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Juan Arismendi-Zambrano
Juan Arismendi-Zambrano
Assistant Professor, UCD Smurfit Gradute Business School
Verified email at ucd.ie - Homepage
Title
Cited by
Cited by
Year
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
622016
Multivariate truncated moments
JC Arismendi
Journal of Multivariate Analysis 117, 41-75, 2013
622013
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
442016
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
18*2018
Multivariate Elliptical Truncated Moments
JC Arismendi, SA Broda
Journal of Multivariate Analysis 157, 29-44, 2017
172017
Monte Carlo Approximate Tensor Moment Simulations
JC Arismendi, H Kimura
Numerical Linear Algebra with Applications 23 (5), 825--847, 2016
152016
On quadratic forms in multivariate generalized hyperbolic random vectors
SA Broda, JA Zambrano
Biometrika 108 (2), 413-424, 2021
10*2021
A Monte Carlo Multi-Asset Option Pricing Approximation for General Stochastic Processes
J Arismendi, A De Genaro
Chaos, Solitons & Fractals 88, 75–99, 2016
10*2016
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
92016
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 …, 2022
3*2022
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
22020
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
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