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Publications

by members of

Universidad de Castilla La Mancha → Facultad de Derecho y Ciencias Sociales → Departamento de Analisis Económico y Finanzas

University of Castilla La Mancha → Faculty of Law and Social Sciences → Department of Economic Analysis and Finance

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. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2019

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

2015

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

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, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb084912, Oct.

2007

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

2003

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

2001

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

1997

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

1996

  1. Manuel Moreno, 1996, "A two-mean reverting-factor model of the term structure of interest rates," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 193, Nov.

1995

  1. Moreno, Manuel & Peña, Juan Ignacio, 1995, "On the term structure of Interbank interest rates: jump-diffusion processes and option pricing," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 7074, Oct.

Journal articles

2024

  1. Belén León-Pérez & Manuel Moreno, 2024, "Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models," Annals of Operations Research, Springer, volume 337, issue 1, pages 167-196, June, DOI: 10.1007/s10479-024-05904-x.

2023

  1. Platania, Federico & Toscano Hernandez, Celina & Moreno, Manuel & Appio, Francesco, 2023, "The impact of public attention during the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.104322.

2022

  1. García-Céspedes, Rubén & Moreno, Manuel, 2022, "The generalized Vasicek credit risk model: A Machine Learning approach," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102669.
  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, volume 22, issue 2, pages 197-211, February, DOI: 10.1080/14697688.2021.2018483.

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, volume 559, issue C, DOI: 10.1016/j.physa.2020.125103.
  2. Rubén García-Céspedes & Manuel Moreno, 2020, "Random LGD adjustments in the Vasicek credit risk model," The European Journal of Finance, Taylor & Francis Journals, volume 26, issue 18, pages 1856-1875, December, DOI: 10.1080/1351847X.2020.1789685.

2019

  1. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2019, "Long-term swings and seasonality in energy markets," European Journal of Operational Research, Elsevier, volume 279, issue 3, pages 1011-1023, DOI: 10.1016/j.ejor.2019.05.042.
  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, volume 10, issue 1, pages 1-8, December, DOI: 10.1038/s41467-019-10613-2.

2018

  1. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018, "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, volume 72, issue C, pages 140-150, DOI: 10.1016/j.econmod.2018.01.015.

2017

  1. León, Angel & Moreno, Manuel, 2017, "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, volume 74, issue C, pages 38-50, DOI: 10.1016/j.jbankfin.2016.10.005.
  2. García-Céspedes, Rubén & Moreno, Manuel, 2017, "An approximate multi-period Vasicek credit risk model," Journal of Banking & Finance, Elsevier, volume 81, issue C, pages 105-113, DOI: 10.1016/j.jbankfin.2017.05.002.

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, volume 461, issue C, pages 217-237, DOI: 10.1016/j.physa.2016.05.044.
  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, volume 7, issue 1, pages 1-8, November, DOI: 10.1038/ncomms12784.

2015

  1. Moreno, Manuel & Platania, Federico, 2015, "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, volume 241, issue 1, pages 109-121, DOI: 10.1016/j.ejor.2014.08.010.
  2. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2015, "Stochastic string models with continuous semimartingales," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 433, issue C, pages 229-246, DOI: 10.1016/j.physa.2015.03.070.
  3. 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, volume 15, issue 1, pages 151-170, January, DOI: 10.1080/14697688.2014.935463.

2014

  1. González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio, 2014, "Tail risk in energy portfolios," Energy Economics, Elsevier, volume 46, issue C, pages 422-434, DOI: 10.1016/j.eneco.2014.05.004.
  2. García-Céspedes, Rubén & Moreno, Manuel, 2014, "Estimating the distribution of total default losses on the Spanish financial system," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 242-261, DOI: 10.1016/j.jbankfin.2014.09.019.

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, volume 225, issue 3, pages 429-442, DOI: 10.1016/j.ejor.2012.10.015.

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, volume 214, issue 3, pages 656-664, November.

2008

  1. Manuel Moreno & Javier F. Navas, 2008, "Australian Options," Australian Journal of Management, Australian School of Business, volume 33, issue 1, pages 69-93, June, DOI: 10.1177/031289620803300105.

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, volume 6, issue 2, pages 107-128, May, DOI: 10.1023/A:1027340210935.
  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., volume 23, issue 11, pages 1075-1105, November.

Chapters

2012

  1. Marco M. García-Alonso & Manuel Moreno & Javier F. Navas, 2012, "On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?," Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited, "Derivative Securities Pricing and Modelling", DOI: 10.1108/S1569-3759(2012)0000094012.

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