Co-author Network
Co-researcher Network
sample of publications
-
articles
- The international linkages of market risk perception. Journal of Multinational Financial Management. 72:1-18. 2024
- International evidence of the forecasting ability of option-implied distributions. JOURNAL OF FORECASTING. 1-18. 2024
- The global spillovers of unconventional monetary policies on tail risks. Finance Research Letters. 59:1-8. 2023
- The international integration of the term structure of expected market risk premia. Finance Research Letters. 58. 2023
- Dissecting interbank risk using basis swap spreads. WORLD ECONOMY. 43:729-757. 2020
- Foreign monetary policy and firms' default risk. European Journal of Finance. 2020
- Automatic Balancing Mechanisms for Mixed Pension Systems under Different Investment Strategies. European Journal of Finance. 26:277-294. 2019
- Pricing factors in the multiple-term structures from interbank rates. JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 91:138-159. 2019
- Forecasting multiple-term structures from interbank rates. International Review of Financial Analysis. 57:40-56. 2018
- Modelling the shape of the limit order book. QUANTITATIVE FINANCE. 18:1575-1597. 2018
- Liquidity in credit default swap markets. Journal of Multinational Financial Management. 37-38 (2016):139-157. 2016
- Market frictions and the pricing of sovereign credit default swaps. JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 60:223-252. 2016
- The reward for trading illiquid maturities in credit default swap markets. International Review of Economics & Finance. 39:376-389. 2015
- On the compensation for iliquidity in sovereign credit markets. Journal of Multinational Financial Management. 30:83-100. 2015
- What drives corporate default risk premia? Evidence from the CDS market. JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 37:529-563. 2013
- The impact of distressed economies on the EU sovereign market. JOURNAL OF BANKING & FINANCE. 37:2520-2523. 2013
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. 3:656-664. 2011
-
book chapters
- Monte Carlo Valuation of CDOs under a Reduced Form Approach. In: New Frontiers in Insurance and Bank Risk Management. MCGRAW-HILL. 133-148. 2009
- Numerical pricing of collateral debt obligations: a Monte Carlo approach. In: Credit risk models, derivatives and management. CRC Press & IEEE. 527-549. 2008
- Pricing tranched credit products with generalized multifactor models. In: Credit risk models, derivatives and management. CRC Press & IEEE. 485-510. 2008
-
books
- Cómo complementar la pensión utilizando la vivienda en propiedad: Alternativas factibles para conseguir ingresos extra y seguir residiendo en casa. Aula Magna Proyecto Clave McGraw Hill. 2022
-
conference contributions
- Monetary Policy Effect on Firm's Default Risk 2011
- What Drives Corporate Default Risk Premia? Evidence from the CDS Market 2011
- What Drives Corporate Default Risk Premia? Evidence from the CDS Market 2011
- What Drives Corporate Default Risk Premia? Evidence from the CDS Market 2011
- What Drives Corporate Default Risk Premium? Evidence from the CDS Market 2011
- Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects 2008
-
working papers