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Pilar Abad

Personal Details

First Name:Pilar
Middle Name:
Last Name:Abad
Suffix:
RePEc Short-ID:pab62
[This author has chosen not to make the email address public]
http://webs.uvigo.es/pabad
Paseo de Artilleros s/n 28032 Madrid

Affiliation

Departamento de Fundamentos del Analisis Económico
Universidad Rey Juan Carlos

Madrid, Spain
http://www.fcjs.urjc.es/default.asp?dep=13
RePEc:edi:dgrjces (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Pilar Abad Romero & Maria Dolores Robles Fernández, 2014. "The Risk-Return binomial after rating changes," Documentos de Trabajo del ICAE 2014-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Pilar Abad & Helena Chuliá, 2014. "European government bond market integration in turbulent times," Working Papers 2014-08, Universitat de Barcelona, UB Riskcenter.
  3. Pilar Abad & Helena Chuliá, 2013. "“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”," IREA Working Papers 201325, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
  4. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  5. Pilar Abad Romero & María Dolores Robles Fernández, 2012. "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE 2012-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  6. Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011. "Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence," Documentos de Trabajo del ICAE 2011-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  7. Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011. "Determinants of trading activity after rating actions in the Corporate Debt Market," Documentos de Trabajo del ICAE 2011-37, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  8. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009. "EMU and European government bond market integration," Working Paper Series 1079, European Central Bank.
  9. Pilar Abad & Sonia Benito, 2006. "Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal," Documentos de Trabajo del ICAE 0604, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  10. Pilar Abad & Sonia Benito Muela, 2005. "Using The Nelson and Siegel Model of The term Structure in Value at Risk Estimation," Documentos de Trabajo del ICAE 0511, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  11. Pilar Abad Romero & Mª Dolores Robles Fernández, 2003. "Contenido informativo de los cambios de Rating en el mercado de Valores Español," Documentos de Trabajo del ICAE 0304, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  12. Pilar Abad & Alfonso Novales, 2002. "The Forecasting Ability of Factor Models of the Term Structure of IRS Markets," Documentos de Trabajo del ICAE 0221, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  13. Pilar Abad & Alfonso Novales, 2002. "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos de Trabajo del ICAE 0222, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  14. Pilar Abad & Alfonso Novales, 2002. "Volatility Transmission acros the Term Structure of Swap Markets: International Evidence," Documentos de Trabajo del ICAE 0220, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  15. Alfonso Novales & Pilar Abad, 2002. "Risk Premia in the Term Structure of Swaps in Pesetas," Documentos de Trabajo del ICAE 0219, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

Articles

  1. Abad, P. & Ferreras, R. & Robles, M.D., 2020. "Intra-industry transfer effects of credit risk news: Rated versus unrated rivals," The British Accounting Review, Elsevier, vol. 52(1).
  2. Pilar Laguna-Sánchez & Pilar Abad & Concepción de la Fuente-Cabrero & Rocío Calero, 2020. "A University Training Programme for Acquiring Entrepreneurial and Transversal Employability Skills, a Students’ Assessment," Sustainability, MDPI, vol. 12(3), pages 1-17, January.
  3. Pilar Abad & Myriam García‐Olalla & M. Dolores Robles, 2020. "Does the Single Supervisory Mechanism Reduce Overall Risk in the European Stock Market?," Global Policy, London School of Economics and Political Science, vol. 11(S1), pages 39-51, January.
  4. Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.
  5. Abad, Pilar & Alsakka, Rasha & ap Gwilym, Owain, 2018. "The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 40-57.
  6. Pilar Abad & Helena Chulia, 2016. "European Government Bond Market Contagion in Turbulent Times," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(3), pages 263-276, June.
  7. Pilar Abad & M. Dolores Robles, 2015. "The Risk–Return Binomial After Rating Changes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 44(2), pages 249-274, July.
  8. Pilar Abad & Helena Chuliá & Marta Gómez†Puig, 2014. "Time†varying Integration in European Government Bond Markets," European Financial Management, European Financial Management Association, vol. 20(2), pages 270-290, March.
  9. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
  10. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
  11. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010. "EMU and European government bond market integration," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2851-2860, December.
  12. Pilar Abad & Sonia Benito, 2009. "Accurate Of Var Calculated Using Empirical Models Of The Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 811-832.
  13. Pilar Abad-Romero & M. Robles-Fernández, 2007. "Bond rating changes and stock returns: evidence from the Spanish stock market," Spanish Economic Review, Springer;Spanish Economic Association, vol. 9(2), pages 79-103, June.
  14. Pilar Abad Romero & Begoña Alvarez García & Eva Rodríguez Míguez & Antonio Rodríguez Sampayo, 2006. "Social preferences measures and the quality of the job match for persons with disabilities," Hacienda Pública Española / Review of Public Economics, IEF, vol. 179(4), pages 113-134, September.
  15. Abad, Pilar & Novales, Alfonso, 2005. "An error correction factor model of term structure slopes in international swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 229-254, July.
  16. Pilar Abad Romero & Eva Rodríguez Míguez, 2002. "Características socioeconómicas y estructura de los hogares de las personas mayores en España," Hacienda Pública Española / Review of Public Economics, IEF, vol. 161(2), pages 49-68, June.
    RePEc:taf:apfiec:v:14:y:2004:i:14:p:1045-1058 is not listed on IDEAS

