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Ricardo Crisóstomo
(Ricardo Crisostomo)

Personal Details

First Name:Ricardo
Middle Name:
Last Name:Crisostomo
Suffix:
RePEc Short-ID:pcr206
[This author has chosen not to make the email address public]

Affiliation

(50%) Comisión Nacional del Mercado de Valores (CNMV)
Government of Spain

Madrid, Spain
http://www.cnmv.es/
RePEc:edi:cnmgves (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Ricardo Crisostomo, 2022. "Measuring Transition Risk in Investment Funds," Papers 2210.15329, arXiv.org, revised Dec 2022.
  2. Ricardo Crisóstomo, 2021. "Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
  3. Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
  4. Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
  5. Ricardo Cris'ostomo, 2017. "Speed and biases of Fourier-based pricing choices: A numerical analysis," Papers 1706.05935, arXiv.org, revised May 2018.
  6. Ricardo Crisóstomo, 2017. "Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  7. Peralta, Gustavo & Crisóstomo, Ricardo, 2016. "Financial contagion with spillover effects: a multiplex network approach," ESRB Working Paper Series 32, European Systemic Risk Board.
  8. Ricardo Crisostomo, 2015. "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers 1502.02963, arXiv.org, revised Mar 2015.

Articles

  1. Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
  2. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.

    Cited by:

    1. Liu, Qing & Wang, Shouyang & Sui, Cong, 2023. "Risk appetite and option prices: Evidence from the Chinese SSE50 options market," International Review of Financial Analysis, Elsevier, vol. 86(C).

  2. Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.

    Cited by:

    1. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    2. Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    3. Zdeněk Zmeškal & Dana Dluhošová & Karolina Lisztwanová & Antonín Pončík & Iveta Ratmanová, 2023. "Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy," Forecasting, MDPI, vol. 5(2), pages 1-19, May.
    4. Ricardo Crisostomo, 2022. "Measuring Transition Risk in Investment Funds," Papers 2210.15329, arXiv.org, revised Dec 2022.
    5. Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.

  3. Ricardo Cris'ostomo, 2017. "Speed and biases of Fourier-based pricing choices: A numerical analysis," Papers 1706.05935, arXiv.org, revised May 2018.

    Cited by:

    1. Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.

  4. Peralta, Gustavo & Crisóstomo, Ricardo, 2016. "Financial contagion with spillover effects: a multiplex network approach," ESRB Working Paper Series 32, European Systemic Risk Board.

    Cited by:

    1. Li, Shouwei & Liu, Yifu & Wu, Chaoqun, 2020. "Systemic risk in bank-firm multiplex networks," Finance Research Letters, Elsevier, vol. 33(C).
    2. Ricardo Crisostomo, 2022. "Measuring Transition Risk in Investment Funds," Papers 2210.15329, arXiv.org, revised Dec 2022.

  5. Ricardo Crisostomo, 2015. "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers 1502.02963, arXiv.org, revised Mar 2015.

    Cited by:

    1. Ricardo Crisóstomo, 2017. "Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    2. Julien Hok & Tat Lung Chan, 2016. "Option pricing with Legendre polynomials," Papers 1610.03086, arXiv.org, revised Mar 2017.
    3. Michael Kurz, 2018. "Closed-form approximations in derivatives pricing: The Kristensen-Mele approach," Papers 1804.08904, arXiv.org.
    4. Raj G. Patel & Chia-Wei Hsing & Serkan Sahin & Samuel Palmer & Saeed S. Jahromi & Shivam Sharma & Tomas Dominguez & Kris Tziritas & Christophe Michel & Vincent Porte & Mustafa Abid & Stephane Aubert &, 2022. "Quantum-Inspired Tensor Neural Networks for Option Pricing," Papers 2212.14076, arXiv.org, revised Mar 2024.
    5. Dondukova Oyuna & Liu Yaobin, 2021. "Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models," SAGE Open, , vol. 11(3), pages 21582440211, July.

Articles

  1. Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
    See citations under working paper version above.
  2. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 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-FOR: Forecasting (3) 2018-03-05 2021-02-01 2021-03-08. Author is listed
  2. NEP-ENE: Energy Economics (2) 2022-12-05 2023-06-26. Author is listed
  3. NEP-ENV: Environmental Economics (2) 2022-12-05 2023-06-26. Author is listed
  4. NEP-RMG: Risk Management (2) 2022-12-05 2023-06-26. Author is listed
  5. NEP-CMP: Computational Economics (1) 2017-06-25
  6. NEP-ETS: Econometric Time Series (1) 2015-02-22
  7. NEP-IFN: International Finance (1) 2017-04-02
  8. NEP-UPT: Utility Models and Prospect Theory (1) 2021-02-01

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