Publicaciones (30) Publicaciones de Javier Giner Rubio

2024

  1. Optimal trend-following rules in two-state regime-switching models

    Journal of Asset Management, Vol. 25, Núm. 4, pp. 327-348

2023

  1. A regime-switching model of stock returns with momentum and mean reversion

    Economic Modelling, Vol. 122

  2. Optimal trend-following with transaction costs

    International Review of Financial Analysis, Vol. 90

2022

  1. A semi-Markov model for stock returns with momentum and mean-reversion

    Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF 2022 (Springer International Publishing), pp. 291-302

  2. Time series momentum in the US stock market: Empirical evidence and theoretical analysis

    International Review of Financial Analysis, Vol. 82

2021

  1. Orthant-based variance decomposition in investment portfolios

    European Journal of Operational Research, Vol. 291, Núm. 2, pp. 497-511

  2. Role of R&D expenditure, CEO compensation and financial ratios for country's economic sustainability and innovative growth

    International Journal of Global Energy Issues, Vol. 43, Núm. 2-3, pp. 228-246

2020

  1. Trend following with momentum versus moving averages: a tale of differences

    Quantitative Finance, Vol. 20, Núm. 6, pp. 985-1007

2018

  1. Correlation as probability: applications of Sheppard’s formula to financial assets

    Quantitative Finance, Vol. 18, Núm. 5, pp. 777-787

2016

  1. Optimal Prediction Periods for New and Old Volatility Indexes in USA and German Markets

    Computational Economics, Vol. 47, Núm. 4, pp. 527-549

2014

  1. Forecasting DAX 30 using support vector machines and VDAX

    Computational Intelligence Techniques for Trading and Investment (Taylor and Francis), pp. 177-191

  2. Predictive capacity of VIX and VDAX in relation to the first maturity

    Proceedings of the 2014 International Conference on Artificial Intelligence, ICAI 2014 - WORLDCOMP 2014

  3. Stock market simulation using support vector machines

    Journal of Forecasting, Vol. 33, Núm. 6, pp. 488-500

  4. The effectiveness of the combined use of VIX and support vector machines on the prediction of sandp 500

    Neural Computing and Applications, Vol. 25, Núm. 2, pp. 321-332

2012

  1. Trading system based on support vector machines in the S&P500 index

    Proceedings of the 2012 International Conference on Artificial Intelligence, ICAI 2012

2004

  1. El índice VIX para la predicción de volatilidad: un estudio internacional

    Documentos de Trabajo Conjuntos: Facultades de Ciencias Económicas y Empresariales

  2. Un análisis univariante y multivariante de la diversificación de carteras bajo heterocedasticidad condicionada

    Estudios de economía aplicada, Vol. 22, Núm. 2, pp. 375-376

2003

  1. Aproximación lineal del término amortizativo y de la TIR en rentas constantes

    Revista europea de dirección y economía de la empresa, Vol. 12, Núm. 4, pp. 37-48

  2. Estimating GARCH models using support vector machines

    Quantitative Finance, Vol. 3, Núm. 3, pp. 163-172

  3. Los índices de volatilidad en los mercados de derivados: una propuesta para el Ibex-35

    Análisis financiero internacional, Núm. 113, pp. 21-34