Now showing items 1-4 of 4

    • The cross-sectional variation of volatility risk premia 

      González Urteaga, Ana Upna; Rubio, 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; Rubio, 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 ...
    • A forecasting analysis of risk‐neutral equity and Treasury volatilities 

      González Urteaga, Ana Upna; Nieto, Belén; Rubio, 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 ...
    • The joint cross-sectional variation of equity returns and volatilities 

      González Urteaga, Ana Upna; Rubio, 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 ...