Andrés Mora Valencia
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Andrés |
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Mora-Valencia |
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Affiliations
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Universidad de los Andes (Colombia)
/ Facultad de Administración
Research profile
author of:
- CDS: relación con índices accionarios y medida de riesgo (RePEc:bdr:ensayo:v:29:y:2011:i:64:p:178-211)
by Bernardo León & Andrés Mora - Moral hazard index for credit risk to SMEs (RePEc:cii:cepiie:2022-q3-172-22)
by José A. Castillo & Andrés Mora-Valencia & Javier Perote - CDS: relación con índices accionarios y medida de riesgo (RePEc:col:000107:009445)
by Bernardo León & Andrés Mora - The productivity of top researchers: A semi-nonparametric approach (RePEc:col:000122:014437)
by Lina M. Cortés & Javier Perote & Andrés Mora-Valencia - Measuring firm size distribution with semi-nonparametric densities (RePEc:col:000122:015300)
by Lina Cortés & Andrés Mora-Valencia & Javier Perote - Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach (RePEc:col:000122:015923)
by Lina M. Cortés & Javier Perote & Andrés Mora-Valencia - Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad (RePEc:col:000129:013834)
by Andrés Mora-Valencia & Germán González-Echeverri & Juan Gregorio Solano - Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad (RePEc:col:000129:014355)
by Andrés Mora-Valencia & Germa?n Gonza?lez-Echeverri & Juan Gregorio Solano - Consideraciones en la estimación de cuantiles altos en el riesgo operativo (RePEc:col:000417:007901)
by Andrés Mora - Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach (RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980)
by Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier - Skew index: Descriptive analysis, predictive power, and short-term forecast (RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370)
by Mora-Valencia, Andrés & Rodríguez-Raga, Santiago & Vanegas, Esteban - VaR performance during the subprime and sovereign debt crises: An application to emerging markets (RePEc:eee:ememar:v:20:y:2014:i:c:p:23-41)
by Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier - The kidnapping of Europe: High-order moments' transmission between developed and emerging markets (RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115)
by Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier - Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model (RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596)
by Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier - Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall (RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801)
by Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier - Moral hazard and default risk of SMEs with collateralized loans (RePEc:eee:finlet:v:26:y:2018:i:c:p:95-99)
by Castillo, José A. & Mora-Valencia, Andrés & Perote, Javier - Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? (RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003294)
by Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier - Moral hazard index for credit risk to SMEs (RePEc:eee:inteco:v:172:y:2022:i:c:p:311-323)
by Castillo, José A. & Mora-Valencia, Andrés & Perote, Javier - Earnings management to avoid losses: Evidence in non-listed Colombian companies (RePEc:eee:jiaata:v:53:y:2023:i:c:s106195182300054x)
by Tobar Arias, José E. & Mora Valencia, Andrés & Benavides Franco, Julián - Semi-nonparametric VaR forecasts for hedge funds during the recent crisis (RePEc:eee:phsmap:v:401:y:2014:i:c:p:330-343)
by Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier - Measuring firm size distribution with semi-nonparametric densities (RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47)
by Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier - Market-crash forecasting based on the dynamics of the alpha-stable distribution (RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304532)
by Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier - Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers (RePEc:eee:reveco:v:92:y:2024:i:c:p:302-315)
by Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier - Semi-nonparametric risk assessment with cryptocurrencies (RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884)
by Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier - A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets (RePEc:gam:jeners:v:13:y:2020:i:11:p:2805-:d:366071)
by Daniel Velásquez-Gaviria & Andrés Mora-Valencia & Javier Perote - Real Options Volatility Surface for Valuing Renewable Energy Projects (RePEc:gam:jeners:v:17:y:2024:i:5:p:1225-:d:1350871)
by Rosa-Isabel González-Muñoz & Jesús Molina-Muñoz & Andrés Mora-Valencia & Javier Perote - Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies (RePEc:gam:jmathe:v:8:y:2020:i:12:p:2110-:d:451220)
by Inés Jiménez & Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote - Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index (RePEc:gam:jmathe:v:9:y:2021:i:21:p:2736-:d:666761)
by Pablo Urtubia & Alfonso Novales & Andrés Mora-Valencia - Quantifying Risk in Traditional Energy and Sustainable Investments (RePEc:gam:jsusta:v:11:y:2019:i:3:p:720-:d:201942)
by Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia - The Return Performance of Cubic Market Model: An Application to Emerging Markets (RePEc:mes:emfitr:v:53:y:2017:i:10:p:2233-2241)
by Andrés Mora-Valencia & Javier Perote & José Elías Tobar Arias - El uso de la distribución g-h en riesgo operativo (RePEc:nax:conyad:v:59:y:2014:i:1:p:123-148)
by Mora Valencia Andrés - Risk quantification in turmoil markets (RePEc:pal:risman:v:19:y:2017:i:3:d:10.1057_s41283-017-0018-8)
by Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia - Testing expected shortfall: an application to emerging market stock indices (RePEc:pal:risman:v:21:y:2019:i:3:d:10.1057_s41283-018-0046-z)
by Emilio Cardona & Andrés Mora-Valencia & Daniel Velásquez-Gaviria - Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies (RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5)
by Inés Jiménez & Andrés Mora-Valencia & Javier Perote - Multivariate approximations to portfolio return distribution (RePEc:spr:comaot:v:23:y:2017:i:3:d:10.1007_s10588-016-9231-3)
by Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote - The productivity of top researchers: a semi-nonparametric approach (RePEc:spr:scient:v:109:y:2016:i:2:d:10.1007_s11192-016-2072-5)
by Lina M. Cortés & Andrés Mora-Valencia & Javier Perote - Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions (RePEc:spr:sprchp:978-3-030-78965-7_52)
by Jesus-Enrique Molina & Andres Mora-Valencia & Javier Perote - Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns (RePEc:taf:uteexx:v:67:y:2022:i:3:p:218-233)
by Bernardo León-Camacho & Andrés Mora-Valencia & Javier Perote - Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures (RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4163-4189)
by Enrique Molina‐Muñoz & Andrés Mora‐Valencia & Javier Perote