Chapters

  1. Pilar Abad & Helena Chuliá, 2014. "The Effects of Macroeconomic News Announcements during the Global Financial Crisis," Contemporary Studies in Economic and Financial Analysis, in: Risk Management Post Financial Crisis: A Period of Monetary Easing, volume 96, pages 41-56, Emerald Group Publishing Limited.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Pilar Abad & Helena Chuliá, 2014. "European government bond market integration in turbulent times," Working Papers 2014-08, Universitat de Barcelona, UB Riskcenter.

    Cited by:

    1. Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
    2. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    3. Estefanía Alaminos & Mercedes Ayuso, 2015. "Methodological Approach of a Multiple State Actuarial Model for the Married - Widower case for the assessment of retirement and widowhood pensions," Working Papers 2015-04, Universitat de Barcelona, UB Riskcenter.
    4. Manuela Alcañiz & Aïda Solé-Auró, 2018. "Ageing and health-related quality of life: evidence from Catalonia (Spain)," Working Papers 2018-01, Universitat de Barcelona, UB Riskcenter.
    5. Mercedes Ayuso & Montserrat Guillén & Jens Perch Nielsen, 2016. "Improving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data," Working Papers XREAP2016-08, Xarxa de Referència en Economia Aplicada (XREAP), revised Dec 2016.
    6. Gilles Dufrénot & Fredj Jawadi & Zied Ftiti, 2022. "Sovereign bond market integration in the euro area: a new empirical conceptualization," Annals of Operations Research, Springer, vol. 318(1), pages 147-161, November.
    7. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 389-425, June.
    8. Catherine Donnelly & Russell Gerrard & Montserrat Guillén & Jens Perch Nielsen, 2015. "Less is more: increasing retirement gains by using an upside terminal wealth constraint," Working Papers 2015-02, Universitat de Barcelona, UB Riskcenter.

  2. Pilar Abad & Helena Chuliá, 2013. "“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”," IREA Working Papers 201325, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.

    Cited by:

    1. Kronick, Jeremy, 2014. "Monetary Policy Shocks from the EU and US: Implications for Sub-Saharan Africa," MPRA Paper 59416, University Library of Munich, Germany.
    2. Steeley, James M. & Matyushkin, Alexander, 2015. "The effects of quantitative easing on the volatility of the gilt-edged market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 113-128.
    3. Pilar Abad & Helena Chuliá, 2014. "“European government bond market integration in turbulent times”," IREA Working Papers 201424, University of Barcelona, Research Institute of Applied Economics, revised Oct 2014.
    4. Shogbuyi, Abiodun & Steeley, James M., 2017. "The effect of quantitative easing on the variance and covariance of the UK and US equity markets," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 281-291.
    5. Pilar Abad & Helena Chulia, 2016. "European Government Bond Market Contagion in Turbulent Times," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(3), pages 263-276, June.

