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Alfonso Valdesogo
Alfonso Valdesogo
Department of Applied Economics, Universitat de les Illes Balears
Verified email at uib.es - Homepage
Title
Cited by
Cited by
Year
Modeling international financial returns with a multivariate regime-switching copula
L Chollete, A Heinen, A Valdesogo
Journal of financial econometrics 7 (4), 437-480, 2009
4122009
Asymmetric CAPM dependence for large dimensions: The canonical vine autoregressive copula model
A Heinen, A Valdesogo
Available at SSRN 1297506, 2008
1182008
Asymmetric CAPM dependence for large dimensions: the canonical vine autoregressive model. CORE discussion papers 2009069, Université catholique de Louvain
A Heinen, A Valdesogo
Center for Operations Research and Econometrics (CORE), 2009
332009
Spearman rank correlation of the bivariate Student t and scale mixtures of normal distributions
A Heinen, A Valdesogo
Journal of Multivariate Analysis 179, 104650, 2020
192020
Copula‐Based Volatility Models
A Heinen, A Valdesogo
Handbook of Volatility Models and Their Applications, 293-316, 2012
152012
Multivariate volatility models using copulas
A Valdesogo
Ph. D. thesis, Center for Operations Research and Econometrics, Université …, 2009
92009
The Kendall and Spearman rank correlations of the bivariate skew normal distribution
A Heinen, A Valdesogo
Scandinavian Journal of Statistics 49 (4), 1669-1698, 2022
52022
Dynamic d-vine model
A Heinen, A Valdesogo
Dependence Modeling: Vine Copula Handbook, 329-353, 2010
52010
Modelling international financial returns with a multivariate regime switching copula
C Loran, H Andreas, V Alfonso
Discussion Papers (ECON-Département des Sciences Economiques), 2008
22008
Regime switching House price dependence: Evidence from MSAs in the US
A Heinen, ML Kim, A Valdesogo
ERES, 2015
2015
Desperately Seeking Small Worlds in Corporate Boards: International Evidence from Listed Firms
M Hamadi, A Heinen, N Jonard, A Valdesogo
DEM Discussion Paper Series, 2015
2015
Is it Worth Investing in Hedge funds? Optimal portfolios with Regime-Switching
A Heinen, A Valdesogo
Optimal Portfolios with Regime-Switching (June 11, 2012), 2012
2012
The Small World of Corporate Boards: International Evidence from Listed Firms
M Hamadi, A Heinen, N Jonard, A Valdesogo
2012
Hedge Fund Investment: Optimal Portfolios with Regime-Switching
A Heinen, A Valdesogo
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