Listar Artículos de revista INARBE - INARBE aldizkari artikuluak por autor "Nieto, Belén"
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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 / ArtikuluaThis 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 ... -
Spillover dynamics effects between risk-neutral equity and treasury volatilities
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 ...