Co-author Network
Co-researcher Network
sample of publications
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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
- 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
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book chapters
- Pricing Tranched Credit Products with Generalized Multifactor Models. In: Credit Risk: Models, Derivatives and Management. CHAPMAN & HALL/CRC. 485-510. 2008
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books
- Productos financieros para la transición energética. MADRID: FUNDACIÓN DE LOS BANCOS Y CAJAS DE CECA (FUNCAS). 2020
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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
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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