Similar Search Results

Optimal cross-hedging under futures mispricing : a note

Lafuente, Juan Angel - In: Journal of derivatives & hedge funds 19 (2013) 3, pp. 181-188

Persistent link: https://www.econbiz.de/10010259438

Optimal hedging under departures from the cost-of-carry valuation : evidence from the Spanish stock index futures market

Lafuente, Juan Angel; Novales, Alfonso - In: Journal of banking & finance 27 (2003) 6, pp. 1053-1078

Persistent link: https://www.econbiz.de/10001757808

The bias for forward exchange rate and the risk premium: an explanation with a stochastic and dynamic general equilibrium model

Lafuente, Juan Angel (contributor); Ruiz, Jesús (contributor) - 2002 - [Elektronische Ressource], 1. ed

Persistent link: https://www.econbiz.de/10001696615

Intraday return and volatility relationships between the Ibex 35 spot and futures markets

Lafuente, Juan Angel - In: Spanish economic review : SER 4 (2002) 3, pp. 201-220

Persistent link: https://www.econbiz.de/10001702849

Introducing the mini-futures contract on IBEX 35 : implications for price discovery and volatility transmission

Illueca, Manuel (contributor); … - 2004 - [Elektronische Ressource], 1. ed

Persistent link: https://www.econbiz.de/10002186690

The new market effect on return and volatility of Spanish stock indexes

Lafuente, Juan Angel; Ruiz, Jesús - In: Applied financial economics 14 (2004) 18, pp. 1343-1350

Persistent link: https://www.econbiz.de/10002438284

International transmission of stock exchange volatility : empirical evidence from the Asian crisis

Fernández Izquierdo, María Ángeles; Lafuente, Juan Angel - In: Global finance journal 15 (2004) 2, pp. 125-137

Persistent link: https://www.econbiz.de/10002375082

The effect of futures trading activity on the distribution of spot market returns

Illueca, Manuel (contributor); … - 2003 - [Elektronische Ressource], 1. ed

Persistent link: https://www.econbiz.de/10002181643

Dissecting Interbank Risk

Lafuente, Juan Angel - 2016

This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating-to-floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. We propose an empirical model to decompose BS quotes into persistent and transitory...

Persistent link: https://www.econbiz.de/10012981962

Disentangling permanent and transitory monetary shocks with a nonlinear taylor rule

Lafuente, Juan Angel; Monfort, Mercedes; Pérez, Rafaela; … - In: Economics : the open-access, open-assessment journal 15 (2021) 1, pp. 150-162

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...

Persistent link: https://www.econbiz.de/10012887149