Publicaciones en colaboración con investigadores/as de Universidad CEU Cardenal Herrera (13)

2023

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

    International Review of Financial Analysis, Vol. 87

2022

  1. 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

  2. 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

2020

  1. RED IDOi (2019/20): Investigación+Docencia+Innovación: Proyecto Reciclaje (IV): ABA y ApS para el aprendizaje de herramientas de comunicación en Redes Sociales, Marketing social y Street Marketing

    Memòries del Programa de Xarxes-I3CE de qualitat, innovació i investigació en docència universitària: Convocatòria 2019-20 (Instituto de Ciencias de la Educación), pp. 865-868

2019

  1. A forecasting analysis of risk-neutral equity and Treasury volatilities

    Journal of Forecasting, Vol. 38, Núm. 7, pp. 681-698

2014

  1. Stock returns with consumption and illiquidity risks

    International Review of Economics and Finance, Vol. 29, pp. 57-74

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

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

  3. Volatility Bounds, Size, and Real Activity Prediction

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

2011

  1. The volatility of consumption-based stochastic discount factors and economic cycles

    Journal of Banking and Finance, Vol. 35, Núm. 9, pp. 2197-2216

2010

  1. Consumption, liquidity and the cross-sectional variation of expected returns

    Working papers = Documentos de trabajo: Serie AD

2007

  1. Modeling the Euro overnight rate

    Journal of Empirical Finance, Vol. 14, Núm. 5, pp. 756-782

2001

  1. A computational approach to the fundamental theorem of asset pricing in a single-period market

    Computational Economics, Vol. 18, Núm. 3, pp. 233-249