Publications
Peer reviewed Journals
"Daily Growth at Risk: financial or real drivers? The answer is not always the same" (with I. Garrón and J.M. Uribe), 2024
International Journal of Forecasting, 40(2): 762-776.
"Vulnerability of European Electricity Markets: A Quantile Connectedness Approach" (with T. Klein, J.A. Muñoz-Mendoza and J.M. Uribe), 2024
Energy Policy, 184, 113862.
"Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities" (with J.A. Muñoz-Mendoza and J.M. Uribe), 2023
Emerging Markets Review, 56, 101053.
"Systemic political risk" (with M. Estévez and J.M. Uribe), 2023.
Economic Modelling, 125, 106375.
"Nonlinear market liquidity: An empirical examination" (with S. Mosquera-López and J.M. Uribe), 2023.
International Review of Financial Analysis, 81, 102532.
"Expected, unexpected, good and bad aggregate uncertainty" (with J.M. Uribe), 2023.
Studies in Nonlinear Dynamics & Econometrics, 27(2): 265-284.
"Asymmetric volatility spillovers and consumption risk-sharing" (with J.M. Uribe), 2021.
Applied Economics, 53(35): 4100-4117.
"Analyzing the Nonlinear Pricing of Liquidity Risk according to the Market State" (with C. Koser and J.M. Uribe), 2021.
Finance Research Letters, 38, 101515.
"Uncovering the time-varying relationship between commonality in liquidity and volatility" (with C. Koser and J.M. Uribe), 2020.
International Review of Financial Analysis, 69, 101466.
"Tail risk measures using flexible parametric distributions" (with J.M. Sarabia, M. Guillen and F. Prieto), 2019.
SORT (Statistics and Operations Research Transactions), 43(2):1-14.
"Volatility Spillovers in Energy Markets" (with M.D. Furió and J.M. Uribe), 2019.
Energy Journal, 40(3):127-152.
"Currency downside risk, liquidity, and financial stability" (with J. Fernández and J.M. Uribe), 2018.
Journal of International Money and Finance, 89: 83-102.
"Trends in the quantiles of the life-table survivorship function” (with M. Guillén and J.M. Uribe), 2018.
European Journal of Population, 34(5): 793-817.
"Risk Synchronization in International Stock Markets" (with A.D. Pinchao and J.M. Uribe), 2018.
Global Economic Review, 47(2):135-150.
"Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?" (with M. Guillén and J.M. Uribe), 2017.
Journal of International Financial Markets, Institutions and Money, 50: 52-68.
"Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis", (with M. Guillén and J.M. Uribe), 2017.
Emerging Markets Review, 31: 32-46.
"Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach" (with R. Gupta, J.M. Uribe and M.E. Wohar), 2017.
Journal of International Financial Markets, Institutions and Money, 48:178-191.
"Measuring uncertainty in the stock markets" (with M. Guillén and J.M. Uribe), 2017.
International Review of Economics and Finance, 48: 18-33.
"European government bond market contagion in turbulent times" (with P. Abad), 2016.
Czech Journal of Economics and Finance, 66(3): 263-276.
"Measuring longevity risk with generalized dynamic factor model and vine copulae" (with M. Guillen and J.M. Uribe), 2016.
Astin Bulletin: The Journal of the International Actuarial Association, 46(1): 165-190.
"Time-varying integration in European Government Bond Markets" (with P. Abad and M. Gómez-Puig), 2014.
European Financial Management, 20(2): 270-290.
"Price and volatility dynamics between electricity and fuel costs: some evidence for Spain" (with D. Furió), 2012.
Energy Economics, 34(6): 2058-2065.
"Volatility Transmission and Correlation Analysis between the USA and Asia: The Impact of the Global Financial Crisis" (with N. Valls), 2012.
Global Economic Review, 41(2): 111-129.
"Firm size and volatility analysis in the Spanish Stock market" (with H. Torró), 2011.
European Journal of Finance, 17(8): 695-715.
"EMU and European Government market integration" (with P. Abad and M. Gómez-Puig), 2010.
Journal of Banking and Finance, 34(12): 2851-2860.
"Asymmetric effects of Federal Funds target rate changes on S&P100 stock returns, volatilities and correlations" (with M. Martens and Dick van Dijk), 2010.
Journal of Banking and Finance, 34(4): 834-839.
"Volatility transmission patterns and terrorist attacks" (with F.J. Climent, P. Soriano and H. Torró), 2009.
Quantitative Finance, 9(5): 607-619.
"The economic value of volatility transmission between stocks and bonds" (with H. Torró), 2008.
The Journal of Futures Markets, 8(11): 1066-1094.
"Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas en la Bolsa española" (with H. Torró), 2007.
Investigaciones Económicas, 21: 445-474.