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Stock returns with consumption and illiquidity risks

Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74

Persistent link: https://www.econbiz.de/10010431504

Asset pricing and systematic liquidity risk : an empirical investigation of the Spanish stock market

Martínez Sedano, Miguel Angel; Nieto, Belén; Rubio, … - In: International review of economics & finance : IREF 14 (2005) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10002468118

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, Gonzalo - In: Quantitative finance 21 (2021) 5, pp. 713-727

Persistent link: https://www.econbiz.de/10012500183

Spillover dynamics effects between risk-neutral equity and Treasury volatilities

González-Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 4, pp. 663-708

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 spillover effects, between risk-neutral volatilities from the equity and...

Persistent link: https://www.econbiz.de/10013459960