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The effect of the EMU on short and long-run stock market dynamics: New evidence on financial integration
(Inderscience Publishers, 2009)
This paper deals with the time evolution of stock market integra- tion around the introduction of the euro. In particular we test whether the degree of integration between the main eurozone countries increased after European ...
Consequences of the sovereign debt crisis in the eurozone financial markets
(Universitat Jaume I, 2017-06-13)
The objective of this paper is to analyse to what extend the sovereign debt crisis
affected the Eurozone financial markets and what policies the ECB carried out during
those years, making a difference between peripheral ...
Bitcoin: La nueva moneda virtual que está revolucionando el mundo de las divisas digitales
(Universitat Jaume I, 2014)
Bitcoin es una moneda que en los últimos años ha tomado mucha importancia, aunque aún se considera una moneda digital en desarrollo. Por dicha importancia, mi objetivo en el presente trabajo ha sido explicar qué es el ...
The non-linear trade-off between return and risk and its determinants
(Elsevier, 2022-04-08)
We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and total risk to be ...
Non-homogeneous volatility correlations in the bivariate multifractal model
(Taylor & Francis, 2015)
In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. “Volatility Comovement: A Multifrequency Approach.” Journal of Econometrics ...