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Manuel Moreno

Personal Details

First Name:Manuel
Middle Name:
Last Name:Moreno
Suffix:
RePEc Short-ID:pmo127
[This author has chosen not to make the email address public]
Terminal Degree: Departamento de Economía; Universidad Carlos III de Madrid (from RePEc Genealogy)

Affiliation

(50%) Departamento de Analisis Económico y Finanzas
Facultad de Derecho y Ciencias Sociales
Universidad de Castilla La Mancha

Toledo, Spain
http://www.uclm.es/dep/daef/
RePEc:edi:ftclmes (more details at EDIRC)

(50%) Departament d'Economia i Empresa
Universitat Pompeu Fabra
Barcelona School of Economics (BSE)

Barcelona, Spain
http://www.econ.upf.edu/
RePEc:edi:deupfes (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "Long-term swings and seasonality in energy markets," Documentos de Trabajo del ICAE 2019-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE 2019-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
  4. Moreno, M. & Serrano, P. & Stute, Winfried, 2008. "Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects," DEE - Working Papers. Business Economics. WB wb084912, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  5. Cuadro-Sáez, Lucía & Moreno, Manuel, 2007. "GARCH modeling of robust market returns," Kiel Advanced Studies Working Papers 440, Kiel Institute for the World Economy (IfW Kiel).
  6. Cuadro-Sáez, Lucía & Moreno, Manuel, 2007. "GARCH modeling of robust market returns," Kiel Advanced Studies Working Papers 440, Kiel Institute for the World Economy (IfW Kiel).
  7. Moreno, M. & Serrano, P., 2007. "Pricing tranched credit products with generalized multifactor models," DEE - Working Papers. Business Economics. WB wb073909, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  8. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona School of Economics.
  9. Manuel Moreno & Javier R. Navas, 2001. "On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra.
  10. Manuel Moreno, 1997. "On the relevance of modeling volatility for pricing purposes," Economics Working Papers 431, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 1999.
  11. Manuel Moreno, 1997. "Risk management under a two-factor model of the term structure of interest rates," Economics Working Papers 254, Department of Economics and Business, Universitat Pompeu Fabra.
  12. Manuel Moreno, 1996. "A two-mean reverting-factor model of the term structure of interest rates," Economics Working Papers 193, Department of Economics and Business, Universitat Pompeu Fabra.
  13. Moreno, Manuel, 1995. "On the term structure of Interbank interest rates: jump-diffusion processes and option pricing," DES - Working Papers. Statistics and Econometrics. WS 7074, Universidad Carlos III de Madrid. Departamento de Estadística.

Articles

  1. Belén León-Pérez & Manuel Moreno, 2024. "Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models," Annals of Operations Research, Springer, vol. 337(1), pages 167-196, June.
  2. Platania, Federico & Toscano Hernandez, Celina & Moreno, Manuel & Appio, Francesco, 2023. "The impact of public attention during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 58(PA).
  3. Alberto Bueno-Guerrero & Manuel Moreno & Javier F. Navas, 2022. "Bond market completeness under stochastic strings with distribution-valued strategies," Quantitative Finance, Taylor & Francis Journals, vol. 22(2), pages 197-211, February.
  4. García-Céspedes, Rubén & Moreno, Manuel, 2022. "The generalized Vasicek credit risk model: A Machine Learning approach," Finance Research Letters, Elsevier, vol. 47(PA).
  5. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2020. "Valuation of caps and swaptions under a stochastic string model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  6. Rubén García-Céspedes & Manuel Moreno, 2020. "Random LGD adjustments in the Vasicek credit risk model," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1856-1875, December.
  7. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2019. "Long-term swings and seasonality in energy markets," European Journal of Operational Research, Elsevier, vol. 279(3), pages 1011-1023.
  8. Y. Jin & O. Tsyplyatyev & M. Moreno & A. Anthore & W. K. Tan & J. P. Griffiths & I. Farrer & D. A. Ritchie & L. I. Glazman & A. J. Schofield & C. J. B. Ford, 2019. "Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit," Nature Communications, Nature, vol. 10(1), pages 1-8, December.
  9. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
  10. García-Céspedes, Rubén & Moreno, Manuel, 2017. "An approximate multi-period Vasicek credit risk model," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 105-113.
  11. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
  12. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
  13. M Moreno & C. J. B. Ford & Y. Jin & J. P. Griffiths & I. Farrer & G. A. C. Jones & D. A. Ritchie & O. Tsyplyatyev & A. J. Schofield, 2016. "Nonlinear spectra of spinons and holons in short GaAs quantum wires," Nature Communications, Nature, vol. 7(1), pages 1-8, November.
  14. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2015. "Stochastic string models with continuous semimartingales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 229-246.
  15. Carlos Gonz�lez-Pedraz & Manuel Moreno & Juan Ignacio Pe�a, 2015. "Portfolio selection with commodities under conditional copulas and skew preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 151-170, January.
  16. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
  17. García-Céspedes, Rubén & Moreno, Manuel, 2014. "Estimating the distribution of total default losses on the Spanish financial system," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 242-261.
  18. González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio, 2014. "Tail risk in energy portfolios," Energy Economics, Elsevier, vol. 46(C), pages 422-434.
  19. Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.
  20. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
  21. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
  22. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
  23. Manuel Moreno, 2003. "A two‐mean reverting‐factor model of the term structure of interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1075-1105, November.

Chapters

  1. Marco M. García-Alonso & Manuel Moreno & Javier F. Navas, 2012. "On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?," Contemporary Studies in Economic and Financial Analysis, in: Derivative Securities Pricing and Modelling, pages 227-257, Emerald Group Publishing Limited.

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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. Universidad Carlos III de Madrid Economics PhD Alumni

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 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-ETS: Econometric Time Series (2) 1998-09-14 2007-09-02
  2. NEP-FIN: Finance (2) 2001-05-16 2004-05-26
  3. NEP-IFN: International Finance (2) 1998-09-14 1998-09-14
  4. NEP-CMP: Computational Economics (1) 2001-05-16
  5. NEP-ENE: Energy Economics (1) 2019-10-21
  6. NEP-FMK: Financial Markets (1) 2007-09-02
  7. NEP-FOR: Forecasting (1) 2019-10-21
  8. NEP-MAC: Macroeconomics (1) 2019-10-21
  9. NEP-SEA: South East Asia (1) 2004-05-16

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