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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

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

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

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