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Research groups
  Market Finance and Financial Econometrics

General data

Field of study:
Social Sciences and Law Studies
Telephone:
+34 965903400 x 2545

Annual reports

Annual report
  • Financial econometrics
  • Valuation of financial assets
  • Market microstructure
  • Corporate finance and IPOs
  • Disclosure of information and information asymmetry
  • Derivatives and market risk management

 

 

Services offered

No data.

 

Results

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Available relevant infrastructure

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RELEVANT CONTRIBUTIONS TO RESEARCH PROJECTS
  • Project title: PRODUCTIVIDAD, RIESGO Y POLITICAS MACROECONOMICAS
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: GENERALITAT VALENCIANA
    Starting date: 01/01/2022
    Termination date: 31/12/2025
  • Project title: Métodos Cuantitativos y Estudios Empíricos en Econometría e Intermediación Financiera
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: MINISTERIO DE CIENCIA, INNOVACION Y UNIVERSIDADES
    Starting date: 01/01/2022
    Termination date: 31/12/2025
  • Project title: Incertidumbre, Conexiones en Volatilidad, y los Efectos de las Fricciones en los Precios de los Activos Financieros y la Actividad Real
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: MINISTERIO DE ECONOMIA Y EMPRESA
    Starting date: 01/01/2019
    Termination date: 31/12/2021
  • Project title: Microeconomía Aplicada y Economía Financiera Empírica
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: MINISTERIO DE ECONOMIA Y EMPRESA
    Starting date: 01/01/2018
    Termination date: 31/12/2021
  • Project title: Métodos econométricos: aspectos teóricos y aplicaciones en economía laboral y finanzas
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: MINISTERIO DE ECONOMIA Y EMPRESA
    Starting date: 01/01/2012
    Termination date: 31/12/2014
  • Project title: Elección y Genero, Equidad y No-Discriminación
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: MINISTERIO DE ECONOMIA Y EMPRESA
    Starting date: 30/12/2016
    Termination date: 29/12/2020
  • Project title: Macroeconomia, Productividad y Econometría Financiera
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: CONSELLERIA DE EDUCACIÓN, INVESTIGACIÓN, CULTURA Y DEPORTE
    Starting date: 01/01/2019
    Termination date: 31/12/2020
  • Project title: On the Managerial Preferences for Underinsuring Credit Loss Recognition
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: CONSELLERIA DE EDUCACIÓN, INVESTIGACIÓN, CULTURA Y DEPORTE
    Starting date: 01/01/2019
    Termination date: 31/12/2020
  • Project title: Métodos econométricos: teoría y aplicaciones en Economía Laboral y Finanzas
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: MINISTERIO DE ECONOMIA Y EMPRESA
    Starting date: 01/01/2015
    Termination date: 31/12/2017
  • Project title: Factores determinantes. Análisis y aplicaciones en la relación rentabilidad-riesgo
    Competitive: Yes
    European: No
    Public: Yes
    Project sponsors: MINISTERIO DE EDUCACION
    Starting date: 01/01/2009
    Termination date: 31/12/2011

