A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes, since they synthesize information from different variables in a single indicator allowing to identify the general behavior of financial conditions in a timely and...

A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes, since they synthesize information from different variables in a single indicator allowing to identify the general behavior of financial conditions in a timely and...

Spanish Abstract: En este estudio se estima la probabilidad de transacciones informadas comportamiento y sus efectos en los rendimientos diarios e intradiarios en Latinoamérica. Calculando la probabilidad diaria dinámica de transacciones informadas (Easley, Engle, O'Hara y Wu, 2008), como una...

In this research we investigate whether quarterly earnings announcements are informative using awide sample of firms listed in the Spanish Stock Market (SIBE). We study the period comprised between thethird quarterly of 2002 and the fourth quarterly of 2003. We analyse whether abnormal returns...

El principal resultado de este artículo consiste en la resolución del problema inverso del modelo de Black-Cox (1976), usando el método propuesto por Sukhomlin (2007). Se parte del enfoque retrógrado (backward) para obtener una expresión exacta de la volatilidad implícita en función de...

The aim of this paper is to evaluate the efficiency, using data envelopment analysis, in eurobond issues fixed rate in the period 2004-2012, assessing the impact of the financial crisis in that market. Following the development of a database consisting of 1,999 Eurobonds, the results show that...

In this paper, we explore the impact of the COVID-19 pandemic on the credit risk of large European companies. We selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe Index. Then we applied the methodology of event studies...

This paper tests the existence of financial contagion between US and Latin America stock markets based on the analysis of pattern of the correlation coefficients during crisis and stable periods. The study applies a dynamic conditional correlation multivariate GARCH model to estimate...