Publications by the researcher in collaboration with Roberto Pascual Gascó (5)

2023

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

    International Review of Financial Analysis, Vol. 87

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

2010

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

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

2007

  1. On the magnet effect of price limits

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