  3. Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011. "Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence," Documentos de Trabajo del ICAE 2011-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Peña Cerezo, Miguel Ángel & Rodríguez Castellanos, Arturo & Ibáñez Hernández, Francisco Jaime, 2015. "Does rating shopping exist in spanish securitization issues?," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    2. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

  4. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009. "EMU and European government bond market integration," Working Paper Series 1079, European Central Bank.

    Cited by:

    1. Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
    2. Berger, Tino & Pozzi, Lorenzo, 2013. "Measuring time-varying financial market integration: An unobserved components approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 463-473.
    3. Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "An update on EMU sovereign yield spread drivers in time of crisis: A panel data analysis," Working Papers 2014-04, Universitat de Barcelona, UB Riskcenter.
    4. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," IREA Working Papers 201116, University of Barcelona, Research Institute of Applied Economics, revised Sep 2011.
    5. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
    6. Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
    7. Nikolaos Stoupos & Apostolos Kiohos, 2022. "Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 60(4), pages 1019-1046, July.
    8. Kumar, Manmohan S. & Okimoto, Tatsuyoshi, 2011. "Dynamics of international integration of government securities' markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 142-154, January.
    9. Posedel Šimović, Petra & Tkalec, Marina & Vizek, Maruška & Lee, Junsoo, 2016. "Time-varying integration of the sovereign bond markets in European post-transition economies," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 30-40.
    10. Ian Schaeffer & Miguel D. Ramirez, 2017. "Is there a Long-Term Relationship among European Sovereign Bond Yields?," Business and Economic Research, Macrothink Institute, vol. 7(1), pages 68-86, June.
    11. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
    12. Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019. "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
    13. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).
    14. Dragomirescu-Gaina, Catalin & Philippas, Dionisis, 2013. "Is the EMU government bond market a playground for asymmetries?," The Journal of Economic Asymmetries, Elsevier, vol. 10(1), pages 21-31.
    15. Gabrisch, Hurbert & Orlowski, Lucjan & Pusch, Toralf, 2012. "Sovereign Default Risk in the Euro-Periphery and the Euro-Candidate Countries," Working Papers 2012002, Sacred Heart University, John F. Welch College of Business.
    16. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    17. Eun, Cheol S. & Kim, Soo-Hyun & Lee, Kyuseok, 2015. "Currency competition between the dollar and euro: Evidence from exchange rate behaviors," Finance Research Letters, Elsevier, vol. 12(C), pages 100-108.
    18. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
    19. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
    20. Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
    21. Billio, Monica & Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2016. "Which market integration measure?," SAFE Working Paper Series 159, Leibniz Institute for Financial Research SAFE.
    22. Lucey, Brian M. & Zhang, QiYu, 2011. "Financial integration and emerging markets capital structure," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1228-1238, May.
    23. Mylonidis, Nikolaos & Kollias, Christos, 2010. "Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2056-2064, September.
    24. Petra Posedel Simovic & Marina Tkalec & Maruska Vizek, 2015. "Time-varying integration in European post-transition sovereign bond market," Working Papers 1501, The Institute of Economics, Zagreb.
    25. Bozena Chovancova & Vladimir Gvozdiak & Zoltan Rozsa & Rahman Ashiqur, 2019. "An Exposure of Commercial Banks in the Terms of an Impact of Government Bondholding with the Context of Its Risks and Implications," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(1), pages 173-188.
    26. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
    27. Piljak, Vanja, 2013. "Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 29-43.
    28. Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers 115, Bank of Greece.
    29. Philippas, Dionisis & Siriopoulos, Costas, 2013. "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 161-176.
    30. Pilar Abad & Helena Chuliá, 2014. "“European government bond market integration in turbulent times”," IREA Working Papers 201424, University of Barcelona, Research Institute of Applied Economics, revised Oct 2014.
    31. Dimitris A. Georgoutsos & Petros M. Migiakis, 2012. "Benchmark Bonds Interactions under Regime Shifts," European Financial Management, European Financial Management Association, vol. 18(3), pages 389-409, June.
    32. Omid M. Ardakani & N. Kundan Kishor & Suyong Song, 2024. "Does membership of the EMU matter for economic and financial outcomes?," Contemporary Economic Policy, Western Economic Association International, vol. 42(3), pages 416-447, July.
    33. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    34. Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011. "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers del Instituto Complutense de Estudios Internacionales 1106, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    35. Kemal Eyuboglu & Sinem Eyuboglu, 2017. "Examining the Developed and Emerging Bond Market Interactions: A VAR Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(2), pages 139-156, April.
