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Volatility spillovers in the European bank CDS market

Alemany, Aida; Ballester, Laura; González-Urteaga, Ana - In: Finance research letters 13 (2015), pp. 137-147

Persistent link: https://www.econbiz.de/10011552425

Momentum and default risk : some results using the jump component

González-Urteaga, Ana; Muga, Luis; Santamaría … - In: International review of financial analysis 40 (2015), pp. 185-193

Persistent link: https://www.econbiz.de/10011475738

The cross-sectional variation of volatility risk premia

González-Urteaga, Ana; Rubio, Gonzalo - In: Journal of financial economics 119 (2016) 2, pp. 353-370

Persistent link: https://www.econbiz.de/10011589865

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

Guarantee requirements by European central counterparties and international volatility spillovers

González-Urteaga, Ana; Rubio, Gonzalo - In: Research in international business and finance 62 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014247244

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