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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/10014496132

Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español

González-Urteaga, Ana; Muga, Luis; Santamaría … - In: Spanish journal of finance and accounting 43 (2014) 163, pp. 290-315

Persistent link: https://www.econbiz.de/10011483118

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 effect of credit rating events on the emerging CDS market

Ballester, Laura; González-Urteaga, Ana - In: Mathematical and statistical methods for actuarial …, (pp. 17-28). 2017

Persistent link: https://www.econbiz.de/10012098738

Bank fragility and contagion : evidence from the bank CDS market

Ballester, Laura; Casu, Barbara; González-Urteaga, Ana - In: Journal of empirical finance 38 (2016), pp. 394-416

Persistent link: https://www.econbiz.de/10011664775

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

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

Future directions in international financial integration research : a crowdsourced perspective

Lucey, Brian M.; Vigne, Samuel A.; Ballester, Laura; … - In: International review of financial analysis 55 (2018), pp. 35-49

Persistent link: https://www.econbiz.de/10012005164

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

How credit ratings affect sovereign credit risk : cross-border evidence in Latin American emerging markets

Ballester, Laura; González-Urteaga, Ana - In: Emerging markets review 30 (2017), pp. 200-214

Persistent link: https://www.econbiz.de/10011803129