    36. Gajewski, Krzysztof & Olszewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech & Tchorek, Grzegorz & Zięba, Jolanta, 2012. "Integracja finansowa w Europie po wprowadzeniu euro. Przegląd literatury [Financial integration in Europe after the introduction of the euro. A literature overview]," MPRA Paper 42482, University Library of Munich, Germany.
    37. Gupta, Priyanshi & Sehgal, Sanjay & Deisting, Florent, 2015. "Time-Varying Bond Market Integration in EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 30(4), pages 708-760.
    38. Andrea Cipollini & Jerry Coakley & Hyunchul Lee, 2015. "The European sovereign debt market: from integration to segmentation," The European Journal of Finance, Taylor & Francis Journals, vol. 21(2), pages 111-128, January.
    39. Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2018. "Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach," Applied Economics, Taylor & Francis Journals, vol. 50(47), pages 5031-5049, October.
    40. Joanna Bukowska, 2021. "The Degree of Integration of the Bulgarian and Croatian Government Bond Markets into the Eurozone Government Bond Market," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 4), pages 412-420.
    41. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    42. Filipa Fernandes & Charalampos Stasinakis & Zivile Zekaite, 2019. "Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery," Annals of Operations Research, Springer, vol. 282(1), pages 87-118, November.
    43. Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014. "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 84-103.
    44. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013. "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP) dp-517, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    45. Pozzi, Lorenzo & Wolswijk, Guido, 2012. "The time-varying integration of euro area government bond markets," European Economic Review, Elsevier, vol. 56(1), pages 36-53.
    46. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
    47. Zhang, Hanyu & Dufour, Alfonso, 2024. "Managing portfolio risk during crisis times: A dynamic conditional correlation perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 241-251.
    48. Sakemoto, Ryuta, 2018. "Co-movement between equity and bond markets," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 25-38.
    49. Bolós, V.J. & Benítez, R. & Ferrer, R. & Jammazi, R., 2017. "The windowed scalogram difference: A novel wavelet tool for comparing time series," Applied Mathematics and Computation, Elsevier, vol. 312(C), pages 49-65.
    50. Myles Brennan & Adam Kobor & Vidhya Rustaman, 2011. "Diversifying market and default risk in high grade sovereign bond portfolios," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 49-74, Bank for International Settlements.
    51. Jesús Crespo-Cuaresma & Octavio Fernández-Amador, 2010. "Business cycle convergence in EMU: A second look at the second moment," Working Papers 2010-25, Faculty of Economics and Statistics, Universität Innsbruck.
    52. Pilar Abad & Helena Chuliá, 2013. "“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”," IREA Working Papers 201325, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    53. Bayraci, Selcuk, 2015. "Return, shock and volatility co-movements between the bond markets of Turkey and developed countries," MPRA Paper 65758, University Library of Munich, Germany.
    54. Nikolaos Apostolopoulos & Marios Psychalis & Panagiotis Liargovas, 2022. "Discussing EU Policies and Mechanisms towards the COVID-19 Pandemic Crisis: A Case Study of Greece," World, MDPI, vol. 3(4), pages 1-11, October.
    55. Dimitris A. Georgoutsos & Petros Migiakis, 2012. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Working Papers 143, Bank of Greece.
    56. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    57. Sebastian Missio, 2012. "Government bond market integration and the EMU: Correlation based evidence," Working Papers 125, Bavarian Graduate Program in Economics (BGPE).
    58. Christiansen, Charlotte, 2014. "Integration of European bond markets," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 191-198.
    59. Kevin Aslett & James Caporaso, 2016. "Breaking up Is Hard to Do: Why the Eurozone Will Survive," Economies, MDPI, vol. 4(4), pages 1-16, October.
    60. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
    61. Christian Gabriel & Christian Lau, 2014. "On the distribution of government bond returns: evidence from the EMU," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 181-203, May.
    62. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.
    63. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
    64. Catherine Donnelly & Russell Gerrard & Montserrat Guillén & Jens Perch Nielsen, 2015. "Less is more: increasing retirement gains by using an upside terminal wealth constraint," Working Papers 2015-02, Universitat de Barcelona, UB Riskcenter.
    65. Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.
    66. Velimir Lukić, 2016. "Integration of Government Bond Market in the Euro Area and Monetary Policy," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 5(1), pages 71-97.
    67. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
    68. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
    69. Dionisis Philippas & Costas Siriopoulos, 2014. "Money factors and EMU government bond markets' convergence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 31(2), pages 156-167, May.
    70. Selçuk BAYRACI, 2018. "Return, shock and volatility spillovers between the bond markets of Turkey and developed countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(616), A), pages 135-144, Autumn.

