Listar Artículos de revista DGE - EKS Aldizkari artikuluak por autor UPNA "González Urteaga, Ana"
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Bank fragility and contagion: evidence from the bank CDS market
Ballester Miquel, Laura; Casu, Barbara; González Urteaga, Ana
(Elsevier, 2016)
Artículo / Artikulua 
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 ; Muga Caperos, Luis Fernando ; Santamaría Aquilué, Rafael (AECATaylor & Francis, 2014)
Artículo / Artikulua
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 ; Rubio Irigoyen, Gonzalo (Elsevier, 2016)
Artículo / Artikulua
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 ; Rubio Irigoyen, Gonzalo (Elsevier, 2017)
Artículo / Artikulua
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 ; 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 ; Nieto, Belén; Rubio Irigoyen, Gonzalo (Wiley, 2019)
Artículo / Artikulua
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 (Elsevier España, S.L., 2012)
Artículo / Artikulua
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 (Elsevier, 2018)
Artículo / Artikulua
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 ; 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 (Elsevier, 2016)
Artículo / Artikulua
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 (MDPI, 2020)
Artículo / Artikulua
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 ; Rubio Irigoyen, Gonzalo (Elsevier, 2017)
Artículo / Artikulua
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 ... -
Momentum and default risk. Some results using the jump component
González Urteaga, Ana ; Muga Caperos, Luis Fernando ; Santamaría Aquilué, Rafael (Elsevier, 2015)
Artículo / Artikulua
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 (MDPI, 2021)
Artículo / Artikulua
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 ; González Urteaga, Ana ; Muga Caperos, Luis Fernando ; Sánchez Alegría, Santiago (Elsevier, 2020)
Artículo / Artikulua
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 ; 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 ... -
Spillover dynamics effects between risk-neutral equity and treasury volatilities
González Urteaga, Ana ; Nieto, Belén; Rubio, Gonzalo (Springer, 2022)
Artículo / Artikulua
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 ... -
A systematic review of sovereign connectedness on emerging economies
Ballester Miquel, Laura; Díaz Mendoza, Ana Carmen; González Urteaga, Ana (Elsevier, 2019)
Artículo / Artikulua
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 ; Tudela Ferrándiz, David (Taylor & Francis, 2014)
Artículo / Artikulua
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 risk premia betas
González Urteaga, Ana ; Rubio Irigoyen, Gonzalo (Universidad de Zaragoza, 2016)
Artículo / Artikulua
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 ...
