| Seasonal stochastic volatility: Implications for the pricing of commodity options JC Arismendi, J Back, M Prokopczuk, R Paschke, M Rudolf Journal of Banking & Finance 66, 53-65, 2016 | 64 | 2016 |
| Multivariate truncated moments JC Arismendi Journal of Multivariate Analysis 117, 41-75, 2013 | 63 | 2013 |
| The profitability of moving average trading rules in BRICS and emerging stock markets JCAZ Vinicius Amorim Sobreiro, Thiago Raymon Cruz Cacique da Costa, Rodolfo ... North American Journal of Economics and Finance 38, 86-101, 2016 | 44 | 2016 |
| Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network MA Rivera-Castro, A Ugolini, JA Zambrano Emerging Markets Review 35, 164-189, 2018 | 19* | 2018 |
| Multivariate Elliptical Truncated Moments JC Arismendi, SA Broda Journal of Multivariate Analysis 157, 29-44, 2017 | 17 | 2017 |
| Monte Carlo Approximate Tensor Moment Simulations JC Arismendi, H Kimura Numerical Linear Algebra with Applications 23 (5), 825--847, 2016 | 15 | 2016 |
| A Monte Carlo Multi-Asset Option Pricing Approximation for General Stochastic Processes J Arismendi, A De Genaro Chaos, Solitons & Fractals 88, 75–99, 2016 | 11* | 2016 |
| On quadratic forms in multivariate generalized hyperbolic random vectors SA Broda, JA Zambrano Biometrika 108 (2), 413-424, 2021 | 10* | 2021 |
| Validation of default probability models: A stress testing approach FY Tsukahara, H Kimura, VA Sobreiro, JCA Zambrano International Review of Financial Analysis 47, 70-85, 2016 | 9 | 2016 |
| The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing J Arismendi-Zambrano, V Belitsky, V Amorim Sobreiro, H Kimura Journal of Financial Stability,(Preprint) Forthcoming, 2020 | 4* | 2020 |
| Informativeness of the Federal Reserve Chair Communication's Sentiment on the Monetary Policy Uncertainty J Arismendi-Zambrano, E Kypraios, A Paccagnini Personal Characteristics, and their Impact on Uncertainty and Target Rate …, 2020 | 4* | 2020 |
| The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models J Arismendi-Zambrano, M Guidolin, M Lozano Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset …, 2024 | 3* | 2024 |
| Equity Risk Premium Predictability from Cross-Sectoral Downturns JA Faias, JA Zambrano The Review of Asset Pricing Studies, 2021 | 2* | 2021 |
| Implicit entropic market risk-premium from interest rate derivatives J Arismendi-Zambrano, R Azevedo Michael J. Brennan Irish Finance Working Paper Series Research Paper, 2020 | 2 | 2020 |
| A Moment Based Analytic Approximation of the Risk-neutral Density of American Options JC Arismendi, M Prokopczuk Applied Mathematical Finance 23 (6), 409-444, 2016 | 2* | 2016 |
| Intraday Returns Forecasting Using Machine Learning: Evidence from the Brazilian Stock Market J Arismendi-Zambrano, A Genaro, H Leone Alexandre Available at SSRN 4557985, 2023 | | 2023 |
| Higher-Order Tail Moments in Asset-Pricing Theory JC Arismendi Zambrano HANDBOOK OF GLOBAL FINANCIAL MARKETS: Transformations, Dependence, and Risk …, 2019 | | 2019 |
| Multivariate higher-order moments in finance JC Arismendi University of Reading, 2013 | | 2013 |
Marcel ProkopczukLeibniz University Hannover在 fmt.uni-hannover.de 的电子邮件经过验证
