Now showing items 1-12 of 12

    • Bank fragility and contagion: evidence from the bank CDS market 

      Ballester Miquel, Laura; Casu, Barbara; González Urteaga, Ana Upna (Elsevier, 2016)   Artículo / Artikulua  OpenAccess
      Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) ...
    • Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español 

      González Urteaga, Ana Upna; Muga Caperos, Luis Fernando Upna; Santamaría Aquilué, Rafael Upna (AECATaylor & Francis, 2014)   Artículo / Artikulua  OpenAccess
      En el presente trabajo se analiza la relación entre el riesgo asimétrico, aproximado por las medidas de coasimetría y coasimetría idiosincrática, y el riesgo de insolvencia en el mercado de valores español. Se ha encontrado ...
    • The cross-sectional variation of volatility risk premia 

      González Urteaga, Ana Upna; Rubio, Gonzalo (Elsevier, 2016)   Artículo / Artikulua  OpenAccess
      This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium ...
    • Estimating the elasticity of intertemporal substitution with leverage 

      González Urteaga, Ana Upna; Rubio, Gonzalo (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on ...
    • A forecasting analysis of risk‐neutral equity and Treasury volatilities 

      González Urteaga, Ana Upna; Nieto, Belén; Rubio, Gonzalo (Wiley, 2019)   Artículo / Artikulua
      This paper employs equity (VIX) and Treasury (MOVE) risk‐neutral volatilities to assess their relative forecasting performance with respect to future real activity, stock and Treasury excess returns, and aggregate risk ...
    • Further empirical evidence on stochastic volatility models with jumps in returns 

      González Urteaga, Ana Upna (Elsevier España, S.L., 2012)   Artículo / Artikulua  OpenAccess
      Using the Efficient Method of Moments we estimate a continuous time diffusion for the stochastic volatility of some international stock market indices that allows for possible jumps in returns. These jumps are needed for ...
    • Future directions in international financial integration research. A crowdsourced perspective 

      Lucey, Brian M.; Vigne, Samuel A.; Ballester Miquel, Laura; Barbopoulos, Leonidas; Brzeszczynski, Janusz; Carchano, Óscar; Dimic, Nebojsa; Fernández, Viviana; Gogolin, Fabian; González Urteaga, Ana Upna (Elsevier, 2018)   Artículo / Artikulua  OpenAccess
      This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 ...
    • How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets 

      Ballester Miquel, Laura; González Urteaga, Ana Upna (Elsevier, 2016)   Artículo / Artikulua  OpenAccess
      This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel ...
    • The joint cross-sectional variation of equity returns and volatilities 

      González Urteaga, Ana Upna; Rubio, Gonzalo (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the ...
    • Momentum and default risk. Some results using the jump component 

      González Urteaga, Ana Upna; Muga Caperos, Luis Fernando Upna; Santamaría Aquilué, Rafael Upna (Elsevier, 2015)   Artículo / Artikulua  OpenAccess
      In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...
    • Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana 

      Ballester Miquel, Laura; González Urteaga, Ana Upna; Tudela Ferrándiz, David (Taylor & Francis, 2014)   Artículo / Artikulua  OpenAccess
      El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el periodo 2006-2012, intentando dar respuesta a ...
    • Volatility spillovers in the European bank CDS market 

      Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana Upna (Elsevier, 2015)   Artículo / Artikulua  OpenAccess
      From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads ...