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Citation profile for Andrés Mora Valencia

Andrés Mora Valencia : Citation Profile

Are you Andrés Mora Valencia?

Universidad de los Andes (Colombia)

7

H index

3

i10 index

108

Citations

RESEARCH PRODUCTION:

35

Articles

3

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2010 - 2024). See details.
   Cites by year: 7
   Journals where Andrés Mora Valencia has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 17 (13.6 %)

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   Permalink: http://citec.repec.org/pmo824
   Updated: 2024-11-04    RAS profile: 2024-06-08    
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Relations with other researchers

Works with:

Perote, Javier (14)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrés Mora Valencia.

Is cited by:

Cortés, Lina (19)

Perote, Javier (18)

Trespalacios, Alfredo (14)

HU, YANG (6)

Corbet, Shaen (6)

Righi, Marcelo (4)

Jalkh, Naji (4)

Maghyereh, Aktham (2)

Oxley, Les (2)

Ahmed, Walid (2)

Popescu, Catalin (2)

Cites to:

Perote, Javier (123)

Ñíguez Grau, Trino (28)

DEL BRIO, ESTHER (25)

Engle, Robert (22)

Mauleón, Ignacio (20)

Cortés, Lina (17)

Laurent, Sébastien (15)

Bouri, Elie (14)

Giot, Pierre (12)

Roubaud, David (11)

Bollerslev, Tim (11)

Main data

Where Andrés Mora Valencia has published?

Journals with more than one article published# docs
Emerging Markets Review3
Risk Management3
Physica A: Statistical Mechanics and its Applications3
Estudios Gerenciales2
Finance Research Letters2
Energies2
Mathematics2
The North American Journal of Economics and Finance2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo CIEF / Universidad EAFIT3

Recent works citing Andrés Mora Valencia (2024 and 2023)

YearTitle of citing document
2023Composite distributions in the social sciences: A comparative empirical study of firms sales distribution for France, Germany, Italy, Japan, South Korea, and Spain. (2023). Mizuno, Takayuki ; Fujimoto, Shouji ; Ishikawa, Atushi ; Massing, Till ; Ramos, Arturo. In: Papers. RePEc:arx:papers:2301.09438.

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2023Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2023An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants. (2023). Jalkh, Naji ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004313.

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2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

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2023Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318.

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2023Realized higher-order moments spillovers between commodity and stock markets: Evidence from China. (2023). Xu, Yahua ; Gao, Wang ; Bouri, Elie ; Jin, Chen ; Zhang, Hongwei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000320.

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2023Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000132.

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2023Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets. (2023). Alshater, Muneer ; Mensi, Walid ; Cui, Jinxin. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009972.

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2023Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937.

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2023Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors. (2023). Zhu, Haoyang ; Dai, Zhifeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:421-450.

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2024Do conventional and new energy stock markets herd differently? Evidence from China. (2024). Zhang, Cheng ; Jiang, Lijun ; Hong, Hui ; Yue, Zhonggang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002465.

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2024Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453.

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2023Energy Transition and the Economy: A Review Article. (2023). Kosempel, Stephen ; Genc, Talat S. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:7:p:2965-:d:1106226.

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2023Effect of Chinese Currency Appreciation on Investments in Renewable Energy Projects in Countries along the Belt and Road. (2023). Zai, Wenjiao ; Ergu, Daji ; Wang, Huazhang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1784-:d:1038820.

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2023Risk measures-based cluster methods for finance. (2023). Righi, Marcelo Brutti ; Muller, Fernanda Maria ; Guedes, Pablo Cristini. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0.

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2023Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets. (2023). Kang, Sang Hoon ; Pham, Linh ; Ko, Hee-Un ; Hanif, Waqas. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00474-6.

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2024Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925.

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Works by Andrés Mora Valencia:

YearTitleTypeCited
2011CDS: relación con índices accionarios y medida de riesgo In: Revista ESPE - Ensayos sobre Política Económica.
[Full Text][Citation analysis]		article0
2011CDS: relación con índices accionarios y medida de riesgo.(2011) In: Revista ESPE - Ensayos Sobre Política Económica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Moral hazard index for credit risk to SMEs In: International Economics.
[Full Text][Citation analysis]		article0
2022Moral hazard index for credit risk to SMEs.(2022) In: International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2016The productivity of top researchers: A semi-nonparametric approach In: Documentos de Trabajo de Valor Público.
[Full Text][Citation analysis]		paper8
2016The productivity of top researchers: a semi-nonparametric approach.(2016) In: Scientometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2017Measuring firm size distribution with semi-nonparametric densities In: Documentos de Trabajo de Valor Público.
[Full Text][Citation analysis]		paper12
2017Measuring firm size distribution with semi-nonparametric densities.(2017) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach In: Documentos de Trabajo de Valor Público.
[Full Text][Citation analysis]		paper0
2015Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad In: Estudios Gerenciales.
[Full Text][Citation analysis]		article1
2015Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes me?todos de estimacio?n de la volatilidad In: Estudios Gerenciales.
[Full Text][Citation analysis]		article1
2010Consideraciones en la estimación de cuantiles altos en el riesgo operativo In: Análisis - Revista del Mercado de Valores.
[Full Text][Citation analysis]		article0
2020Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2021Skew index: Descriptive analysis, predictive power, and short-term forecast In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2014VaR performance during the subprime and sovereign debt crises: An application to emerging markets In: Emerging Markets Review.
[Full Text][Citation analysis]		article9
2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets In: Emerging Markets Review.
[Full Text][Citation analysis]		article26
2023Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model In: Emerging Markets Review.
[Full Text][Citation analysis]		article0
2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article11
2018Moral hazard and default risk of SMEs with collateralized loans In: Finance Research Letters.
[Full Text][Citation analysis]		article8
2022Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2023Earnings management to avoid losses: Evidence in non-listed Colombian companies In: Journal of International Accounting, Auditing and Taxation.
[Full Text][Citation analysis]		article0
2014Semi-nonparametric VaR forecasts for hedge funds during the recent crisis In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article4
2020Market-crash forecasting based on the dynamics of the alpha-stable distribution In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article1
2024Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article0
2022Semi-nonparametric risk assessment with cryptocurrencies In: Research in International Business and Finance.
[Full Text][Citation analysis]		article5
2020A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets In: Energies.
[Full Text][Citation analysis]		article8
2024Real Options Volatility Surface for Valuing Renewable Energy Projects In: Energies.
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article1
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[Full Text][Citation analysis]		article0
2019Quantifying Risk in Traditional Energy and Sustainable Investments In: Sustainability.
[Full Text][Citation analysis]		article3
2017The Return Performance of Cubic Market Model: An Application to Emerging Markets In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article0
2014El uso de la distribución g-h en riesgo operativo In: Contaduría y Administración.
[Full Text][Citation analysis]		article0
2017Risk quantification in turmoil markets In: Risk Management.
[Full Text][Citation analysis]		article7
2019Testing expected shortfall: an application to emerging market stock indices In: Risk Management.
[Full Text][Citation analysis]		article1
2022Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies In: Risk Management.
[Full Text][Citation analysis]		article0
2017Multivariate approximations to portfolio return distribution In: Computational and Mathematical Organization Theory.
[Full Text][Citation analysis]		article0
2021Financial Market Crash Prediction Through Analysis of Stable and Pareto Distributions In: Springer Books.
[Citation analysis]		chapter0
2022Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns In: The Engineering Economist.
[Full Text][Citation analysis]		article0
2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0

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