Publications See search box

RELEVANT CONTRIBUTIONS IN JOURNALS
  • Title: Pandemic effects in the Solow growth model
    Authors: Carmona, Julio; , Ángel León
    Journals Bulletin of Economic Research
    Volume: 75
    Pages: 671 - 687
    Date: 2023
    ISSN: 0307-3378
    DOI: http://dx.doi.org/10.1111/boer.12376
  • Title: Skewness in energy returns: estimation, testing and implications for tail risk
    Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
    Journals Quarterly Review of Economics and Finance
    Volume: 90
    Pages: 178 - 189
    Date: 2023
    ISSN: 1062-9769
    DOI: https://doi.org/10.1016/j.qref.2023.06.003
  • Title: Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
    Authors: Castillo-Brais, B; León Valle, Ángel; Mora, J.
    Journals Mathematics
    Volume: 10
    Pages: 1 - 17
    Date: 2022
    ISSN: 2227-7390
    DOI: htpps://doi.org/10.3390/math10224329
  • Title: Pandemic Effects in the Solow Growth Model
    Authors: , Julio Carmona-Martínez; León Valle, Ángel
    Journals Bulletin of Economic Research
    Volume:
    Pages: -
    Date: 2022
    ISSN: 0307-3378
    DOI: http://dx.doi.org/10.1111/boer.12376
  • Title: Spillover dynamics effects between risk-neutral equity and Treasury volatilities
    Authors: , Gonzalez-Urteaga, A.; Nieto, B.; Rubio, Gonzalo
    Journals SERIEs: Journal of the Spanish Economic Association
    Volume: 13
    Pages: 663 - 708
    Date: 2022
    ISSN: 1869-4187
    DOI: http://dx.doi.org/10.1007/s13209-022-00264-w
  • Title: The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia: An international perspective
    Authors: Nieto, B.; Rubio, Gonzalo
    Journals Journal of Risk and Financial Management
    Volume: 15
    Pages: 13 -
    Date: 2022
    ISSN: 1911-8066
    DOI: https://doi.org/10.3390/jrfm15010013
  • Title: The risk aversion and uncertainty channels between finance and macroeconomics
    Authors: Nieto, B.; , Rubio, G.
    Journals Finance Research Letters
    Volume: 45
    Pages: 102188 -
    Date: 2022
    ISSN: 1544-6123
    DOI: https://doi.org/10.1016/j.frl.2021.102188
  • Title: Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
    Authors: , Gonzalez-Urteaga, A.; Nieto, B.; , Rubio, G.
    Journals Quantitative Finance
    Volume: 21
    Pages: 713 - 727
    Date: 2021
    ISSN: 1469-7688
    DOI: https://doi.org/10.1080/14697688.2020.1813903
  • Title: The Transformed Gram-Charlier distribution: Parametric properties and financial risk applications
    Authors: León Valle, Ángel; , Ñiguez, T. M.
    Journals Journal of Empirical Finance
    Volume: 63
    Pages: 323 - 349
    Date: 2021
    ISSN: 0927-5398
    DOI: https://doi.org/10.1016/j.jempfin.2021.07.004
  • Title: Estimating the expected shortfall of cryptocurrencies: an evaluation based on backtesting
    Authors: , Acereda, B.; León Valle, Ángel; Mora, J.
    Journals Finance Research Letters
    Volume: 33
    Pages: 1 - 6
    Date: 2020
    ISSN: 1544-6123
    DOI: https://doi.org/10.1016/j.frl.2019.04.037
RELEVANT PUBLISHED BOOKS
  • Title: Apuntes de Economía Financiera
