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Details about Pilar Abad

Homepage:http://webs.uvigo.es/pabad
Postal address:Paseo de Artilleros s/n 28032 Madrid
Workplace:Departamento de Fundamentos del Analisis Económico (Department of Fundamentals of Economic Analysis), Universidad Rey Juan Carlos (King Juan Carlos University), (more information at EDIRC)

Access statistics for papers by Pilar Abad.

Last updated 2015-06-28. Update your information in the RePEc Author Service.

Short-id: pab62


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Working Papers

2014

  1. European government bond market integration in turbulent times
    Working Papers, Universitat de Barcelona, UB Riskcenter Downloads View citations (2)
    Also in IREA Working Papers, University of Barcelona, Research Institute of Applied Economics (2014) Downloads View citations (2)
  2. The Risk-Return binomial after rating changes
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2013

  1. Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  2. European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics Downloads View citations (5)

2012

  1. Credit rating agencies and unsystematic risk: Is there a linkage?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)

2011

  1. Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    See also Journal Article in International Journal of Monetary Economics and Finance (2012)
  2. Determinants of trading activity after rating actions in the Corporate Debt Market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)

2009

  1. EMU and European government bond market integration
    Working Paper Series, European Central Bank Downloads View citations (17)
    See also Journal Article in Journal of Banking & Finance (2010)

2006

  1. Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2005

  1. Using The Nelson and Siegel Model of The term Structure in Value at Risk Estimation
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2003

  1. Contenido informativo de los cambios de Rating en el mercado de Valores Español
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2002

  1. An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2005)
  2. Risk Premia in the Term Structure of Swaps in Pesetas
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
  3. The Forecasting Ability of Factor Models of the Term Structure of IRS Markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  4. Volatility Transmission acros the Term Structure of Swap Markets: International Evidence
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Applied Financial Economics (2004)

Journal Articles

2016

  1. European Government Bond Market Contagion in Turbulent Times
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (3), 263-276 Downloads

2014

  1. Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market
    International Review of Economics & Finance, 2014, 33, (C), 152-171 Downloads View citations (2)

2013

  1. A detailed comparison of value at risk estimates
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 258-276 Downloads View citations (6)

2012

  1. Credit rating announcements, trading activity and yield spreads: the Spanish evidence
    International Journal of Monetary Economics and Finance, 2012, 5, (1), 38-63 Downloads View citations (2)
    See also Working Paper (2011)

2010

  1. EMU and European government bond market integration
    Journal of Banking & Finance, 2010, 34, (12), 2851-2860 Downloads View citations (36)
    See also Working Paper (2009)

2009

  1. ACCURATE OF VAR CALCULATED USING EMPIRICAL MODELS OF THE TERM STRUCTURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (06), 811-832 Downloads View citations (1)

2007

  1. Bond rating changes and stock returns: evidence from the Spanish stock market
    Spanish Economic Review, 2007, 9, (2), 79-103 Downloads View citations (8)

2006

  1. Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock Market
    Journal of Business Finance & Accounting, 2006, 33, (5-6), 885-908 Downloads View citations (13)
  2. Social preferences measures and the quality of the job match for persons with disabilities
    Hacienda Pública Española, 2006, 179, (4), 113-134 Downloads

2005

  1. An error correction factor model of term structure slopes in international swap markets
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (3), 229-254 Downloads View citations (1)
    See also Working Paper (2002)

2004

  1. Volatility transmission across the term structure of swap markets: international evidence
    Applied Financial Economics, 2004, 14, (14), 1045-1058 Downloads View citations (5)
    See also Working Paper (2002)

2002

  1. Características socioeconómicas y estructura de los hogares de las personas mayores en España
    Hacienda Pública Española, 2002, 161, (2), 49-68 Downloads
 
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