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...

Multi-period-ahead forecasts of returns' variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of...

The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...

The objective of this paper is to observe the reaction of the Spanish Stock Market tothe signature of a collective agreement at a company level, measuring abnormal returns,abnormal volume and the associated risk on the day the information reaches the market.Bearing in mind that this type of...