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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

Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix

Guinea, Laurentiu; Pérez, Rafaela; Ruíz, Jesús - In: Finance research letters 61 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014490773

Calendar effects in daily aggregate employment creation and destruction in Spain

Conde-Ruiz, J. Ignacio; García, Manu; Puch, Luis; … - In: SERIEs : Journal of the Spanish Economic Association 10 (2019) 1, pp. 25-63

In this paper, we discuss the time series properties of a novel daily series of aggregate employment creation and destruction as registered by the Social Security in Spain. We focus on the period of economic recovery after the 2012 Labour Market Reform. Our concern for high-frequency data is...

Persistent link: https://www.econbiz.de/10012033375

Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix

Guinea, Laurentiu; Pérez, Rafaela; Ruíz, Jesús - 2023

Persistent link: https://www.econbiz.de/10014252774

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

Persistent link: https://www.econbiz.de/10010333080

Volatility transmission across the term structure of swap markets : international evidence

Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058

Persistent link: https://www.econbiz.de/10002377770

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs : Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

Persistent link: https://www.econbiz.de/10009355558

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

Macroeconomic and financial determinants of the volatility of corporate bond returns

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly journal of finance 5 (2015) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011414145

A term structure model under cyclical fluctuations in interest rates

Moreno, Manuel; Novales, Alfonso; Platania, Federico - In: Economic modelling 72 (2018), pp. 140-150

Persistent link: https://www.econbiz.de/10012100292