Publicaciones en colaboración con investigadores/as de Universitat de les Illes Balears (13)

2024

  1. International evidence of the forecasting ability of option-implied distributions

    Journal of Forecasting, Vol. 43, Núm. 5, pp. 1447-1464

  2. The global spillovers of unconventional monetary policies on tail risks

    Finance Research Letters, Vol. 59

  3. The international linkages of market risk perception

    Journal of Multinational Financial Management, Vol. 72

2023

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

    Finance Research Letters, Vol. 58

2018

  1. Evaluating VPIN as a trigger for single-stock circuit breakers

    Journal of Banking and Finance, Vol. 86, pp. 21-36

2015

  1. The friction-free weighted price contribution

    International Review of Economics and Finance, Vol. 37, pp. 226-239

2013

  1. Holding Back Volatility Circuit Breakers, Price Limits, and Trading Halts

    MARKET MICROSTRUCTURE IN EMERGING AND DEVELOPED MARKETS: PRICE DISCOVERY, INFORMATION FLOWS, AND TRANSACTION COSTS (BLACKWELL SCIENCE PUBL), pp. 303-324

2012

  1. Does stock return predictability affect ESO fair value?

    European Journal of Operational Research, Vol. 223, Núm. 1, pp. 188-202

2011

  1. Pricing executive stock options under employment shocks

    Journal of Economic Dynamics and Control, Vol. 35, Núm. 1, pp. 97-114

2010

  1. A simulation-based algorithm for American executive stock option valuation

    Finance Research Letters, Vol. 7, Núm. 1, pp. 14-23

  2. Switching to a temporary call auction in times of high uncertainty

    Journal of Financial Research, Vol. 33, Núm. 1, pp. 45-75

2009

  1. American GARCH employee stock option valuation

    Journal of Banking and Finance, Vol. 33, Núm. 6, pp. 1129-1143

2007

  1. On the magnet effect of price limits

    European Financial Management, Vol. 13, Núm. 5, pp. 833-852