Now showing items 1-10 of 10

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      A Non-Parametric Dimension Test of the Term Structure 

      Gil Bazo, Javier; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
      In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure ...
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      An empirical comparison of the performance of alternative option pricing models 

      Rubio Irigoyen, Gonzalo; Ferreira García, María Eva; Gago, Mónica; León, Angel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
      This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ...
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      Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market 

      Rubio Irigoyen, Gonzalo; Martínez Sedano, Miguel Ángel; Nieto, Belén (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
      Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this ...
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      Autorregresive conditional volatility, skewness and kurtosis 

      León, Angel; Rubio Irigoyen, Gonzalo; Serna, Gregorio (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
      This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ...
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      Consumer Confidence and Yield Spreads in Europe 

      Ferreira García, María Eva; Martínez, María Isabel; Navarro, Eliseo; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-02)
      This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business ...
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      Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts 

      Alonso, Francisco; Blanco, Roberto; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-06)
      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 ...
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      Smiling under stochastic volatility 

      León, Angel; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
      This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result ...
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      Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities 

      Alonso, Francisco; Blanco, Roberto; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)
      The main objective of this paper is to test whether the risk-neutral densities (RNDs) implied in the prices of the future options contract on the Spanish IBEX 35 index accurately predict the distribution of future outcomes ...
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      The Relationship between Risk and Expected Return in Europe 

      León, Angel; Nave, Juan; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)
      We employ MIDAS (Mixed Data Sampling) to study the risk-expected return trade-off in several European stock indices. Using MIDAS, we report that, in most indices, there is a significant and positive relationship between ...
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      Understanding the ex-ante cost of liquidity in the limit order book: A note 

      Martínez Sedano, Miguel Ángel; Rubio Irigoyen, Gonzalo; Tapia, Mikel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-01)
      This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity ...