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Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns

Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2014

This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from...

Persistent link: https://www.econbiz.de/10010812479

Why do we smile? : On the determinants of the implied volatility function

Peña Sánchez de Rivera, Juan Ignacio; Rubio, Gonzalo; … - In: Journal of banking & finance 23 (1999) 8, pp. 1151-1179

Persistent link: https://www.econbiz.de/10001391604

Smiling under stochastic volatility

León Valle, Ángel Manuel; Rubio, Gonzalo - In: Spanish economic review : SER 6 (2004) 1, pp. 52-75

Persistent link: https://www.econbiz.de/10001969217

Autoregressive conditional volatility, skewness and kurtosis

León Valle, Ángel Manuel; Rubio, Gonzalo; Serna, Gregorio - In: The quarterly review of economics and finance : journal … 45 (2005) 4/5, pp. 599-618

Persistent link: https://www.econbiz.de/10003099285

Autoregressive conditional volatility, skewness and kurtosis

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

Persistent link: https://www.econbiz.de/10002201270

Volatility bounds, size, and real activity prediction

Nieto Domenech, Belen; Rubio, Gonzalo - In: Review of finance : journal of the European Finance … 18 (2014) 1, pp. 373-415

Persistent link: https://www.econbiz.de/10010405203

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

The joint cross-sectional variation of equity returns and volatilities

González-Urteaga, Ana; Rubio, Gonzalo - In: Journal of banking & finance 75 (2017), pp. 17-34

Persistent link: https://www.econbiz.de/10011742149

The cross-sectional variation of volatility risk premia

González-Urteaga, Ana; Rubio, Gonzalo - In: Journal of financial economics 119 (2016) 2, pp. 353-370

Persistent link: https://www.econbiz.de/10011589865