Listar por autoría "1fd33877-3ba6-4bff-b33b-dbd82530da12"
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Dirección financiera de la empresa: financiación, planificación y gestión de activo corriente
Aragó, Vicent; Cabedo, J. David Universitat Jaume I (2011) -
Do investors in Spain react to news on sustainability and corporate social responsibility?
Fernandez-Izquierdo, Maria Angeles; Aragó, Vicent; Matallín Sáez, Juan Carlos; Nieto Soria, Luisa Inderscience Enterprises (2009)We analyse whether sustainability and corporate social responsibility-related news affects returns of stocks traded on the Spanish stock market. We used event methodology and an approach consistent with the active management ... -
Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique Elsevier (2020-04-08)This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-switching ... -
Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approach
Salvador, Enrique; Aragó, Vicent (2015-07-06)This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching ... -
Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework
Aragó, Vicent; Salvador, Enrique Delta Publicaciones (2012)This study develops a multi-factor framework where not only the market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and ... -
Optimal Beats Naive Diversification: Asset Allocation Using High-Frequency Data
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique Pageant Media Ltd (2020-09-20)This article evaluates the usefulness of high-frequency data in optimal portfolio choice. The authors use a comprehensive list of major stock indexes and different frequencies of observations. Furthermore, they consider ... -
Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Aragó, Vicent (2015-07-02)This paper analyzes the risk–return trade-off in Europe using recent data from 11 European stock markets. After relaxing the linear assumptions in the risk–return relationship by introducing a new approach that considers ... -
Sudden changes in variance and time varying hedge ratios
Aragó, Vicent; Salvador, Enrique Elsevier (2011-12)This paper analyzes the influence of sudden changes in the unconditional volatility on the estimation and forecast of volatility and its impact on futures hedging strategies. We employ several multivariate GARCH models to ... -
Teorías sobre coberturas con contratos de futuro
Aragó, Vicent Universidad Nacional de Colombia. Facultad de Ciencias Económicas (2009)En este trabajo se presenta una revisión de las principales teorías sobre cobertura con contratos de futuro y de los distintos métodos de estimación utilizados para determinar el ratio de cobertura óptimo. La aproximación ... -
The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique Elsevier (2020-09-01)Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday ... -
The influence of intraday seasonality on volatility transmission patterns
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique Taylor & Francis (2018)Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences ... -
The Risk - Return Trade - off in Europe: Is There a Pro - cyclical Risk Aversion ?
Aragó, Vicent; Salvador, Enrique Academy of Economic Studies in Bucharest (2012)This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. We introduce not only the market portfolio but also 15 industry portfolios comprising the entire ...