Publicaciones en colaboración con investigadores/as de Universidad de Castilla-La Mancha (16)

2022

  1. Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds

    International Journal of Finance and Economics, Vol. 27, Núm. 2, pp. 2124-2145

2020

  1. Yield curves from different bond data sets

    Review of Derivatives Research, Vol. 23, Núm. 2, pp. 191-226

2019

  1. Zero-coupon interest rates: Evaluating three alternative datasets

    Economic Research-Ekonomska Istrazivanja , Vol. 32, Núm. 1, pp. 3987-4014

2018

  1. What if two different interest rates datasets allow for describing the same financial product?

    Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018

2016

  1. European inflation and the Spanish Stock Market

    European Review, Vol. 24, Núm. 4, pp. 609-630

2013

  1. Interest rate and stock return volatility indices for the Eurozone. Investors' gauges of fear during the recent financial crisis

    Applied Financial Economics, Vol. 23, Núm. 18, pp. 1419-1432

2011

  1. Term structure of volatilities and yield curve estimation methodology

    Quantitative Finance, Vol. 11, Núm. 4, pp. 573-586

2010

  1. A principal component analysis of the Spanish volatility term structure

    International Research Journal of Finance and Economics, Vol. 49, pp. 150-155

  2. Estimating the volatility term structure

    Mathematical and Statistical Methods for Actuarial Sciences and Finance

  3. Stock interest rate risk and inflation shocks

    European Journal of Operational Research, Vol. 201, Núm. 2, pp. 337-348

2009

  1. An evaluation of contingent immunization

    Journal of Banking and Finance, Vol. 33, Núm. 10, pp. 1874-1883

  2. International evidence on alternative models of the term structure of volatilities

    Journal of Futures Markets, Vol. 29, Núm. 7, pp. 653-683

2008

  1. Economic sentiment and yield spreads in Europe

    European Financial Management, Vol. 14, Núm. 2, pp. 206-221

2006

  1. Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union

    Journal of Banking and Finance, Vol. 30, Núm. 4, pp. 1309-1332

2002

  1. Riego y crisis bancarias

    La fragilidad financiera del capitalismo (Ediciones de la Universidad de Castilla-La Mancha), pp. 127-140

  2. Yield Spread and Term to Maturity: Default vs. Liquidity

    European Financial Management, Vol. 8, Núm. 4, pp. 449-477