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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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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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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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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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Rubio Irigoyen, Gonzalo (4)
Alonso, Francisco (2)Blanco, Roberto (2)Ferreira García, María Eva (1)... View MoreDepartamento (cas.)Fundamentos del análisis económico II (4)Economía aplicada III (Econometría y Estadística) (1)Departamento (eus.)Ekonomia analisiaren oinarriak II (4)Ekonomia aplikatua III (ekonometria eta estatistika) (1)SubjectECONOMICS, ECONOMETRICS AND FINANCE (4)FINANCIAL ECONOMICS (4)MACROECONOMICS AND MONETARY ECONOMICS (1)MATHEMATICAL AND QUANTITATIVE METHODS (1)... View MoreDate Issued
2005 (4)
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eng (4)

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