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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
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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
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Measuring time-varying economic fears with consumption-based stochastic discount factors
Nieto Domenech, Belen; Rubio, Gonzalo - 2007
Persistent link: https://www.econbiz.de/10008662440
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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 Domenech, Belen; Rubio, … - In: Quantitative finance 21 (2021) 5, pp. 713-727
Persistent link: https://www.econbiz.de/10012500184
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Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
Abad Díaz, David; Nieto Domenech, Belen; Pascual, Roberto - In: International review of financial analysis 87 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014460538