Listar por autor "Nieto, Belén"
Mostrando ítems 1-3 de 3
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Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González Urteaga, Ana ; Nieto, Belén; Rubio Irigoyen, Gonzalo (Routledge, 2020) Artículo / ArtikuluaThis 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 ; Nieto, Belén; Rubio Irigoyen, Gonzalo (Wiley, 2019) Artículo / ArtikuluaThis 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 ... -
Spillover dynamics effects between risk-neutral equity and treasury volatilities
Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of ...