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Option-implied preferences adjustments, density forecasts, and the equity risk premium

Alonso Sánchez, Francisco; Blanco Escolar, Roberto; … - 2006

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two lognormals and...

Persistent link: https://www.econbiz.de/10012530142

Understanding the ex-ante cost of liquidity in the limit order book : a note

Ruíz Martinez, Miguel A.; Rubio, Gonzalo; Tapia, Mikel - In: Revista de economía aplicada : publicación cuatrimestral 13 (2005) 38, pp. 95-109

Persistent link: https://www.econbiz.de/10003311998

An empirical comparison of the performance of alternative option pricing models

Ferreira, Eva; Gago, Mónica; León Valle, Ángel Manuel; … - In: Investigaciones económicas 29 (2005) 3, pp. 483-523

Persistent link: https://www.econbiz.de/10003317868

Some insights on the behavior of the mutual fund industry in Spain

Moreno, Manuel; Rubio, Gonzalo - In: Diversification and portfolio management of mutual funds, (pp. 272-311). 2007

Persistent link: https://www.econbiz.de/10003410832

The relationship between risk and expected return in Europe

León Valle, Ángel Manuel; Nave Pineda, Juan M.; … - In: Journal of banking & finance 31 (2007) 2, pp. 495-512

Persistent link: https://www.econbiz.de/10003421299

Análisis del comportamiento predictivo de las densidades neutrales al riego implícitas en las opciones sobre el Ibex-35

Alonso Sánchez, Francisco; Blanco, Roberto; Rubio, Gonzalo - In: Información comercial española / Cuadernos económicos 69 (2005), pp. 11-32

Persistent link: https://www.econbiz.de/10003375701

Portfolio choice and the effects of liquidity

González Flores, Ana; Rubio, Gonzalo - 2007

Persistent link: https://www.econbiz.de/10008662434

Measuring time-varying economic fears with consumption-based stochastic discount factors

Nieto Domenech, Belen; Rubio, Gonzalo - 2007

Persistent link: https://www.econbiz.de/10008662440

Economic sentiment and yield spreads in Europe

Ferreira, Eva; Martínez Serna, Maria-Isabel; Navarro … - In: European financial management : the journal of the … 14 (2008) 2, pp. 206-221

Persistent link: https://www.econbiz.de/10003694533

Evaluating alternative methods for testing asset pricing models with historical data

Lozano-Banda, Martín; Rubio, Gonzalo - In: Journal of empirical finance 18 (2011) 1, pp. 136-146

Persistent link: https://www.econbiz.de/10009301158