Publicacions en què col·labora amb Lidia Sanchís Marco (8)

2018

  1. On multicollinearity and the value of the shape parameter in the term structure Nelson-Siegel model

    Aestimatio: The IEB International Journal of Finance, Núm. 16, pp. 8-29

2017

  1. Measuring tail-risk cross-country exposures in the banking Industry

    Revista de economía aplicada, Vol. 25, Núm. 74, pp. 27-74

2016

  1. Market frictions and the pricing of sovereign credit default swaps

    Journal of International Money and Finance, Vol. 60, pp. 223-252

2015

  1. Measuring Tail-Risk Cross-Country Exposures in the Banking Industry

    Working papers = Documentos de trabajo: Serie AD

2013

  1. On downside risk predictability through liquidity and trading activity: A dynamic quantile approach

    International Journal of Forecasting, Vol. 29, Núm. 1, pp. 202-219

2011

  1. On downside risk predictability through liquidity and trading activity: a quantile regression approach

    Working papers = Documentos de trabajo: Serie AD

2010

  1. Liquidity and trading activity to forecast downside risk: a quantile regression approach

    Anales de economía aplicada 2010

  2. The value of liquidity and trading activity in forecasting downside risk

    Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (Palgrave Macmillan), pp. 194-212