  5. Pilar Abad & Alfonso Novales, 2002. "Volatility Transmission acros the Term Structure of Swap Markets: International Evidence," Documentos de Trabajo del ICAE 0220, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
    2. Silvio Colarossi & Andrea Zaghini, 2009. "Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission," International Finance, Wiley Blackwell, vol. 12(2), pages 151-170, August.
    3. Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.
    4. Malinská, Barbora, 2022. "Time-varying pricing of risk in sovereign bond futures returns," Finance Research Letters, Elsevier, vol. 47(PA).

Articles

  1. Abad, P. & Ferreras, R. & Robles, M.D., 2020. "Intra-industry transfer effects of credit risk news: Rated versus unrated rivals," The British Accounting Review, Elsevier, vol. 52(1).

    Cited by:

    1. Ana-Maria Fuertes & Maria-Dolores Robles, 2021. "Bank Credit Risk Events and Peers’ Equity Value," Documentos de Trabajo del ICAE 2021-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. van der Heijden, Hans, 2022. "Predicting industry sectors from financial statements: An illustration of machine learning in accounting research," The British Accounting Review, Elsevier, vol. 54(5).

  2. Pilar Laguna-Sánchez & Pilar Abad & Concepción de la Fuente-Cabrero & Rocío Calero, 2020. "A University Training Programme for Acquiring Entrepreneurial and Transversal Employability Skills, a Students’ Assessment," Sustainability, MDPI, vol. 12(3), pages 1-17, January.

    Cited by:

    1. Pilar Laguna-Sánchez & Jesús Palomo & Concepción de la Fuente-Cabrero & Mónica de Castro-Pardo, 2020. "A Multiple Criteria Decision Making Approach to Designing Teaching Plans in Higher Education Institutions," Mathematics, MDPI, vol. 9(1), pages 1-14, December.
    2. Rosa Isusi-Fagoaga & Adela García-Aracil, 2020. "Assessing Master Students’ Competencies Using Rubrics: Lessons Learned from Future Secondary Education Teachers," Sustainability, MDPI, vol. 12(23), pages 1-15, November.
    3. Rodrigo Martín-García & Carmen López-Martín & Raquel Arguedas-Sanz, 2020. "Collaborative Learning Communities for Sustainable Employment through Visual Tools," Sustainability, MDPI, vol. 12(6), pages 1-19, March.
    4. Catalina Rus-Casas & Dolores Eliche-Quesada & Juan D. Aguilar-Peña & Gabino Jiménez-Castillo & M. Dolores La Rubia, 2020. "The Impact of the Entrepreneurship Promotion Programs and the Social Networks on the Sustainability Entrepreneurial Motivation of Engineering Students," Sustainability, MDPI, vol. 12(12), pages 1-20, June.
    5. Lavinia Cornelia Butum & Luminița Nicolescu & Sergiu Octavian Stan & Andrei Găitănaru, 2020. "Providing Sustainable Knowledge for the Young Graduates of Economic and Social Sciences. Case Study: Comparative Analysis of Required Global Competences in Two Romanian Universities," Sustainability, MDPI, vol. 12(13), pages 1-29, July.
    6. Cristina Pardo-Garcia & Maja Barac, 2020. "Promoting Employability in Higher Education: A Case Study on Boosting Entrepreneurship Skills," Sustainability, MDPI, vol. 12(10), pages 1-23, May.

