. Rivera-Castro
• The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing (RePEc:may:mayecw:n306-20.pdf)
  by J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura
• On quadratic forms in multivariate generalized hyperbolic random vectors
  [Expected shortfall: A natural coherent alternative to value at risk] (RePEc:oup:biomet:v:108:y:2021:i:2:p:413-424.)
  by Simon A Broda & Juan Arismendi Zambrano
• Equity Risk Premium Predictability from Cross-Sectoral Downturns
  [International asset allocation with regime shifts] (RePEc:oup:rasset:v:12:y:2022:i:3:p:808-842.)
  by José Afonso Faias & Juan Arismendi Zambrano
• A Multi-Asset Option Approximation for General Stochastic Processes (RePEc:rdg:icmadp:icma-dp2014-03)
  by Juan Arismendi
• An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options (RePEc:rdg:icmadp:icma-dp2014-07)
  by Juan C. Arismendi & Marcel Prokopczuk
• Monte Carlo Approximate Tensor Moment Simulations (RePEc:rdg:icmadp:icma-dp2014-08)
  by Juan C. Arismendi & Herbert Kimura
• Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System (RePEc:rdg:icmadp:icma-dp2016-05)
  by Miguel Rivera-Castro & Andrea Ugolini & Juan Arismendi Z
• Multivariate Elliptical Truncated Moments (RePEc:rdg:icmadp:icma-dp2016-06)
  by Juan Arismendi & Simon Broda
• A moment-based analytic approximation of the risk-neutral density of American options (RePEc:taf:apmtfi:v:23:y:2016:i:6:p:409-444)
  by J. C. Arismendi & Marcel Prokopczuk
• Higher-Order Tail Moments in Asset-Pricing Theory (RePEc:wsi:wschap:9789813236653_0027)
  by Juan C. Arismendi Zambrano