Institution: Banco de España
Primary Field: Finance (weighted toward more recent publications)
Homepage: http://www.bde.es/investigador/en/menu/research_staff_a/Mencia__Francisco_Javier.html
Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).
| Period | S (4x) | A (2x) | B (1x) | C (½x) | Total | Percentile |
|---|---|---|---|---|---|---|
| Last 5 Years | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | - |
| Last 10 Years | 0.00 | 2.02 | 0.00 | 0.00 | 2.02 | 47% |
| All Time | 0.00 | 8.07 | 2.52 | 0.00 | 10.60 | 89% |
| Year | Article | Journal | Tier | Authors |
|---|---|---|---|---|
| 2018 | Volatility-Related Exchange Traded Assets: An Econometric Investigation | Journal of Business & Economic Statistics | A | 2 |
| 2013 | Valuation of VIX derivatives | Journal of Financial Economics | A | 2 |
| 2012 | Assessing the risk-return trade-off in loan portfolios | Journal of Banking & Finance | B | 1 |
| 2012 | Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations | Review of Economics and Statistics | A | 2 |
| 2012 | A systematic approach to multi-period stress testing of portfolio credit risk | Journal of Banking & Finance | B | 4 |
| 2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation | Journal of Econometrics | A | 2 |