  3. Pilar Abad & Myriam García‐Olalla & M. Dolores Robles, 2020. "Does the Single Supervisory Mechanism Reduce Overall Risk in the European Stock Market?," Global Policy, London School of Economics and Political Science, vol. 11(S1), pages 39-51, January.

    Cited by:

    1. Ioanna Avgeri & Yiannis Dendramis & Helen Louri, 2020. "The Single Supervisory Mechanism and its implications for the profitability of European Banks," Working Papers 284, Bank of Greece.
    2. Karel Janda & Oleg Kravtsov, 2020. "Banking Supervision and Risk-Adjusted Performance inthe Host Country Environment," FFA Working Papers 3.001, Prague University of Economics and Business, revised 19 Nov 2020.
    3. Myriam García-Olalla & Manuel Luna, 2021. "Market reaction to supranational banking supervision in Europe: Do firm- and country-specific factors matter?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 947-975, November.
    4. Will Bartlett, 2023. "The performance of politically connected firms in South East Europe: state capture or business capture?," Post-Communist Economies, Taylor & Francis Journals, vol. 35(4), pages 351-367, May.
    5. Camilo J. Vázquez‐Ordás & Myriam García‐Olalla, 2020. "The Differential Impact of Brexit on Banking: UK vs. Europe," Global Policy, London School of Economics and Political Science, vol. 11(5), pages 569-577, November.

  4. Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.

    Cited by:

    1. Kraemer, Moritz & Klusak, Patrycja & Vu, Huong, 2020. "First-mover disadvantage - The sovereign ratings mousetrap," CEPS Papers 26352, Centre for European Policy Studies.
    2. Doan, Anh-Tuan & Lin, Kun-Li, 2022. "Bank ownership and stock price informativeness. Does politics matter?," International Review of Financial Analysis, Elsevier, vol. 79(C).
    3. Ginevra Marandola & Rossella Mossucca, 2021. "When did the stock market start to react less to downgrades by Moody’s, S&P and Fitch?," SN Business & Economics, Springer, vol. 1(2), pages 1-45, February.
    4. Chao, Xiangrui & Ran, Qin & Chen, Jia & Li, Tie & Qian, Qian & Ergu, Daji, 2022. "Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions," International Review of Financial Analysis, Elsevier, vol. 80(C).
    5. Klusak, Patrycja & Alsakka, Rasha & ap Gwilym, Owain, 2019. "The impact of ESMA regulatory identifiers on the quality of ratings," International Review of Financial Analysis, Elsevier, vol. 66(C).

  5. Abad, Pilar & Alsakka, Rasha & ap Gwilym, Owain, 2018. "The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 40-57.

    Cited by:

    1. Hu, Haoshen & Prokop, Jörg & Trautwein, Hans-Michael, 2022. "Transnational spillover effects of European sovereign rating signals on bank stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 171-182.
    2. Ben Hmiden, Oussama & Tatoutchoup, Didier & Nguimkeu, Pierre & Avelé, Donatien, 2024. "Discrepancy and cross-regional bias in sovereign credit ratings: Analyzing the role of public debt," Economic Modelling, Elsevier, vol. 131(C).
    3. Nguyen, Phuc Lam Thy & Alsakka, Rasha & Mantovan, Noemi, 2023. "Political preferences and stock markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. Schertler, Andrea & Moch, Nils, 2021. "Bank foreign assets, government support and international spillover effects of sovereign rating events on bank stock prices," Journal of Banking & Finance, Elsevier, vol. 130(C).
    5. Rui Manuel Dias & Nuno Teixeira & Pedro Pardal & Teresa Godinho, 2023. "Volatility Transmission Between ASEAN-5 Stock Exchanges: An Approach in the Context of China's Stock Market Crash," International Journal of Corporate Finance and Accounting (IJCFA), IGI Global, vol. 10(1), pages 1-17, January.
    6. Hu, Haoshen & Prokop, Jörg & Shi, Yukun & Trautwein, Hans-Michael, 2020. "The rating spillover from banks to sovereigns: An empirical investigation across the European Union," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    7. Chen, Chih-Chun & Chen, Chun-Da & Lien, Donald, 2024. "Transmission process and determinants of sovereign credit contagions: Global evidence," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 552-567.
    8. Jones, Laurence & Alsakka, Rasha & ap Gwilym, Owain & Mantovan, Noemi, 2022. "Regulating rating agencies: A conservative behavioural change," Journal of Financial Stability, Elsevier, vol. 60(C).
    9. Abad, Pilar & Ferreras, Rodrigo & Robles, M.-Dolores, 2020. "Information opacity and corporate bond returns: The dynamics of split ratings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
    10. Ballester, Laura & González-Urteaga, Ana, 2021. "Do sovereign ratings cause instability in cross-border emerging CDS markets?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 643-663.
    11. Bernhard Bartels, 2019. "Why rating agencies disagree on sovereign ratings," Empirical Economics, Springer, vol. 57(5), pages 1677-1703, November.

