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Sentiment-prone investors and volatility dynamics between spot and futures markets

Corredor, Pilar; Ferrer, Elena; Santamaría Aquilué, Rafael - In: International review of economics & finance : IREF 35 (2015), pp. 180-196

Persistent link: https://www.econbiz.de/10011333698

Sentiment-Prone Investors and Volatility Dynamics between Spot and Futures Markets

Corredor, Pilar - 2014

This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a...

Persistent link: https://www.econbiz.de/10013044815

La estructura temporal de las volatilidades implícitas en la opción sobre el IBEX 35

Corredor, Pilar; Santamaría Aquilué, Rafael - In: Investigaciones económicas 24 (2000) 2, pp. 385-417

Persistent link: https://www.econbiz.de/10001488451

Predicción de volatilidad y precios de las opciones en el IBEX-35

Corredor, Pilar; Santamaría Aquilué, Rafael - In: Revista de economía aplicada : publicación cuatrimestral 9 (2001) 25, pp. 39-64

Persistent link: https://www.econbiz.de/10001586901

Transaction costs, arbitrage, and volatility spillover : a note

Aragó, V.; Corredor, Pilar; Santamaría Aquilué, Rafael - In: International review of economics & finance : IREF 12 (2003) 3, pp. 399-415

Persistent link: https://www.econbiz.de/10001797311

Forecasting volatility in the Spanish option market

Corredor, Pilar; Santamaría Aquilué, Rafael - In: Applied financial economics 14 (2004) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10001898771

Herding, volatility, and market stress in the Spanish stock market

Blasco, Natividad; Corredor, Pilar; Ferreruela, Sandra - In: Handbook of investors' behavior during financial crises, (pp. 151-168). 2017

Persistent link: https://www.econbiz.de/10011743021

The information environment, informed trading, and volatility

Blasco, Natividad; Corredor, Pilar - In: The journal of behavioral finance : a publication of … 18 (2017) 2, pp. 202-218

Persistent link: https://www.econbiz.de/10012008698

Detecting intentional herding : what lies beneath intraday data in the Spanish stock market

Blasco, Natividad; Corredor, Pilar; Ferreruela, S. - In: Journal of the Operational Research Society : OR 62 (2011) 6, pp. 1056-1066

Persistent link: https://www.econbiz.de/10009154372