J. Mencía

Finance · 2005–2013

A researcher in the Science corpus: 6 papers; trusts 25 researchers and is trusted by 7 researchers here, as inferred from the citation graph.

Subfields

Whom J. Mencía trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Enrique Sentana
  2. Ole E. Barndorff-Nielsen
  3. Gabriele Fiorentini
  4. N. Shephard
  5. Andrew J. Patton
  6. Luc Bauwens
  7. Russell Davidson
  8. Giorgio Calzolari
  9. Anders B. Trolle
  10. Yueh-Neng Lin

Who trusts J. Mencía overall

  1. Markku Lanne
  2. Kjersti Aas
  3. Rafael Repullo
  4. Monica Martinez-Bravo
  5. S. Bonhomme
  6. Ingrid Hobæk Haff
  7. Pentti Saikkonen
  8. D. Xiu
  9. Enrique Sentana
  10. Andrew Papanicolaou

Papers from J. Mencía's perspective

Ordered by how strongly the researchers J. Mencía trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Generalized autoregressive conditional heteroskedasticity
  2. Matrix Differential Calculus with Applications in Statistics and Econometrics
  3. Extreme Correlation of International Equity Markets
  4. Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
  5. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
  6. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
  7. The Pricing of Options and Corporate Liabilities
  8. Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With Student t Innovations
  9. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
  10. (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation

Their papers