Publications by the researcher in collaboration with Gonzalo Rubio Irigoyen (34)

2023

  1. Market-wide illiquidity and the distribution of non-parametric stochastic discount factors

    International Review of Financial Analysis, Vol. 87

  2. The international integration of the term structure of expected market risk premia

    Finance Research Letters, Vol. 58

2022

  1. On the Behavior of the Spanish Capital Market

    Documentos de trabajo ( CNMV )

  2. Spillover dynamics effects between risk-neutral equity and Treasury volatilities

    SERIEs : Journal of the Spanish Economic Association, Vol. 13, Núm. 4, pp. 663-708

  3. The Effects of the COVID-19 Crisis on Risk Factors and Option-Implied Expected Market Risk Premia: An International Perspective

    Journal of Risk and Financial Management, Vol. 15, Núm. 1

  4. The risk aversion and uncertainty channels between finance and macroeconomics

    Finance Research Letters, Vol. 45

2021

  1. Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors

    Quantitative Finance, Vol. 21, Núm. 5, pp. 713-727

2019

  1. A forecasting analysis of risk-neutral equity and Treasury volatilities

    Journal of Forecasting, Vol. 38, Núm. 7, pp. 681-698

2015

  1. Macroeconomic and financial determinants of the volatility of corporate bond returns

    Quarterly Journal of Finance, Vol. 5, Núm. 4

2014

  1. Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns.

    Documentos de Trabajo (ICAE)

  2. Stock returns with consumption and illiquidity risks

    International Review of Economics and Finance, Vol. 29, pp. 57-74

  3. Variance swaps, non-normality and macroeconomic and financial risks

    Quarterly Review of Economics and Finance, Vol. 54, Núm. 2, pp. 257-270

  4. Volatility Bounds, Size, and Real Activity Prediction

    Review of Finance, Vol. 18, Núm. 1, pp. 373-415

2011

  1. The volatility of consumption-based stochastic discount factors and economic cycles

    Journal of Banking and Finance, Vol. 35, Núm. 9, pp. 2197-2216

  2. Variance Swaps and Intertemporal Asset Pricing

    Documentos de Trabajo (ICAE)

  3. Variance swaps and intertemporal asset pricing

    The Spanish Review of Financial Economics, Vol. 9, Núm. 1, pp. 20-30

  4. Why do variance swaps exist?

    Documentos de Trabajo (ICAE)

2010

  1. Consumption, liquidity and the cross-sectional variation of expected returns

    Working papers = Documentos de trabajo: Serie AD

2007

  1. The relationship between risk and expected return in Europe

    Journal of Banking and Finance, Vol. 31, Núm. 2, pp. 495-512

2005

  1. An empirical comparison of the performance of alternative option pricing models

    Investigaciones económicas, Vol. 29, Núm. 3, pp. 483-523