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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

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

The consumption-wealth and book-market ratios in a dynamic asset pricing contex

Nieto, Belén; Rodríguez, Rosa - In: Spanish economic review : SER 8 (2006) 3, pp. 199-226

Persistent link: https://www.econbiz.de/10003372877

The liquidity premium in equity pricing under a continuous auction system

Rubio, Gonzalo - In: The European journal of finance 4 (1998) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10001247522

Macroeconomic and financial determinants of the volatility of corporate bond returns

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly journal of finance 5 (2015) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011414145

Macroeconomic determinants of stock market betas

González Sánchez, Mariano; Nave, Juan; Rubio, Gonzalo - In: Journal of empirical finance 45 (2018), pp. 26-44

Persistent link: https://www.econbiz.de/10012102444

The joint cross-sectional variation of equity returns and volatilities

González-Urteaga, Ana; Rubio, Gonzalo - In: Journal of banking & finance 75 (2017), pp. 17-34

Persistent link: https://www.econbiz.de/10011742149

Estimating the elasticity of intertemporal substitution with leverage

González-Urteaga, Ana; Rubio, Gonzalo - In: The North American journal of economics and finance : a … 41 (2017), pp. 18-31

Persistent link: https://www.econbiz.de/10011878926

Nonsimultaneous prices and the evaluation of managed portfolios in Spain

Basarrate Urízar, Begoña; Rubio, Gonzalo - In: Applied financial economics 9 (1999) 3, pp. 273-281

Persistent link: https://www.econbiz.de/10001454515