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Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities
(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 ...
Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts
(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 ...
Smiling under stochastic volatility
(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 ...
Autorregresive conditional volatility, skewness and kurtosis
(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 ...
The Relationship between Risk and Expected Return in Europe
(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 ...
The Black Box of Mutual Fund Fees
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2004)
This paper re-examines the determinants of mutual fund fees paid by mutual fund shareholders for management costs and other expenses. There are two novelties with respect to previous studies. First, each type of fee is ...
Understanding the ex-ante cost of liquidity in the limit order book: A note
(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 ...
Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market
(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 ...
An empirical comparison of the performance of alternative option pricing models
(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 ...
Consumer Confidence and Yield Spreads in Europe
(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 ...