Listar COFIN_Articles por autoría "80e323e8-81c1-43cd-a2f0-41aabd93d68f"
Mostrando ítems 1-5 de 5
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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 ... -
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 ... -
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 time-varying risk–return trade-off and its explanatory and predictive factors
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique Elsevier (2023)We analyze the intertemporal dimension of the risk–return trade-off and determine the drivers that better explain and predict its evolution. To this end, we propose a novel estimate of the relationship between return and ...