Francisco Javier Nogales

Finance · 2002–2020

A researcher in the Science corpus: 9 papers; trusts 53 researchers and is trusted by 49 researchers here, as inferred from the citation graph.

Subfields

• Finance — 75 citations into it; #3,145 of 10,518 by trust here, #2,660 by citations
• Economics and Econometrics — 50 citations into it; #10,984 of 23,481 by trust here, #15,581 by citations
• Management Science and Operations Research — 31 citations into it; #1,681 of 11,946 by trust here, #892 by citations
• Accounting — 22 citations into it
• Statistics and Probability — 20 citations into it
• Electrical and Electronic Engineering — 19 citations into it; #707 of 16,539 by trust here, #3,605 by citations
• Artificial Intelligence — 9 citations into it
• Ocean Engineering — 9 citations into it

Whom Francisco Javier Nogales trusts overall

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

1. Olivier Ledoit
2. Michael Wolf
3. Victor DeMiguel
4. Haili Song
5. Dimitris Nicolas Politis
6. Philippe Jorion
7. Kewei Hou
8. Lorenzo Garlappi
9. Kenneth R. French
10. Fushuan Wen

Who trusts Francisco Javier Nogales overall

1. Antonio J. Conejo
2. Nima Amjady
3. Rafal Weron
4. Miguel Carrión
5. Luis Baringo
6. Carolina García-Martos
7. Jakub Nowotarski
8. M.A. Plazas
9. J. M. Arroyo
10. Qi Zhang

Papers from Francisco Javier Nogales's perspective

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

1. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
2. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
3. The other side of value: The gross profitability premium.
4. The Cross-Section of Volatility and Expected Returns
5. Centre De Referència En Economia Analítica Barcelona Economics Working Paper Series Working Paper Nº 92 Honey, I Shrunk the Sample Covariance Matrix Honey, I Shrunk the Sample Covariance Matrix
6. Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
7. Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆
8. Portfolio Selection
9. Regression Shrinkage and Selection via the Lasso
10. Bootstrap Methods: Another Look at the Jackknife

Their papers

• Forecasting Next-Day Electricity Prices by Time Series Models (2002) — 933 citations
• ARIMA Models to Predict Next-Day Electricity Prices (2002) — 1,755 citations
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009) — 1,002 citations
• Risk-constrained self-scheduling of a thermal power producer (2004) — 179 citations
• Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011) — 134 citations
• Price-Taker Bidding Strategy under Price Uncertainty (2002) — 261 citations
• A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2020) — 124 citations
• Multiperiod portfolio optimization with multiple risky assets and general transaction costs (2016) — 51 citations
• Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014) — 130 citations