Resumen: La teoría de precios por arbitraje establece que el retorno esperado de un portafolio de activos está relacionado con factores que caracterizan la economía y se puede asociar a variables macroeconómicas. En este estudio se realiza una contrastación empírica de la teoría de...

This paper explores the quadratic variation (QV) as an alternative measure to the bid-ask spread in limit order markets when observed at high resolution. Although the spread cannot be precisely estimated because of microstructure noise, the QV of the price series, consisting of the transaction...

This study investigates the time-varying frequency of spillovers between European stock markets and oil during the COVID-19 pandemic and the Russia-Ukraine war. Using the spillover index by Diebold & Yilmaz, 2012 and Baruník & Křehlík, 2018, we analyze high-frequency data at a 5-min interval...

This study assesses the relationship between the likelihood of future stock price crashes and conservatism-an accounting characteristic that leads to the undervaluation of accounting net assets relative to economic net assets. This undervaluation is achieved by less stringent verification...

Since January 2020, we have been experiencing times of uncertainty and volatility. This study aims to analyze the behavior of cryptocurrencies during periods of volatility and whether they can be considered safe-haven assets. To measure volatility, we utilize the VIX and estimate linear...