IDEAS home Printed from https://ideas.repec.org/f/pma2887.html
   My authors  Follow this author

Daniel Mantilla Garcia

Personal Details

First Name:Daniel
Middle Name:
Last Name:Mantilla Garcia
Suffix:
RePEc Short-ID:pma2887

Affiliation

Facultad de Administración
Universidad de los Andes (Colombia)

Bogotá, Colombia
http://administracion.uniandes.edu.co/
RePEc:edi:faandco (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Maxime Bonelli & Daniel Mantilla-Garcia, 2014. "Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?," Proceedings of International Academic Conferences 0802327, International Institute of Social and Economic Sciences.
  2. René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.

Articles

  1. Mantilla-Garcia, Daniel & Malagon, Juliana & Aldana-Galindo, Julian R., 2022. "Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?," Finance Research Letters, Elsevier, vol. 47(PA).
  2. Daniel Mantilla-Garcia & Enrique A. Ter Horst & Emilien Audeguil & German Molina, 2021. "Asset Dependency Structures And Portfolio Insurance Strategies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(03), pages 1-28, May.
  3. Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
  4. Garcia, René & Mantilla-García, Daniel & Martellini, Lionel, 2014. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1133-1165, December.
  5. Mantilla-García, Daniel, 2014. "Dynamic allocation strategies for absolute and relative loss control," Algorithmic Finance, IOS Press, vol. 3(3-4), pages 209-231.

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. René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.

    Cited by:

    1. Yuming Li & Jing Yang, 2018. "House Price Dynamics and Excess Risk," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 251-274.
    2. Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
    3. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
    4. Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    5. Hadhri, Sinda & Ftiti, Zied, 2019. "Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 187-200.
    6. Stelios Bekiros & Syed Jawad Hussain Shahzad & Jose Arreola-Hernandez & Mobeen Ur Rehman, 2018. "Directional predictability and time-varying spillovers between stock markets and economic cycles," Post-Print hal-01996787, HAL.
    7. Futeri Jazeilya Md Fadzil & John G. O’Hara & Wing Lon Ng, 2017. "Cross-sectional volatility index as a proxy for the VIX in an Asian market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1364011-136, January.
    8. Matousek, Roman & Panopoulou, Ekaterini & Papachristopoulou, Andromachi, 2020. "Policy uncertainty and the capital shortfall of global financial firms," Journal of Corporate Finance, Elsevier, vol. 62(C).
    9. Pae, Yuntaek & Bae, Sung C. & Lee, Namhoon, 2018. "Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 127-135.
    10. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
    11. Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Working Papers 201846, University of Pretoria, Department of Economics.
    12. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    13. Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
    14. Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang, 2020. "Skewness and index futures return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1648-1664, November.
    15. Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019. "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 133(2), pages 397-417.
    16. Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.
    17. Fabio Pizzutilo, 2017. "Measuring the under-diversification of socially responsible investments," Applied Economics Letters, Taylor & Francis Journals, vol. 24(14), pages 1005-1018, August.
    18. Cheng, Mengyao, 2022. "Legislative gridlock and stock return dispersion around roll-call votes," Journal of Banking & Finance, Elsevier, vol. 138(C).
    19. Konstantinos Vergos & Benjamin Wanger, 2019. "Evaluating interdependencies in African markets A VECM approach," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 65-85.
    20. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.
    21. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 78-85.
    22. Ilan Cooper & Liang Ma & Paulo Maio, 2022. "What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 73-118, February.
    23. Aytaç, Beysül & Coqueret, Guillaume & Mandou, Cyrille, 2018. "Herding behavior among wine investors," Economic Modelling, Elsevier, vol. 68(C), pages 318-328.
    24. Parsley, David & Popper, Helen, 2020. "Return comovement," Journal of Banking & Finance, Elsevier, vol. 112(C).
    25. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
    26. Mantilla-Garcia, Daniel & Malagon, Juliana & Aldana-Galindo, Julian R., 2022. "Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?," Finance Research Letters, Elsevier, vol. 47(PA).
    27. Ma, Tian & Liao, Cunfei & Jiang, Fuwei, 2024. "Factor momentum in the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 75(C).

Articles

  1. Mantilla-Garcia, Daniel & Malagon, Juliana & Aldana-Galindo, Julian R., 2022. "Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?," Finance Research Letters, Elsevier, vol. 47(PA).

    Cited by:

    1. Steven Campbell & Qien Song & Ting-Kam Leonard Wong, 2024. "Macroscopic properties of equity markets: stylized facts and portfolio performance," Papers 2409.10859, arXiv.org.

  2. Garcia, René & Mantilla-García, Daniel & Martellini, Lionel, 2014. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1133-1165, December.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 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-ECM: Econometrics (1) 2013-01-26
  2. NEP-ETS: Econometric Time Series (1) 2013-01-26
  3. NEP-FOR: Forecasting (1) 2013-01-26
  4. NEP-IAS: Insurance Economics (1) 2015-03-27
  5. NEP-MST: Market Microstructure (1) 2013-01-26
  6. NEP-RMG: Risk Management (1) 2013-01-26
  7. NEP-UPT: Utility Models and Prospect Theory (1) 2015-03-27

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Daniel Mantilla Garcia should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.