Listar Dpto. Gestión de Empresas - Enpresen Kudeaketa Saila por tema "Volatility spillovers"

Guarantee requirements by European central counterparties and international volatility spillovers

González Urteaga, Ana

; 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 ...

Sentiment-prone investors and volatility dynamics between spot and futures markets

Corredor Casado, María Pilar

; Ferrer Zubiate, Elena

; Santamaría Aquilué, Rafael

(Elsevier, 2015) Artículo / Artikulua

This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock ...

Volatility spillovers in the European bank CDS market

Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana

(Elsevier, 2015) Artículo / Artikulua

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 ...

Volatility transmission among European Bank CDS

Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana

(Universidad de Castilla-La Mancha, 2014) Documento de trabajo / Lan gaiak

A partir de la crisis subprime en 2007 y hasta la reciente crisis de deuda de la zona euro el sector bancario europeo ha experimentado una terrible situación de inestabilidad financiera traducida en un aumento de los niveles ...