Listar Dpto. Gestión de Empresas - Enpresen Kudeaketa Saila por autor "Rubio Irigoyen, Gonzalo"

Mostrando ítems 1-8 de 8

    • 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 ...

    • 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  OpenAccess
      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 ...

    • 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 ...

    • 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 ...

    • The quality premium with leverage and liquidity constraints 

      González Urteaga, Ana Upna Orcid; Rubio Irigoyen, Gonzalo (Elsevier, 2021)   Artículo / Artikulua  OpenAccess
      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 ...

    • Volatility risk premia betas 

      González Urteaga, Ana Upna Orcid; Rubio Irigoyen, Gonzalo (Universidad de Zaragoza, 2016)   Artículo / Artikulua  OpenAccess
      This paper analyzes the cross-sectional and time-series behavior of thevolatility risk premia betas at the portfolio level. These betas show a monotonic relation with respect to the magnitude of the volatility risk premium ...
      El Repositorio ha recibido la ayuda de la Fundación Española para la Ciencia y la Tecnología para la realización de actividades en el ámbito del fomento de la investigación científica de excelencia, en la Línea 2. Repositorios institucionales (convocatoria 2020-2021).
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