Javier Mencia
Personal Details
First Name: | Javier |
Middle Name: | |
Last Name: | Mencia |
Suffix: | |
RePEc Short-ID: | pme741 |
| |
http://www.bde.es/investigador/en/menu/research_staff_a/Mencia__Francisco_Javier.html | |
Affiliation
Banco de España
Madrid, Spainhttp://www.bde.es/
RePEc:edi:bdegves (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Jorge E. Galán & Javier Mencía, 2018. "Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe," Working Papers 1825, Banco de España.
- Matías Lamas & Javier Mencía, 2018.
"What drives sovereign debt portfolios of banks in a crisis context?,"
Working Papers
1843, Banco de España.
- Lamas, Matías & Mencía, Javier, 2019. "What drives sovereign debt portfolios of banks in a crisis context?," ESRB Working Paper Series 88, European Systemic Risk Board.
- Julio Gálvez & Javier Mencía, 2018. "Conditional Return Asymmetries in the Sovereign-Bank Nexus," Working Papers wp2018_1813, CEMFI.
- Javier Mencía & Jesús Saurina, 2016. "Macroprudential policy: objectives, instruments and indicators," Occasional Papers 1601, Banco de España.
- Sentana, Enrique & MencÃa, Javier, 2015.
"Volatility-related exchange traded assets: an econometric investigation,"
CEPR Discussion Papers
10444, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2018. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-related exchange traded assets: an econometric investigation," Working Papers 1510, Banco de España.
- Julio Galvez & Javier Mencía, 2014. "Distributional Linkages between European Sovereign Bond and Bank Asset Returns," Working Papers wp2014_1407, CEMFI.
- Javier Mencía & Enrique Sentana, 2012.
"Valuation of vix derivatives,"
Working Papers
1232, Banco de España.
- Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
- Sentana, Enrique & MencÃa, Javier, 2010. "Valuation of VIX Derivatives," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
- Javier Mencía, 2010.
"Testing non-linear dependence in the hedge fund industry,"
Working Papers
1007, Banco de España.
- Javier Mencía, 2012. "Testing Nonlinear Dependence in the Hedge Fund Industry," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 545-587, June.
- Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010.
"A systematic approach to multi-period stress testing of portfolio credit risk,"
Working Papers
1018, Banco de España.
- Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin, 2012. "A systematic approach to multi-period stress testing of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 332-340.
- Javier Mencía & Enrique Sentana, 2009.
"Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation,"
Working Papers
0909, Banco de España.
- Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
- Javier Mencía & Enrique Sentana, 2008. "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers wp2008_0805, CEMFI.
- Javier Mencía, 2009.
"Assessing the risk-return trade-off in loans portfolios,"
Working Papers
0911, Banco de España.
- Mencía, Javier, 2012. "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Gabriel Jiménez & Javier Mencía, 2007.
"Modeling the distribution of credit losses with observable and latent factors,"
Working Papers
0709, Banco de España.
- Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
- Sentana, Enrique & MencÃa, Javier, 2005.
"Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations,"
CEPR Discussion Papers
5177, C.E.P.R. Discussion Papers.
- Mencia, Javier F. & Sentana, Enrique, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
- F. Javier Mencía & Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
- Sentana, Enrique & MencÃa, Javier & León, à ngel, 2005.
"Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation,"
CEPR Discussion Papers
5435, C.E.P.R. Discussion Papers.
- León, à ngel & MencÃa, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
- Mencia, Javier & Leon, Angel & Sentana, Enrique, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," LSE Research Online Documents on Economics 24496, London School of Economics and Political Science, LSE Library.
- Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers wp2005_0509, CEMFI.
- Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España.
Articles
- Javier Mencía & Enrique Sentana, 2018.
"Volatility-Related Exchange Traded Assets: An Econometric Investigation,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
- Sentana, Enrique & MencÃa, Javier, 2015. "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-related exchange traded assets: an econometric investigation," Working Papers 1510, Banco de España.
- Javier Mencía & María Rodríguez Moreno, 2018.
"Sovereign bond-backed Securities as European reference safe assets: a review of the proposal by the ESRB-HLTF,"
Revista de Estabilidad Financiera, Banco de España, issue Primavera.
- Javier Mencía & María Rodríguez Moreno, 2018. "Sovereign bond-backed Securities as European reference safe assets: a review of the proposal by the ESRB-HLTF," Financial Stability Review, Banco de España, issue Spring.
- Mencía, Javier & Sentana, Enrique, 2013.
"Valuation of VIX derivatives,"
Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
- Sentana, Enrique & MencÃa, Javier, 2010. "Valuation of VIX Derivatives," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
- Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.
- Mencía, Javier, 2012.
"Assessing the risk-return trade-off in loan portfolios,"
Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.
- Javier Mencía, 2009. "Assessing the risk-return trade-off in loans portfolios," Working Papers 0911, Banco de España.
- Javier Mencía, 2012.
"Testing Nonlinear Dependence in the Hedge Fund Industry,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 545-587, June.
- Javier Mencía, 2010. "Testing non-linear dependence in the hedge fund industry," Working Papers 1007, Banco de España.
- Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin, 2012.
"A systematic approach to multi-period stress testing of portfolio credit risk,"
Journal of Banking & Finance, Elsevier, vol. 36(2), pages 332-340.
- Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers 1018, Banco de España.
- Javier Mencía & Enrique Sentana, 2012.
"Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations,"
The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Jiménez, Gabriel & Mencía, Javier, 2009.
"Modelling the distribution of credit losses with observable and latent factors,"
Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
- Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Working Papers 0709, Banco de España.
- Mencía, Javier & Sentana, Enrique, 2009.
"Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation,"
Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
- Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.
- Javier Mencía & Enrique Sentana, 2008. "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers wp2008_0805, CEMFI.
More information
Research fields, statistics, top rankings, if available.Statistics
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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 18 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.- NEP-BAN: Banking (8) 2007-04-28 2009-06-10 2010-07-03 2015-10-25 2018-08-13 2019-01-07 2019-03-18 2020-04-13. Author is listed
- NEP-ECM: Econometrics (8) 2004-10-18 2005-09-29 2006-01-29 2007-04-09 2007-04-28 2010-01-16 2010-04-04 2015-03-05. Author is listed
- NEP-FIN: Finance (4) 2004-10-18 2005-09-29 2006-01-29 2006-09-11
- NEP-FMK: Financial Markets (4) 2006-01-29 2006-09-11 2010-04-04 2010-07-03
- NEP-RMG: Risk Management (4) 2007-04-28 2009-06-10 2010-07-03 2015-03-13
- NEP-EEC: European Economics (3) 2018-08-13 2019-01-07 2019-03-18
- NEP-ETS: Econometric Time Series (3) 2005-09-29 2010-01-16 2010-04-04
- NEP-MAC: Macroeconomics (3) 2007-04-28 2016-01-29 2018-08-13
- NEP-CBA: Central Banking (2) 2016-01-29 2019-01-07
- NEP-CFN: Corporate Finance (1) 2010-07-03
- NEP-CMP: Computational Economics (1) 2010-07-03
- NEP-MFD: Microfinance (1) 2015-03-05
- NEP-URE: Urban and Real Estate Economics (1) 2009-06-10
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