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Javier Mencia
(Javier Mencia)

Personal Details

First Name:Javier
Middle Name:
Last Name:Mencia
Suffix:
RePEc Short-ID:pme741
http://www.bde.es/investigador/en/menu/research_staff_a/Mencia__Francisco_Javier.html

Affiliation

Banco de España

Madrid, Spain
http://www.bde.es/

:


RePEc:edi:bdegves (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jorge E. Galán & Javier Mencía, 2018. "Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe," Working Papers 1825, Banco de España;Working Papers Homepage.
  2. Matías Lamas & Javier Mencía, 2018. "What drives sovereign debt portfolios of banks in a crisis context?," Working Papers 1843, Banco de España;Working Papers Homepage.
  3. Julio Gálvez & Javier Mencía, 2018. "Conditional Return Asymmetries in the Sovereign-Bank Nexus," Working Papers wp2018_1813, CEMFI.
  4. Javier Mencía & Jesús Saurina, 2016. "Macroprudential policy: objectives, instruments and indicators," Occasional Papers 1601, Banco de España;Occasional Papers Homepage.
  5. Mencía, Javier & Sentana, Enrique, 2015. "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.
  6. Julio Galvez & Javier Mencía, 2014. "Distributional Linkages between European Sovereign Bond and Bank Asset Returns," Working Papers wp2014_1407, CEMFI.
  7. Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España;Working Papers Homepage.
  8. Javier Mencía, 2010. "Testing non-linear dependence in the hedge fund industry," Working Papers 1007, Banco de España;Working Papers Homepage.
  9. Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers 1018, Banco de España;Working Papers Homepage.
  10. Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España;Working Papers Homepage.
  11. Javier Mencía, 2009. "Assessing the risk-return trade-off in loans portfolios," Working Papers 0911, Banco de España;Working Papers Homepage.
  12. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España;Working Papers Homepage.
  13. Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Working Papers 0709, Banco de España;Working Papers Homepage.
  14. Mencía, Javier & Sentana, Enrique, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
  15. León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.

Articles

  1. Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
  2. Mencía, Javier, 2012. "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.
  3. Javier Mencía, 2012. "Testing Nonlinear Dependence in the Hedge Fund Industry," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 545-587, June.
  4. Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin, 2012. "A systematic approach to multi-period stress testing of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 332-340.
  5. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  6. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
  7. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2004-10-18 2005-09-29 2006-01-29 2007-04-09 2007-04-28 2010-01-16 2010-04-04 2015-03-05. Author is listed
  2. NEP-BAN: Banking (7) 2007-04-28 2009-06-10 2010-07-03 2015-10-25 2018-08-13 2019-01-07 2019-03-18. Author is listed
  3. NEP-FMK: Financial Markets (4) 2006-01-29 2006-09-11 2010-04-04 2010-07-03
  4. NEP-RMG: Risk Management (4) 2007-04-28 2009-06-10 2010-07-03 2015-03-13
  5. NEP-EEC: European Economics (3) 2018-08-13 2019-01-07 2019-03-18
  6. NEP-ETS: Econometric Time Series (3) 2005-09-29 2010-01-16 2010-04-04
  7. NEP-MAC: Macroeconomics (3) 2007-04-28 2016-01-29 2018-08-13
  8. NEP-CBA: Central Banking (2) 2016-01-29 2019-01-07
  9. NEP-CFN: Corporate Finance (1) 2010-07-03
  10. NEP-CMP: Computational Economics (1) 2010-07-03
  11. NEP-MFD: Microfinance (1) 2015-03-05
  12. NEP-URE: Urban & Real Estate Economics (1) 2009-06-10

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