BELEN ADORACION
NIETO DOMENECH
CATEDRATICO/A DE UNIVERSIDAD
Publications (43) BELEN ADORACION NIETO DOMENECH publications
2023
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Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
International Review of Financial Analysis, Vol. 87
2022
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Illiquidity Linkages Between Individual Stocks and Corporate Bonds
SSRN Electronic Journal, pp. 23
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On the Behavior of the Spanish Capital Market
Documentos de trabajo ( CNMV )
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Spillover dynamics effects between risk-neutral equity and Treasury volatilities
SERIEs : Journal of the Spanish Economic Association, Vol. 13, Núm. 4, pp. 663-708
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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
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The risk aversion and uncertainty channels between finance and macroeconomics
Finance Research Letters, Vol. 45
2021
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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
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A forecasting analysis of risk-neutral equity and Treasury volatilities
Journal of Forecasting, Vol. 38, Núm. 7, pp. 681-698
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Screening rules and portfolio performance
North American Journal of Economics and Finance, Vol. 48, pp. 642-662
2018
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Bid–ask spread estimator from high and low daily prices: Practical implementation for corporate bonds
Journal of Empirical Finance, Vol. 48, pp. 36-57
2015
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Corporate Stock and Bond Return Correlations and Dynamic Adjustments of Capital Structure
Journal of Business Finance and Accounting, Vol. 42, Núm. 5-6, pp. 705-746
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Corporate stock and bond return correlations and dynamic adjustments of capital structure
Journal of Business Finance & Accounting, Vol. 42, Núm. 5, pp. 705-746
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Macroeconomic and financial determinants of the volatility of corporate bond returns
Quarterly Journal of Finance, Vol. 5, Núm. 4
2014
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Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns.
Documentos de Trabajo (ICAE)
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Stock returns with consumption and illiquidity risks
International Review of Economics and Finance, Vol. 29, pp. 57-74
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Time-Varying Market Beta: does the estimation methodology matter?
Sort: Statistics and Operations Research Transactions, Vol. 38, Núm. 1, pp. 13-42
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Variance swaps, non-normality and macroeconomic and financial risks
Quarterly Review of Economics and Finance, Vol. 54, Núm. 2, pp. 257-270
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Volatility Bounds, Size, and Real Activity Prediction
Review of Finance, Vol. 18, Núm. 1, pp. 373-415
2011
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Analysing bank-issued option pricing
European Journal of Finance, Vol. 17, Núm. 1, pp. 49-65
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Further international evidence on durable consumption growth and long-run consumption risk
Quantitative Finance, Vol. 11, Núm. 2, pp. 195-217