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Publications

by members of

Departamento de Analisis Económico y Finanzas
Facultad de Derecho y Ciencias Sociales
Universidad de Castilla La Mancha
Toledo, Spain

(Department of Economic Analysis and Finance, Faculty of Law and Social Sciences, University of Castilla La Mancha)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2019

  1. Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE 2019-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "Long-term swings and seasonality in energy markets," Documentos de Trabajo del ICAE 2019-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

2015

  1. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.

2008

  1. Moreno, M. & Serrano, P. & Stute, Winfried, 2008. "Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects," DEE - Working Papers. Business Economics. WB wb084912, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

2007

  1. Moreno, M. & Peña, Juan Ignacio & Serrano, P., 2007. "Pricing tranched credit products with generalized multifactor models," DEE - Working Papers. Business Economics. WB wb073909, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  2. Cuadro-Sáez, Lucía & Moreno, Manuel, 2007. "GARCH modeling of robust market returns," Kiel Advanced Studies Working Papers 440, Kiel Institute for the World Economy (IfW Kiel).
  3. Lucía Cuadro Sáez & Manuel Moreno, 2007. "GARCH Modeling of Robust Market Returns," Kiel Advanced Studies Working Papers 440, Kiel Institute for the World Economy.

2003

  1. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra.

2001

  1. Manuel Moreno & Javier R. Navas, 2001. "On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra.

1997

  1. Manuel Moreno, 1997. "On the relevance of modeling volatility for pricing purposes," Economics Working Papers 431, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 1999.
  2. Manuel Moreno, 1997. "Risk management under a two-factor model of the term structure of interest rates," Economics Working Papers 254, Department of Economics and Business, Universitat Pompeu Fabra.

1996

  1. Manuel Moreno, 1996. "A two-mean reverting-factor model of the term structure of interest rates," Economics Working Papers 193, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Manuel Moreno & Juan I. Peña, 1996. "On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing," Economics Working Papers 191, Department of Economics and Business, Universitat Pompeu Fabra.

Journal articles

2022

  1. García-Céspedes, Rubén & Moreno, Manuel, 2022. "The generalized Vasicek credit risk model: A Machine Learning approach," Finance Research Letters, Elsevier, vol. 47(PA).
  2. Alberto Bueno-Guerrero & Manuel Moreno & Javier F. Navas, 2022. "Bond market completeness under stochastic strings with distribution-valued strategies," Quantitative Finance, Taylor & Francis Journals, vol. 22(2), pages 197-211, February.

2020

  1. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2020. "Valuation of caps and swaptions under a stochastic string model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  2. Rubén García-Céspedes & Manuel Moreno, 2020. "Random LGD adjustments in the Vasicek credit risk model," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1856-1875, December.

2019

  1. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2019. "Long-term swings and seasonality in energy markets," European Journal of Operational Research, Elsevier, vol. 279(3), pages 1011-1023.
  2. Y. Jin & O. Tsyplyatyev & M. Moreno & A. Anthore & W. K. Tan & J. P. Griffiths & I. Farrer & D. A. Ritchie & L. I. Glazman & A. J. Schofield & C. J. B. Ford, 2019. "Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit," Nature Communications, Nature, vol. 10(1), pages 1-8, December.

2018

  1. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.

2017

  1. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
  2. García-Céspedes, Rubén & Moreno, Manuel, 2017. "An approximate multi-period Vasicek credit risk model," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 105-113.

2016

  1. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
  2. M Moreno & C. J. B. Ford & Y. Jin & J. P. Griffiths & I. Farrer & G. A. C. Jones & D. A. Ritchie & O. Tsyplyatyev & A. J. Schofield, 2016. "Nonlinear spectra of spinons and holons in short GaAs quantum wires," Nature Communications, Nature, vol. 7(1), pages 1-8, November.

2015

  1. Carlos Gonz�lez-Pedraz & Manuel Moreno & Juan Ignacio Pe�a, 2015. "Portfolio selection with commodities under conditional copulas and skew preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 151-170, January.
  2. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2015. "Stochastic string models with continuous semimartingales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 229-246.
  3. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.

2014

  1. González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio, 2014. "Tail risk in energy portfolios," Energy Economics, Elsevier, vol. 46(C), pages 422-434.
  2. García-Céspedes, Rubén & Moreno, Manuel, 2014. "Estimating the distribution of total default losses on the Spanish financial system," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 242-261.

2013

  1. Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.

2011

  1. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.

2008

  1. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.

2003

  1. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
  2. Manuel Moreno, 2003. "A two‐mean reverting‐factor model of the term structure of interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1075-1105, November.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.