Now showing items 1-20 of 26

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

      Ballester Miquel, Laura; Casu, Barbara; González Urteaga, Ana Upna Orcid (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 Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (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 Orcid; Rubio Irigoyen, 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 ...
    • Do sovereign ratings cause instability in cross-border emerging CDS markets? 

      Ballester Miquel, Laura; González Urteaga, Ana Upna Orcid (Elsevier, 2021)   Artículo / Artikulua
      We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition ...
    • An empirical investigation of the effect of credit ratings on sovereign credit risk 

      Ballester Miquel, Laura; González Urteaga, Ana Upna Orcid (Universidad de Castilla La Mancha, 2015)   Documento de trabajo / Lan gaiak  OpenAccess
      We investigate the cross-border spillover effects of credit rating events for sovereign CDS Latin American emerging economies during 2004-2014. The article extends the previous literature measuring the effect in terms of ...
    • Estimating the elasticity of intertemporal substitution with leverage 

      González Urteaga, Ana Upna Orcid; Rubio Irigoyen, 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 ...
    • Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors 

      González Urteaga, Ana Upna Orcid; Nieto, Belén; Rubio Irigoyen, Gonzalo (Routledge, 2020)   Artículo / Artikulua
      This paper analyzes the factor structure and cross-sectional variability of a set of expected excess returns extracted from option prices and a non-parametric and out-of-sample stochastic discount factor. We argue that the ...
    • A forecasting analysis of risk‐neutral equity and Treasury volatilities 

      González Urteaga, Ana Upna Orcid; Nieto, Belén; Rubio Irigoyen, Gonzalo (Wiley, 2019)   Artículo / Artikulua  OpenAccess
      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 Orcid (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 Orcid (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 ...
    • Guarantee requirements by European central counterparties and international volatility spillovers 

      González Urteaga, Ana Upna Orcid; Rubio Irigoyen, Gonzalo (JAI Press, 2022)   Artículo / Artikulua
      This analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and ...
    • How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets 

      Ballester Miquel, Laura; González Urteaga, Ana Upna Orcid (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 ...
    • Is there a connection between sovereign CDS spreads and the stock market? Evidence for European and US returns and volatilities 

      Ballester Miquel, Laura; González Urteaga, Ana Upna Orcid (MDPI, 2020)   Artículo / Artikulua  OpenAccess
      This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over ...
    • The joint cross-sectional variation of equity returns and volatilities 

      González Urteaga, Ana Upna Orcid; Rubio Irigoyen, 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 ...
    • Lagged accuracy in credit-risk measures 

      Abinzano Guillén, María Isabel Upna Orcid; González Urteaga, Ana Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Sánchez Alegría, Santiago Upna Orcid (Elsevier, 2022)   Artículo / Artikulua
      This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure ...
    • Momentum and default risk. Some results using the jump component 

      González Urteaga, Ana Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (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 ...
    • The nexus between sovereign CDS and stock market volatility: new evidence 

      Ballester Miquel, Laura; Escrivá, Ana Mónica; González Urteaga, Ana Upna Orcid (MDPI, 2021)   Artículo / Artikulua  OpenAccess
      This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed ...
    • Performance of default-risk measures: the sample matters 

      Abinzano Guillén, María Isabel Upna Orcid; González Urteaga, Ana Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Sánchez Alegría, Santiago Upna Orcid (Elsevier, 2020)   Artículo / Artikulua  OpenAccess
      This paper examines the predictive power of the main default-risk measures used by both academics and practitioners, including accounting measures, market-price-based measures and the credit rating. Given that some measures ...
    • The quality premium with leverage and liquidity constraints 

      González Urteaga, Ana Upna Orcid; Rubio Irigoyen, Gonzalo (Elsevier, 2021)   Artículo / Artikulua
      This research analyzes the causes of the quality premium, one of the most intriguing and successful investment strategies in equity markets. While previous research has argued that psychological biases explain the performance ...
    • The role of internal corporate governance mechanisms on default risk: a systematic review for different institutional settings 

      Ballester Miquel, Laura; González Urteaga, Ana Upna Orcid; Martínez García, Beatriz Upna Orcid (Elsevier, 2020)   Artículo / Artikulua
      Recent financial downturns, characterized by the significant failures of firms, have revealed the need to control credit risk. Latest literature has shown that weak corporate governance structures are related to high levels ...