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Andrés Mora-Valencia

Personal Details

First Name:Andrés
Middle Name:
Last Name:Mora-Valencia
Suffix:
RePEc Short-ID:pmo824
[This author has chosen not to make the email address public]

Affiliation

Facultad de Administración
Universidad de los Andes

Bogotá, Colombia
http://administracion.uniandes.edu.co/

: (57 1) 3394949
(57 1) 3394949
Calle 21 # 1-20. Edificio Santo Domingo, Bogotá
RePEc:edi:faandco (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," DOCUMENTOS DE TRABAJO CIEF 015923, UNIVERSIDAD EAFIT.
  2. Lina Cortés & Andrés Mora-Valencia & Javier Perote, 2017. "Measuring firm size distribution with semi-nonparametric densities," DOCUMENTOS DE TRABAJO CIEF 015300, UNIVERSIDAD EAFIT.
  3. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2016. "The productivity of top researchers: A semi-nonparametric approach," DOCUMENTOS DE TRABAJO CIEF 014437, UNIVERSIDAD EAFIT.

Articles

  1. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2017. "Measuring firm size distribution with semi-nonparametric densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 35-47.
  2. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
  3. Andrés Mora-Valencia & Javier Perote & José Elías Tobar Arias, 2017. "The Return Performance of Cubic Market Model: An Application to Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(10), pages 2233-2241, October.
  4. Lina M. Cortés & Andrés Mora-Valencia & Javier Perote, 2016. "The productivity of top researchers: a semi-nonparametric approach," Scientometrics, Springer;Akadémiai Kiadó, vol. 109(2), pages 891-915, November.
  5. Andrés Mora-Valencia & Germán González-Echeverri & Juan Gregorio Solano, 2015. "Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, vol. 31(136), pages 287-298, September.
  6. Mora Valencia Andrés, 2014. "El uso de la distribución g-h en riesgo operativo," Contaduría y Administración, Accounting and Management, vol. 59(1), pages 123-148, enero-mar.
  7. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
  8. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
  9. Bernardo León & Andrés Mora, 2011. "CDS: relación con índices accionarios y medida de riesgo," Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 29(64), pages 178-211, July.
  10. Andrés Mora, 2010. "Consideraciones en la estimación de cuantiles altos en el riesgo operativo," ANÁLISIS - REVISTA DEL MERCADO DE VALORES, AUTORREGULADOR DEL MERCADO DE VALORES DE COLOMBIA, December.
  11. Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 0. "Multivariate approximations to portfolio return distribution," Computational and Mathematical Organization Theory, Springer, vol. 0, pages 1-15.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Lina Cortés & Andrés Mora-Valencia & Javier Perote, 2017. "Measuring firm size distribution with semi-nonparametric densities," DOCUMENTOS DE TRABAJO CIEF 015300, UNIVERSIDAD EAFIT.

    Cited by:

    1. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," DOCUMENTOS DE TRABAJO CIEF 015923, UNIVERSIDAD EAFIT.

  2. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2016. "The productivity of top researchers: A semi-nonparametric approach," DOCUMENTOS DE TRABAJO CIEF 014437, UNIVERSIDAD EAFIT.

    Cited by:

    1. Lina Cortés & Andrés Mora-Valencia & Javier Perote, 2017. "Measuring firm size distribution with semi-nonparametric densities," DOCUMENTOS DE TRABAJO CIEF 015300, UNIVERSIDAD EAFIT.
    2. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," DOCUMENTOS DE TRABAJO CIEF 015923, UNIVERSIDAD EAFIT.
    3. Marek Kwiek, 2018. "High research productivity in vertically undifferentiated higher education systems: Who are the top performers?," Scientometrics, Springer;Akadémiai Kiadó, vol. 115(1), pages 415-462, April.

Articles

  1. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2017. "Measuring firm size distribution with semi-nonparametric densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 35-47.
    See citations under working paper version above.
  2. Lina M. Cortés & Andrés Mora-Valencia & Javier Perote, 2016. "The productivity of top researchers: a semi-nonparametric approach," Scientometrics, Springer;Akadémiai Kiadó, vol. 109(2), pages 891-915, November.
    See citations under working paper version above.
  3. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.

    Cited by:

    1. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    2. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
    3. Nikola Radivojevic & Milena Cvjetkovic & Saša Stepanov, 2016. "The new hybrid value at risk approach based on the extreme value theory," Estudios de Economia, University of Chile, Department of Economics, vol. 43(1 Year 20), pages 29-52, June.
    4. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
    5. Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.

  4. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.

    Cited by:

    1. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    2. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.

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 3 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 (1) 2017-02-12. Author is listed
  2. NEP-ENE: Energy Economics (1) 2018-01-29. Author is listed
  3. NEP-ENT: Entrepreneurship (1) 2017-02-12. Author is listed
  4. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2016-04-30. Author is listed
  5. NEP-SBM: Small Business Management (1) 2017-02-12. Author is listed

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