Dr ARREOLA HERNÁNDEZ José

Assistant Professor

Department : Finance and Accounting

Nationalities :

Teaching

  • Empirical Methods in Finance I
  • Financing New Ventures
  • Behavioral Finance
  • Global Risk ManagementFinancial Derivatives
  • Investment Analysis and Portfolio Management
  • Sources of Finance
  • Valuation, Mergers and Acquisitions
  • Corporate Finance
  • Statistics for Business and Economics
  • International Financial Management
  • Financial Structure and Corporate Governance
  • Debt Instruments and Securitization

Qualifications

  • PhD in Finance (2012 -2015)
  • MSc in Financial Engineering (2010 -2012)
  • BSc in Analytical Finance (2008 -2011)

Work Experience

Academic

  • Assistant Professor, Finance and Accounting Academic Area, Rennes School of Business (September 2017 – Present)
  • Researcher, Research Group with Strategic Focus in Finance & Macroeconomics, EGADE Business School, Mexico (Sept 2016 – Feb 2017)
  • Full-time Lecturer of Finance, Tecnológico de Monterrey, Mexico (Aug 2015 – Feb 2017)

Other professional activities

  • Reviewer for Academic Journals: Energy Economics, Applied Economics, and Emerging Markets Review; International Review of Financial Analysis

Research interests

  • Analysis of spill over effects
  • Dependence and correlation risks using copulas and vine copulas
  • Value-at-Risk and liquidity risk
  • CoVaR and vine CoVaR models
  • Optimization of investment portfolios using linear and nonlinear models combined with multiple risk measures
  • Risk management and portfolio diversification
  • Econometrics and financial derivatives
  • Energy Economics

Honors and Awards

  • Distinction as National Researcher, Level C National Research System (SNI), Conacyt (January 2017 – Present)
  • Best publication of the year 2016, within the Research Group with Strategic Focus in Finance and Macroeconomics, EGADE Business School, Mexico (December 2016)
  • Edith Cowan University Postgraduate Research Scholarship, Perth, Australia (2012 – 2015)

Intellectual contributions

Refereed Articles Discipline-Based Scholarship

  • Syed Jawad Hussain Shahzad, Jose Areola Hernandez, Mobeen Ur Rehman, Muhammad Zakaria, A global network topology of stock markets: Transmitters and receivers of spillover effects, Physica A: Statistical Mechanics and its Applications (Forthcoming)
  • Stelios Bekiros, Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Mobeen Ur Rehman, Directional predictability and time-varying spillovers between stock markets and economic cycles, Economic Modelling (Forthcoming)
  • Syed Jawad Hussain Shahzad, Jose Arreola Hernandez, Stelios Bekiros, Mobeen Ur Rehman, Risk Transmitters and Receivers in global Currency markets, Finance Research Letters (Forthcoming)
  • Al Janabi Mazin M.A., Arreola-Hernandez Jose, Berger Theo, Khuong Nguyen Duc. (2016) Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. European Journal of Operational Research
  • Arreola-Hernandez Jose, Al Janabi Mazin A.M., Hammoudeh Shawkat, Khuong Nguyne Duc and Reboredo Juan Carlos (2016). Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach. Applied Economics
  • Bekiros Stelios, Arreola-Hernandez Jose, Hammoudeh Shawkat and Khuong Nguyen Duc (2015). Multivariate dependence risk and portfolio optimization: an application to mining stock portfolios. Resources Policy, 46, 1-11
  • Arreola-Hernandez Jose, Khuong Nguyen Duc, Al Janabi Mazin A. M., Hammoudeh Shawkat (2015). Time lag dependence, cross-correlation and risk analysis of U.S. energy and non-energy stock portfolios. Journal of Asset Management, 16, 7, 467-483
  • Arreola-Hernandez Jose (2014). Are oil and gas stocks from the Australian market riskier than the coal and uranium stocks? Dependence risk analysis and portfolio optimization. Energy Economics, 45, 528-536

Refereed Proceedings Discipline-Based Scholarship

  • Arreola, J., Powell, R., (2013). Optimal risk minimization of Australian energy and mining portfolios of stocks under multiple risk measures. Paper presented at the 20th International Congress on Modeling and Simulation, Adelaide, Australia, pp. 1–7
  • Arreola, J., Allen, D., Powell, R., (2013). Dependence estimation and controlled CVaR portfolio optimization of a highly kurtotic Australian mining sample of stocks. Paper presented at the 20th International Congress on Modeling and Simulation, Adelaide, Australia, pp. 1–7