PUBLICATIONS
“Markets are in a constant state of uncertainty and flux and money is to be made by discounting the obvious and betting on the unexpected”
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- George Soros -
Academic Publications
"An empirical assessment of proposed solutions for resolving scale problems in value relevance accounting research" with Juana Aledo, Juan Manuel Garcia-Lara and Christos Grambovas, 2019. Accounting & Finance. Forthcoming
"Exploring Returns Dynamics via Corridor Implied Volatility" with Torben G. Andersen and Oleg Bondarenko, 2015. Review of Financial Studies. Vol 28(10): 2902-2945
"Model-free Volatility Indexes in the Financial Literature: A Review," 2015. International Review of Economics and Finance, Vol 40, 141–159
"Day of the Week Effect on VIX. A Parsimonious Representation", with David E. Guerrero, 2013. The North American Journal of Economics and Finance. Vol 25, 243-260
"The Information Content in a Volatility Index for Spain", with Alfonso Novales, 2011. Journal of the Spanish Economic Association (SERIEs), Vol 2 (2), 185-216
"Are Volatility Indexes in International Stock Markets Forward Looking?" with Alfonso Novales, 2009. RACSAM-Applied Mathematics Series, Vol 103 (2), pp. 339-352
Working Papers
"Eurozone Prices: a Tale of Convergence and Divergence" (2020) Bank of Spain working paper #2010 with Alfredo García-Hiernaux and David E. Guerrero
"A Corridor FIX for High-Frequency VIX: Developing Coherent Implied Volatility Measures" (2019) working paper with Torben G. Andersen and Oleg Bondarenko
"Extrinsic information asymmetries, accounting quality and investment efficiency" (2019) working paper with Juana Aledo and Juan M. García Lara
"The Role of Market Makers in the Quality of SPX Quotes" (2018) work in progress
"The information content of volatility indices" (2019) with Nikolaus Hautsch and Michael Noé
"Periodic pattern in high-frequency data" (2019) work in progress with David E. Guerrero