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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
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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
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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
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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
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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
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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
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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/10013459960
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Formación de precios en el mercado bursátil : teoría y evidencia empírica
Rubio, Gonzalo - 1988
Persistent link: https://www.econbiz.de/10000774322
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Formación de precios en el mercado bursátil : teoría y evidencia empírica
Rubio, Gonzalo - In: Información comercial española / Cuadernos económicos (1991), pp. 157-186
Persistent link: https://www.econbiz.de/10001122052
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El contenido informativo de los derechos de subscipción e información asimétrica en los mercados primarios
Rubio, Gonzalo - In: Investigaciones económicas 11 (1987) 2, pp. 219-242
Persistent link: https://www.econbiz.de/10001027964