Publikationen in Zusammenarbeit mit Forschern von Universidad CEU Cardenal Herrera (16)

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. 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

  2. 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

2014

  1. Stock returns with consumption and illiquidity risks

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

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

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

  3. Volatility Bounds, Size, and Real Activity Prediction

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

2011

  1. Rivalry within strategic groups and consequences for performance: The firm-size effects

    Strategic Management Journal, Vol. 32, Núm. 12, pp. 1286-1308

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

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

2010

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

    Working papers = Documentos de trabajo: Serie AD

  2. Development of a model of price competition in the Spanish loans market

    International Journal of Bank Marketing, Vol. 28, Núm. 6, pp. 479-496

2007

  1. Modeling the Euro overnight rate

    Journal of Empirical Finance, Vol. 14, Núm. 5, pp. 756-782

  2. The relationship between risk and expected return in Europe

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

2001

  1. A computational approach to the fundamental theorem of asset pricing in a single-period market

    Computational Economics, Vol. 18, Núm. 3, pp. 233-249