    Authors: Forner, C.; , FORNER; LEON VALLE, ANGEL MANUEL; , C. y León
    Editorial: UNIVERSIDAD DE ALICANTE
    Date: 2009
    ISBN: 978-84-692-6083-8
  • Title: Lecciones de finanzas corporativas: valoración de proyectos y empresas
    Authors: , Abad, D.; Balboa, M.; RUBIA, A.
    Editorial: Taller Digital de la Universidad de Alicante
    Date: 2011
    ISBN: 978-84-694-1635-8
  • Title: Could investors obtain positive returns using security analysts` recommendations?
    Authors: Gómez-Sala, J.C.; López, G.
    Editorial: LAMBERT Academic Publishing
    Date: 2009
    ISBN: 9783838314808
RELEVANT PUBLISHED BOOK CHAPTERS
  • Book chapter title: Evaluación continua basada en prácticas individualizadas en el área de contabilidad/finanzas
    Authors: Abad, D.; Iñiguez Sánchez, R.; Poveda Fuentes, F.
    Editorial: Editorial Octaedro, S.L.
    Pages: 304 - 304
    Date: 2023
    ISBN:
    Book title: 2ND INTERNATIONAL CONGRESS: EDUCATION AND KNOWLEDGE
  • Book chapter title: Evaluación continua en el área de contabilidad/finanzas
    Authors: Abad, D.; Iñiguez Sánchez, R.; Poveda Fuentes, F.
    Editorial: Editorial Octaedro, S.L.
    Pages: 3 - 16
    Date: 2023
    ISBN:
    Book title: Educación y sociedad: claves interdisciplinares
  • Book chapter title: EVALUACIÓN CONTINUA BASADA EN PRÁCTICAS INDIVIDUALIZADAS EN EL ÁREA DE CONTABILIDAD/FINANZAS
    Authors: Abad, D.; Iñiguez Sánchez, R.; Poveda Fuentes, F.
    Editorial:
    Pages: 829 - 875
    Date: 2022
    ISBN:
    Book title: Memorias del Programa de Redes de investigación en docencia universitaria. Convocatoria 2021-2022
  • Book chapter title: Holding Back Volatility: Circuit Breakers, Price Limits,and Trading Halts
    Authors: Abad, D.; , Pascual, R.
    Editorial: John Wiley & Sons, Inc
    Pages: 303 - 324
    Date: 2013
    ISBN:
    Book title: Market Microstructure in Emerging and Developed Markets
  • Book chapter title: Capital Structure Determinants in Growth Firms Accessing Venture Funding
    Authors: Balboa, M.; , Marti, J; , Tresierra, A.
    Editorial: Oxford University Press (Canada)
    Pages: 328 - 353
    Date: 2012
    ISBN:
    Book title: The Oxford Handbook of Venture Capital
  • Book chapter title: El Papel del Capital Riesgo en la Reducción de la Restricción Financiera de las Pymes
    Authors: Balboa, M.; , Ferrer, M.A.; , Marti, J
    Editorial: Civitas
    Pages: 83 - 111
    Date: 2012
    ISBN:
    Book title: El Sector del Capital Riesgo y su Influencia Clave en la Recuperación de la Economía Española
  • Book chapter title: Diseño de Materiales Docentes con Información Hipertextual y Formato Multimedia
    Authors: Rodríguez, Mª J.; , Rodríguez-Jaume, M.J.; Provencio Garrigós, H.; , Mora Catalá, R.; , Muñoz-González, A.; , Jareño Ruiz, D.; Benito, F.; , Benito Chicote, F.; Reyes-Labarta, J.A.; , Provencio Garrigós, Lucía; , Rebellón Yohn, A.O.; , Sepulcre G
    Editorial: ICE/Vicerrectorado de Estudios e Innovación Educativa, Universidad de Alicante
    Pages: 2020 - 2039
    Date: 2010
    ISBN:
    Book title: La comunidad universitaria: tarea investigadora ante la práctica docente