  6. Pilar Abad & Helena Chulia, 2016. "European Government Bond Market Contagion in Turbulent Times," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(3), pages 263-276, June.

    Cited by:

    1. Jovan Njegic & Milica Stankovic & Dejan Živkov, 2019. "What Wavelet-Based Quantiles Can Suggest about the Stocks-Bond Interaction in the Emerging East Asian Economies?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(1), pages 95-119, February.
    2. Abad, Pilar & Alsakka, Rasha & ap Gwilym, Owain, 2018. "The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 40-57.

  7. Pilar Abad & Helena Chuliá & Marta Gómez†Puig, 2014. "Time†varying Integration in European Government Bond Markets," European Financial Management, European Financial Management Association, vol. 20(2), pages 270-290, March.

    Cited by:

    1. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," IREA Working Papers 201116, University of Barcelona, Research Institute of Applied Economics, revised Sep 2011.
    2. Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
    3. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    4. Posedel Šimović, Petra & Tkalec, Marina & Vizek, Maruška & Lee, Junsoo, 2016. "Time-varying integration of the sovereign bond markets in European post-transition economies," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 30-40.
    5. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).
    6. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2018. "Measuring financial interdependence in asset returns with an application to euro zone equities," CAMA Working Papers 2018-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Pilar Abad & Helena Chuliá, 2014. "“European government bond market integration in turbulent times”," IREA Working Papers 201424, University of Barcelona, Research Institute of Applied Economics, revised Oct 2014.
    8. Gupta, Priyanshi & Sehgal, Sanjay & Deisting, Florent, 2015. "Time-Varying Bond Market Integration in EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 30(4), pages 708-760.
    9. Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.
    10. Michał Fronc & Piotr Mielus, 2017. "Financial convergence on emerging markets: the case of CEE countries," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 149-172.
    11. Pilar Abad & Helena Chuliá, 2013. "“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”," IREA Working Papers 201325, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    12. Gilles Dufrénot & Fredj Jawadi & Zied Ftiti, 2022. "Sovereign bond market integration in the euro area: a new empirical conceptualization," Annals of Operations Research, Springer, vol. 318(1), pages 147-161, November.
    13. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
    14. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).

  8. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.

    Cited by:

    1. Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.
    2. Guneren Genc, Elif & Deniz Basar, Ozlem, 2019. "Comparison of Country Ratings of Credit Rating Agencies with MOORA Method," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 10(2), pages 391-404, April.
    3. Lu Wei & Chen Han & Yinhong Yao, 2022. "The Bias Analysis of Oil and Gas Companies’ Credit Ratings Based on Textual Risk Disclosures," Energies, MDPI, vol. 15(7), pages 1-12, March.
    4. Aman, Hiroyuki & Moriyasu, Hiroshi, 2017. "Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 660-676.
    5. Abad, P. & Ferreras, R. & Robles, M.D., 2020. "Intra-industry transfer effects of credit risk news: Rated versus unrated rivals," The British Accounting Review, Elsevier, vol. 52(1).
    6. López-Penabad, Mª Celia & López-Andión, Carmen & Iglesias-Casal, Ana & Maside-Sanfiz, Jose Manuel, 2015. "Securitization in Spain and the wealth effect for shareholders," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 308-323.
    7. Lu, Yang-Cheng & Wei, Yu-Chen & Chang, Tsang-Yao, 2015. "The effects and applicability of financial media reports on corporate default ratings," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 69-87.

