sample of publications

• articles 

  • The hedging effectiveness of electricity futures in the Spanish market.  Finance Research Letters.  53:1-7. 2023
  • Cannibalization, depredation, and market remuneration of power plants.  Energy Policy.  167:1-14. 2022
  • Market Makers and Liquidity Premium in Electricity Futures Markets.  ENERGY JOURNAL.  43. 2022
  • The impact of forced divestments on parent company stock prices: Buy on the rumor, sell on the news?.  Research in International Business and Finance.  53:1-18. 2020
  • Tail risk of electricity futures.  Energy Economics.  91:1-16. 2020
  • Are EU's Climate and Energy Package 20-20-20 targets achievable and compatible? Evidence from the impact of renewables on electricity prices.  Energy.  183:477-486. 2019
  • Default supply auctions in electricity markets: Challenges and proposals.  Energy Policy.  122:142-151. 2018
  • Does the source of debt financing affect default risk?.  Annual Review of Financial Economics.  36:232-251. 2018
  • Modelling Electricity Swaps with Stochastic Forward Premium Models.  ENERGY JOURNAL.  39:1-33. 2018
  • Effect of rollover risk on default risk: Evidence from bank financing.  International Review of Financial Analysis.  54:130-143. 2017
  • Tail risk spillovers and corporate cash holdings.  Journal of Multinational Financial Management.  36:30-48. 2016
  • Time-zero efficiency of European power derivatives markets.  Energy Policy.  95:253-268. 2016
  • Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects.  European Financial Management.  21:833-866. 2015
  • Expropriation risk, investment decisions and economic sector.  ECONOMIC MODELLING.  48:326-342. 2015
  • Industry characteristics and financial risk contagion.  JOURNAL OF BANKING & FINANCE.  50:411-427. 2015
  • Portfolio selection with commodities under conditional asymmetric dependence and skew preferences.  QUANTITATIVE FINANCE.  15:151-170. 2015
  • Towards a common Eurozone risk free rate.  European Journal of Finance.  21:1005-1022. 2015
  • Portfolio choice with indivisible and illiquid housing assets: the case of Spain.  QUANTITATIVE FINANCE.  14:2045-2064. 2014
  • Tail risk in energy portfolios.  Energy Economics.  46:422-434. 2014
  • Are All Credit Default Swap Databases Equal?.  European Financial Management.  20:677-713. 2014
  • Derivatives holdings and systemic risk in the U.S. banking sector.  JOURNAL OF BANKING & FINANCE.  45:84-104. 2014
  • Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis.  International Review of Economics & Finance.  31:171-192. 2014
  • An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives.  Applied Financial Economics.  24:605-619. 2014
  • Testing for statistical arbitrage in credit derivatives markets.  Journal of Empirical Finance.  26:59-75. 2014
  • Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis.  JOURNAL OF INTERNATIONAL MONEY AND FINANCE.  35:124-145. 2013
  • Modelling electricity prices: international evidence.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS.  73:622-650. 2012
  • Do structural constraints of the industry matter for corporate failure prediction?.  Investment Analysts Journal.  42:65-81. 2012
  • The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress.  European Journal of Finance.  17:851-881. 2011
  • Behavior Finance and Estimation Risk in Portfolio Optimization.  Applied Financial Economics.  20:719-738. 2010
  • Delegated Portfolio Management and Risk-Taking Behavior.  European Journal of Finance.  16:353-372. 2010
  • Estrategias de inversión: El Club Med y el Euro.  Boletín inflación y análisis macroeconómico.  85-87. 2010
  • Credit Spreads: An empirical Analysis on the Informational Content of Stocks, Bonds, and CDS.  JOURNAL OF BANKING & FINANCE.  33:2013-2025. 2009
  • Professional Portfolio Managers: A Setting for Momentum Strategies.  Revista de economía financiera.  54-68. 2009

• book chapters 

  • Pricing tranched credit products with generalized multifactor models. In: Credit risk models, derivatives and management.  CRC Press & IEEE. 485-510. 2008
  • Pricing Tranched Credit Products with Generalized Multifactor Models. In: Credit Risk: Models, Derivatives and Management.  CHAPMAN & HALL/CRC. 485-510. 2008

• books 

  • Productos financieros para la transición energética.  MADRID: FUNDACIÓN DE LOS BANCOS Y CAJAS DE CECA (FUNCAS). 2020

• conference contributions 

  • Expropriation risk, investment decisions and economic sectors 2014
  • Expropriation risk, investment decisions and economic sectors 2014
  • Modelling Electricity Swaps with Stochastic Forward Premium Models 2014
  • Derivatives Holdings and Systemic Risk in the U.S. Banking Sector 2012
  • Portfolio Selection with Commodities under Conditional Copulas and Skew Preferences 2012
  • Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain 2011
  • Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain 2011
  • Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain 2011
  • Systemic Risk Measures: The Simpler the Better? 2011
  • Systemic Risk Measures: The Simpler the Better? 2011
  • Systemic Risk Measures: the Simpler the Better? 2011
  • Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs.  1-55. 2010
  • Are There Arbitrage Opportunities in Credit Derivatives Markets? 2008
  • Are There Arbitrage Opportunities in Credit Derivatives Markets? 2008

• working papers 

  • Expropriation risk, investment decisions and economic sectors 2014
  • Derivatives Holdings and Systemic Risk in the U.S. Banking Sector 2012
  • Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis 2012
  • A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets 2011
  • Are all Credit Default Swap Databases Equal? 2010
  • Systemic Risk Measures: The Simpler the Better 2010
  • Are There Arbitrage Opportunities in Credit Derivatives Markets?: A New Test and an Application to the Case of CDS and ASPs 2009
  • Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization 2009
  • Periodic Components in Panel Hourly Electricity Prices 2008
  • Delegated Portfolio Management and Risk Taking Behavior 2008