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Volatility contagion across commodity, equity, foreign exchange and Treasury bond markets

López, Raquel - In: Applied economics letters 21 (2014) 7/9, pp. 646-650

Persistent link: https://www.econbiz.de/10010414749

The behaviour of energy-related volatility indices around scheduled news announcements : implications for variance swap investments

López, Raquel - In: Energy economics 72 (2018), pp. 356-364

Persistent link: https://www.econbiz.de/10011972340

Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market

López, Raquel - In: International review of financial analysis 42 (2015), pp. 292-303

Persistent link: https://www.econbiz.de/10011573500

The effect of macroeconomic news announcements on the implied volatility of commodities : the role of survey releases

Fernandez-Perez, Adrian; López, Raquel - In: The journal of futures markets 43 (2023) 11, pp. 1499-1530

Persistent link: https://www.econbiz.de/10014432914

Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices

Ferrer, Román; Shahzad, Syed Jawad Hussain; López, Raquel - In: Energy economics 76 (2018), pp. 1-20

Persistent link: https://www.econbiz.de/10011976566

Analysis of the performance of volatility-based trading strategies on scheduled news announcement days : an international equity market perspective

López, Raquel; Esparcia, Carlos - In: International review of economics & finance : IREF 71 (2021), pp. 32-54

Persistent link: https://www.econbiz.de/10012627756

Uncertainty and US stock market dynamics

López, Raquel; Sevillano, Maria-Caridad; Jareño, Francisco - In: Global finance journal 56 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014478991

Performance of crypto-Forex portfolios based on intraday data

Esparcia, Carlos; López, Raquel - In: Research in international business and finance 69 (2024), pp. 1-32

Persistent link: https://www.econbiz.de/10015052354

Connectedness between oil price shocks and US sector returns : evidence from TVP-VAR and wavelet decomposition

Sevillano, Maria-Caridad; Jareño, Francisco; López, Raquel - In: Energy economics 131 (2024), pp. 1-18

This paper examines the dynamic return and volatility connectedness between oil price shocks (demand, supply, and risk shocks) and US sector returns from October 2001 to January 2022. For this purpose, we combine the decomposition of the time series in time scales through the wavelet approach...

Persistent link: https://www.econbiz.de/10015046284