Most downside risk models implicitly assume that returns are a sufficient statistic with which to forecast the daily conditional distribution of a portfolio. In this paper, we address this question empirically and analyze if the variables that proxy for market liquidity and trading conditions...

In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the...

Este trabajo analiza la estabilidad de la varianza de los precios de electricidad en el mercado español durante el periodo 1998-2009, poniendo de manifiesto un declive significativo de variabilidad a partir de 2007. Esta reducción es contemporánea con la implementación de mecanismos de...

Most downside risk models implicitly assume that returns are a sufficient statistic with which to forecast the daily conditional distribution of a portfolio. In this paper, we analyze whether the variables that proxy for market-wide liquidity and trading conditions convey valid information for...