    RUA: http://hdl.handle.net/10045/19884
  • Book chapter title: The Value of Liquidity and Trading Activity in Forecasting Downside Risk
    Authors: , Sachis-Marco, L.; RUBIA, A.
    Editorial: Palgrave Macmillan
    Pages: 194 - 234
    Date: 2010
    ISBN:
    Book title: Funacial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measure
  • Book chapter title: Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution
    Authors: , Ñiguez, T. M.; , Perote, J.; RUBIA, A.
    Editorial: Nova Publishers
    Pages: 310 - 326
    Date: 2009
    ISBN:
    Book title: Economic Forecasting
  • Book chapter title: The Anchoring of Money Market Expectations in a Corridor System Implementation Framework
    Authors: León Valle, Ángel; , Benito, F; , Rodríguez, D.
    Editorial: The McGraw-Hill Companies
    Pages: 193 - 206
    Date: 2009
    ISBN:
    Book title: New Frontiers in Insurance and Bank Risk Management
RELEVANT CONFERENCE PAPERS
  • Title: The Exposure of Treasury Bond Returns to Stock Market Returns: The Cases of the U.S. and Spain
    Authors: Lafuente, Juan Ángel; Nieto, B.; Rubio, Gonzalo
    Type of participation: Ponencia invitada
    Conference name: XI Meeting on International Economics
    Event type: Internacional
    City of performance: Castellon de la Plana/ Castelló de la Plana (CASTELLÓN/ CASTELLÓ) (ESPAÑA)
    Date of performance: 04/05/2023
  • Title: Skewness in energy returns: estimation, testing and implications for tail risk
    Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
    Type of participation: Ponencia
    Conference name: 47th Simposio de la Asociación Española de Economía-Spanish Economic Association (SAEe)
    Event type: Internacional
    City of performance: Valencia (VALENCIA/ VALÈNCIA) (ESPAÑA)
    Date of performance: 15/12/2022
  • Title: Moments of TGARCH models with skewed innovations
    Authors: Carnero, M.A.; León Valle, Ángel; Ñiguez, Trino Manuel
    Type of participation: Ponencia
    Conference name: 42nd INTERNATIONAL SYMPOSIUM ON FORECASTING
    Event type: Internacional
    City of performance: Oxford (REINO UNIDO (Gran Bretaña e Irlanda del Norte))
    Date of performance: 10/07/2022
  • Title: Illiquidity linkages between individual stocks and corporate bonds
    Authors: Márquez de la Cruz, Elena; Martínez Cañete, Ana Rosa; Nieto, B.
    Type of participation: Ponencia
    Conference name: 29th Finance Forum
    Event type: Internacional
    City of performance: Santiago de Compostela (A CORUÑA) (ESPAÑA)
    Date of performance: 07/07/2022
  • Title: Illiquidity linkages between individual stocks and corporate bonds
    Authors: Márquez de la Cruz, Elena; Martínez Cañete, Ana Rosa; Nieto, B.
    Type of participation: Ponencia
    Conference name: ANNUAL EVENT OF FINANCE RESEARCH LETTERS 2022 CEMLA CONFERENCE
    Event type: Internacional
    City of performance: Mexico City (MEXICO)
    Date of performance: 21/04/2022
  • Title: SOURCE OF MOMENTUM PROFITS: SLOW ADJUSTMENT TO EXPECTATIONAL ERRORS
    Authors: Forner, C.
    Type of participation: Ponencia
    Conference name: 3rd ECMCRC Workshop
    Event type: Europeo
    City of performance: DCU Business School, Dublin City University (IRLANDA)
    Date of performance: 05/07/2019
  • Title: An analysis of connectedness dynamics between risk-neutral equity and Treasury volatilities
    Authors: , Gonzalez-Urteaga, A.; Nieto, B.; , Rubio, G.
    Type of participation: Ponencia
    Conference name: 28th Annual European Financial Management Association Meetings
    Event type: Internacional
    City of performance: Ponta Delgada, Azores (PORTUGAL)
    Date of performance: 26/06/2019
  • Title: Expected Stock Returns
    Authors: , Gonzalez-Urteaga, A.; Nieto, B.; , Rubio, G.
    Type of participation: Ponencia
    Conference name: World Finance Conference, July 2018
    Event type: Internacional
    City of performance: Mauricio (MAURICIO)
    Date of performance: 25/07/2018
  • Title: Risk Neutral Volatilities for Equity and Treasury Bond Returns
    Authors: , Gonzalez-Urteaga, A.; Nieto, B.; , Rubio, G.
    Type of participation: Ponencia
    Conference name: VII Meeting on International Economics
    Event type: Internacional
    City of performance:
    Date of performance: 28/06/2018
  • Title: Bid-Ask Spread Estimator from High and Low Daily Prices: A Note on its Practical Implementation for Corporate Bonds
    Authors: Nieto, B.
    Type of participation: Ponencia
    Conference name: 25th Finance Forum
    Event type: Internacional
    City of performance:
    Date of performance: 06/07/2017