  9. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.

    Cited by:

    1. Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.
    2. Mateusz Buczynski & Marcin Chlebus, 2024. "GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 1949-1979, May.
    3. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
    4. Wilson Calmon & Eduardo Ferioli & Davi Lettieri & Johann Soares & Adrian Pizzinga, 2021. "An Extensive Comparison of Some Well‐Established Value at Risk Methods," International Statistical Review, International Statistical Institute, vol. 89(1), pages 148-166, April.
    5. Aleksander Schiffers & Marcin Chlebus, 2021. "The effectiveness of Value-at-Risk models in various volatility regimes," Working Papers 2021-28, Faculty of Economic Sciences, University of Warsaw.
    6. Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
    7. Sonia Benito & Carmen López-Martín & Mª Ángeles Navarro, 2023. "Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-31, March.
    8. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.

  10. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010. "EMU and European government bond market integration," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2851-2860, December.
    See citations under working paper version above.
  11. Pilar Abad & Sonia Benito, 2009. "Accurate Of Var Calculated Using Empirical Models Of The Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 811-832.

    Cited by:

    1. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    2. Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).

  12. Pilar Abad-Romero & M. Robles-Fernández, 2007. "Bond rating changes and stock returns: evidence from the Spanish stock market," Spanish Economic Review, Springer;Spanish Economic Association, vol. 9(2), pages 79-103, June.

    Cited by:

    1. María Concepción Verona Martel & José Juan Déniz Mayor, 2011. "Las agencias de rating y la crisis fi nanciera de 2008: ¿El fi n de un poder sin control?," Revista Criterio Libre, Universidad Libre - Sede Principal, June.
    2. Peña Cerezo, Miguel Ángel & Rodríguez Castellanos, Arturo & Ibáñez Hernández, Francisco Jaime, 2015. "Does rating shopping exist in spanish securitization issues?," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    3. Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.
    4. Paula Hill & Robert Faff, 2010. "The Market Impact of Relative Agency Activity in the Sovereign Ratings Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1309-1347, November.
    5. Pilar Abad Romero & María Dolores Robles Fernández, 2012. "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE 2012-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    6. Pilar Abad & M. Dolores Robles, 2015. "The Risk–Return Binomial After Rating Changes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 44(2), pages 249-274, July.
    7. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
    8. Rosemarie Bröker Bone & Eduardo P Ribeiro, 2013. "Informational content of corporate ratings in a developing country: the case of Brazilian firms," Economics Bulletin, AccessEcon, vol. 33(1), pages 35-45.
    9. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
    10. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    11. Matthies, Alexander B., 2013. "Empirical research on corporate credit-ratings: A literature review," SFB 649 Discussion Papers 2013-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.

  13. Abad, Pilar & Novales, Alfonso, 2005. "An error correction factor model of term structure slopes in international swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 229-254, July.

    Cited by:

    1. Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009. "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (6) 2003-10-28 2003-10-28 2003-10-28 2003-12-07 2012-07-23 2014-08-20. Author is listed
  2. NEP-EEC: European Economics (4) 2009-09-11 2013-12-29 2014-10-13 2014-11-12
  3. NEP-FIN: Finance (2) 2003-10-28 2003-10-28
  4. NEP-MAC: Macroeconomics (2) 2009-09-11 2013-12-29
  5. NEP-MON: Monetary Economics (2) 2009-09-11 2013-12-29
  6. NEP-BAN: Banking (1) 2012-07-23
  7. NEP-CBA: Central Banking (1) 2013-12-29
  8. NEP-DCM: Discrete Choice Models (1) 2014-08-20
  9. NEP-ETS: Econometric Time Series (1) 2003-10-28
  10. NEP-FMK: Financial Markets (1) 2013-12-29
  11. NEP-MST: Market Microstructure (1) 2011-12-13

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