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Liquidity and hedging effectiveness under futures mispricing : international evidence

Andani, A.; Lafuente, J. A.; Novales, Alfonso - In: The journal of futures markets 29 (2009) 11, pp. 1050-1066

Persistent link: https://www.econbiz.de/10003900969

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs : Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

Persistent link: https://www.econbiz.de/10009355558

Volatility transmission across the term structure of swap markets : international evidence

Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058

Persistent link: https://www.econbiz.de/10002377770

Optimal hedging under departures from the cost-of-carry valuation : evidence from the Spanish stock index futures market

Lafuente, Juan Angel; Novales, Alfonso - In: Journal of banking & finance 27 (2003) 6, pp. 1053-1078

Persistent link: https://www.econbiz.de/10001757808

Backtesting extreme value theory models of expected shortfall

Novales, Alfonso; Garcia-Jorcano, Laura - In: Quantitative finance 19 (2019) 5, pp. 799-825

Persistent link: https://www.econbiz.de/10012194717