Argitalpenak (43) BELEN ADORACION NIETO DOMENECH argitalpenak

2023

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

    International Review of Financial Analysis, Vol. 87

2022

  1. Illiquidity Linkages Between Individual Stocks and Corporate Bonds

    SSRN Electronic Journal, pp. 23

  2. On the Behavior of the Spanish Capital Market

    Documentos de trabajo ( CNMV )

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

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

  4. 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

  5. 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

  2. Screening rules and portfolio performance

    North American Journal of Economics and Finance, Vol. 48, pp. 642-662

2018

  1. 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

  1. 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

  2. Corporate stock and bond return correlations and dynamic adjustments of capital structure

    Journal of Business Finance & Accounting, Vol. 42, Núm. 5, pp. 705-746

  3. 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. Time-Varying Market Beta: does the estimation methodology matter?

    Sort: Statistics and Operations Research Transactions, Vol. 38, Núm. 1, pp. 13-42

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

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

  5. Volatility Bounds, Size, and Real Activity Prediction

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

2011

  1. Analysing bank-issued option pricing

    European Journal of Finance, Vol. 17, Núm. 1, pp. 49-65

  2. Further international evidence on durable consumption growth and long-run consumption risk

    Quantitative Finance, Vol. 11, Núm. 2, pp. 195-217