Details about Juan Angel Jimenez Martin

Access statistics for papers by Juan Angel Jimenez Martin.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pji27

Working Papers

2015

1. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (2)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
2. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (2)
   See also Journal Article Choosing expected shortfall over VaR in Basel III using stochastic dominance, International Review of Economics & Finance, Elsevier (2019) View citations (10) (2019)

2014

3. A Stochastic Dominance Approach to Financial Risk Management Strategies
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   See also Journal Article A stochastic dominance approach to financial risk management strategies, Journal of Econometrics, Elsevier (2015) View citations (10) (2015)
4. Guns, Economic Growth and Education during the second half of the Twentieth Century: Was Spain different?
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

2013

5. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   Also in MPRA Paper, University Library of Munich, Germany (2013)
   See also Journal Article Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) View citations (4) (2014)
6. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
   Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (2)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (2)
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (2)
   See also Journal Article GFC-robust risk management under the Basel Accord using extreme value methodologies, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (1) (2013)
7. Has the Basel Accord Improved Risk Management During the Global Financial Crisis
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (33)
   Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (1)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (27)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
   See also Journal Article Has the Basel Accord improved risk management during the global financial crisis?, The North American Journal of Economics and Finance, Elsevier (2013) View citations (35) (2013)

2012

8. Currency Hedging Strategies Using Dynamic Multivariate GARCH
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
   See also Journal Article Currency hedging strategies using dynamic multivariate GARCH, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (13) (2013)

2011

9. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
   KIER Working Papers, Kyoto University, Institute of Economic Research View citations (4)
   Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (29)
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (11)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
10. International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (20)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (11)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) View citations (1)
    See also Journal Article International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (13) (2013)
11. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (24)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (26)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (14)
    See also Journal Article Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (5) (2013)
12. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (23)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (23)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (20)
13. The Rise and Fall of S&P500 Variance Futures
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (7)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (8)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (1)
    See also Journal Article The rise and fall of S&P500 variance futures, The North American Journal of Economics and Finance, Elsevier (2013) View citations (8) (2013)

2010

14. GFC-Robust Risk Management Strategies under the Basel Accord
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (2)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (9)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (8)
    See also Journal Article GFC-robust risk management strategies under the Basel Accord, International Review of Economics & Finance, Elsevier (2013) View citations (18) (2013)

2009

15. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (49)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (22)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (7)
16. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    MPRA Paper, University Library of Munich, Germany
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (7)
17. State-Uncertainty preferences and the Risk Premium in the Exchange rate market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article State-uncertainty preferences and the risk premium in the exchange rate market, Economic Modelling, Elsevier (2010) View citations (4) (2010)
18. The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (7)
    See also Journal Article THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD, Journal of Economic Surveys, Wiley Blackwell (2009) View citations (45) (2009)
19. What Happened to Risk Management During the 2008-09 Financial Crisis?
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)

2005

20. Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

2004

21. Macroeconomic and policy uncertainty and Exchange rate risk Premium
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
22. Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
23. The Fit of Dynamic Equilibrium Models of Exchange Rate
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

2003

24. La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Journal Articles

2024

1. ESG risk exposure: a tale of two tails
   Quantitative Finance, 2024, 24, (6), 827-849
2. Measuring Climate Transition Risk Spillovers
   Review of Finance, 2024, 28, (2), 447-481 View citations (1)

2022

3. Measuring systemic risk during the COVID-19 period: A TALIS3 approach
   Finance Research Letters, 2022, 46, (PA) View citations (3)

2021

4. TrAffic LIght system for systemic Stress: TALIS3
   The North American Journal of Economics and Finance, 2021, 57, (C) View citations (5)

2019

5. Choosing expected shortfall over VaR in Basel III using stochastic dominance
   International Review of Economics & Finance, 2019, 60, (C), 95-113 View citations (10)
   See also Working Paper Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance, Tinbergen Institute Discussion Papers (2015) View citations (3) (2015)
6. Revisiting the guns vs butter dilemma. Was Spain different in the implementation of public policies? Defence, growth and education
   Policy Studies, 2019, 40, (2), 150-172

2015

7. A stochastic dominance approach to financial risk management strategies
   Journal of Econometrics, 2015, 187, (2), 472-485 View citations (10)
   See also Working Paper A Stochastic Dominance Approach to Financial Risk Management Strategies, Documentos de Trabajo del ICAE (2014) (2014)

2014

8. Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
   Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 159-177 View citations (4)
   See also Working Paper Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises, Documentos de Trabajo del ICAE (2013) (2013)

2013

9. Currency hedging strategies using dynamic multivariate GARCH
   Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 164-182 View citations (13)
   See also Working Paper Currency Hedging Strategies Using Dynamic Multivariate GARCH, Documentos de Trabajo del ICAE (2012) (2012)
10. GFC-robust risk management strategies under the Basel Accord
    International Review of Economics & Finance, 2013, 27, (C), 97-111 View citations (18)
    See also Working Paper GFC-Robust Risk Management Strategies under the Basel Accord, Documentos de Trabajo del ICAE (2010) (2010)
11. GFC-robust risk management under the Basel Accord using extreme value methodologies
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 223-237 View citations (1)
    See also Working Paper GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies, Tinbergen Institute Discussion Papers (2013) View citations (2) (2013)
12. Has the Basel Accord improved risk management during the global financial crisis?
    The North American Journal of Economics and Finance, 2013, 26, (C), 250-265 View citations (35)
    See also Working Paper Has the Basel Accord Improved Risk Management During the Global Financial Crisis, Working Papers in Economics (2013) View citations (33) (2013)
13. International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
    Journal of Forecasting, 2013, 32, (3), 267-288 View citations (13)
    See also Working Paper International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord, Econometric Institute Research Papers (2011) View citations (6) (2011)
14. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 183-204 View citations (5)
    See also Working Paper Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, KIER Working Papers (2011) View citations (24) (2011)
15. The rise and fall of S&P500 variance futures
    The North American Journal of Economics and Finance, 2013, 25, (C), 151-167 View citations (8)
    See also Working Paper The Rise and Fall of S&P500 Variance Futures, Documentos de Trabajo del ICAE (2011) (2011)

2010

16. PPP: Delusion or Reality? Evidence from a Nonlinear Analysis
    Open Economies Review, 2010, 21, (5), 679-704 View citations (3)
17. State-uncertainty preferences and the risk premium in the exchange rate market
    Economic Modelling, 2010, 27, (5), 1043-1053 View citations (4)
    See also Working Paper State-Uncertainty preferences and the Risk Premium in the Exchange rate market, Documentos de Trabajo del ICAE (2009) (2009)

2009

18. Seasonal fluctuations and equilibrium models of exchange rate
    Applied Economics, 2009, 41, (20), 2635-2652 View citations (4)
19. THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
    Journal of Economic Surveys, 2009, 23, (5), 850-855 View citations (45)
    See also Working Paper The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord, Documentos de Trabajo del ICAE (2009) View citations (7) (2009)