• 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) ...
    • 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 ...
    • 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 ...
    • 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 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 ...
    • A systematic review of sovereign connectedness on emerging economies 

      Ballester Miquel, Laura; Díaz Mendoza, Ana Carmen; González Urteaga, Ana Upna Orcid (Elsevier, 2019)   Artículo / Artikulua  OpenAccess
      This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic ...
    • Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana 

      Ballester Miquel, Laura; González Urteaga, Ana Upna Orcid; 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 Orcid (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 ...
    • Volatility transmission among European Bank CDS 

      Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana Upna Orcid (Universidad de Castilla-La Mancha, 2014)   Documento de trabajo / Lan gaiak  OpenAccess
      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 ...

      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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