Articles in Journals

Foreign monetary policy and firms’ default risk, with Jonatan Groba, The European Journal of Finance, 2020, 26:11, 1047-1074.

Dissecting interbank risk using basis swap spreads, with Juan Ángel Lafuente, Nuria Petit and Jesús Ruiz, The World Economy, 2020, Volume 43, Issue 3.

Automatic Balancing Mechanisms for Mixed Pension Systems under Different Investment Strategies, with María del Carmen Boado-Penas, Humberto Godínez-Olivares and Steven Haberman, The European Journal of Finance, 2019, 26:2-3, 277-294

Pricing factors in the multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit, Journal of International Money and Finance, Volume 91, March 2019, Pages 138-159.

 Forecasting multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit, International Review of Financial Analysis, Volume 57, February 2018, pp. 40-56.

 Modelling the shape of the limit order book, with Federico Platania and Mikel Tapia, Quantitative Finance, 18:9, January 2018, pp.1575-1597.

Liquidity in Credit Default Swap Markets, with Armen Arakelyan, Journal of Multinational Financial Management, Volumes 37–38, December 2016, pp. 139-157, (previously entitled On the effects of illiquidity in CDS spreads)

Market frictions and the pricing of sovereign credit default swaps, with Antonio Rubia and Lidia Sanchís-Marco, Journal of International Money and Finance, Volume 60, February 2016, pp. 223-252.

The reward for trading illiquid maturities in credit default swap markets, with Armen Arakelyan and Gonzalo Rubio, International Review of Economics and Finance, Volume 39, September 2015, pp. 376–389.

On the compensation for illiquidity in sovereign credit markets, with Juan Ángel Lafuente,  Journal of Multinational Financial Management, Volume 30, March 2015, pp. 83–100.

What drives corporate default risk premium? Evidence from the CDS markets, with Antonio Díaz and Jonatan Groba,
Journal of International Money and Finance, 37 (2013), pp. 529–563.

The impact of distressed economies on the EU sovereign market, with Jonatan Groba and Juan Ángel Lafuente, Journal of Banking and Finance, 37 (2013) pp2520–2532.

Statistical properties and economic implications of jump-diffusion processes with shot-noise effects, with Manuel Moreno and Winfried Stute, European Journal of Operational Research, 214 (2011) pp. 656–664.,

Research
Research
Publications
Publications
Members
Members
Contact
Contact