Details about Juan Angel Lafuente

Access statistics for papers by Juan Angel Lafuente.

Last updated 2009-11-06. Update your information in the RePEc Author Service.

Short-id: pla141

Working Papers

2007

1. THE EFFECT OF THE EMU ON SHORT AND LONG-RUN STOCK MARKET DYNAMICS: NEW EVIDENCE ON FINANCIAL INTEGRATION
   Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

2006

2. NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE
   Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations

2004

3. INTRODUCING THE MINI-FUTURES CONTRACT ON IBEX-35: IMPLICATIONS FOR PRICE DISCOVERY AND VOLATILITY TRANSMISSION
   Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
   See also Journal Article in Spanish Economic Review (2008)

2003

4. THE EFFECT OF FUTURES TRADING ACTIVITY ON THE DISTRIBUTION OF SPOT MARKET RETURNS
   Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

2002

5. Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market
   Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
   See also Journal Article in Journal of Banking & Finance (2003)
6. THE BIAS FOR FORWARD EXCHANGE RATE AND THE RISK PREMIUM: AN EXPLANATION WITH A STOCHASTIC AND DYNAMIC GENERAL EQUILIBRIUM MODEL
   Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
7. The New Market Effect on Return and Volatility of Spanish Sector Indexes
   Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
8. Time-Varying forward Bias and the Volatility of Risk Premium: a Monetary Explanation
   Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Journal Articles

2008

1. Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission
   Spanish Economic Review, 2008, 10, (3), 197-219
   See also Working Paper (2004)

2006

2. Monetary policy and forward bias for foreign exchange revisited: Empirical evidence from the US-UK exchange rate
   Economic Modelling, 2006, 23, (2), 238-264

2004

3. International transmission of stock exchange volatility: Empirical evidence from the Asian crisis
   Global Finance Journal, 2004, 15, (2), 125-137 View citations
4. The New Market effect on return and volatility of Spanish stock indexes
   Applied Financial Economics, 2004, 14, (18), 1343-1350

2003

5. Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market
   Journal of Banking & Finance, 2003, 27, (6), 1053-1078 View citations
   See also Working Paper (2002)

2002

6. Intraday return and volatility relationships between the Ibex 35 spot and futures markets
   Spanish Economic Review, 2002, 4, (3), 201-220