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Liquidity and hedging effectiveness under futures mispricing : international evidence
Andani, A.; Lafuente, J. A.; Novales, Alfonso - In: The journal of futures markets 29 (2009) 11, pp. 1050-1066
Persistent link: https://www.econbiz.de/10003900969
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Variance swaps, non-normality and macroeconomic and financial risks
Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270
Persistent link: https://www.econbiz.de/10010467548
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Backtesting extreme value theory models of expected shortfall
Novales, Alfonso; Garcia-Jorcano, Laura - In: Quantitative finance 19 (2019) 5, pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
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Forward-looking asset correlations in the estimation of economic capital
Chamizo, Álvaro; Fonollosa, Alexandre; Novales, Alfonso - In: Journal of international financial markets, … 61 (2019), pp. 264-288
Persistent link: https://www.econbiz.de/10012128297
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Looking through systemic credit risk : determinants, stress testing and market value
Chamizo, Álvaro; Novales, Alfonso - In: Journal of international financial markets, … 64 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012495683
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Evaluation of market risk associated with hedging a credit derivative portfolio
Chamizo, Álvaro; Novales, Alfonso - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 411-430
Persistent link: https://www.econbiz.de/10012655516