Details about Pilar Abad

Access statistics for papers by Pilar Abad.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pab62

Working Papers

2014

1. European government bond market integration in turbulent times
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (5)
   Also in Working Papers, Universitat de Barcelona, UB Riskcenter (2014) View citations (8)
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
   See also Journal Article The Risk–Return Binomial After Rating Changes, Economic Notes, Banca Monte dei Paschi di Siena SpA (2015) (2015)

2013

3. 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
4. European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (6)

2012

5. 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

2011

6. 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
7. 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

2009

8. EMU and European government bond market integration
   Working Paper Series, European Central Bank View citations (20)
   See also Journal Article EMU and European government bond market integration, Journal of Banking & Finance, Elsevier (2010) View citations (64) (2010)

2006

9. 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

2005

10. 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

2003

11. 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

2002

12. 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
13. 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
14. 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
15. 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
    See also Journal Article Volatility transmission across the term structure of swap markets: international evidence, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (7) (2004)

Journal Articles

2020

1. A University Training Programme for Acquiring Entrepreneurial and Transversal Employability Skills, a Students’ Assessment
   Sustainability, 2020, 12, (3), 1-17 View citations (6)
2. Does the Single Supervisory Mechanism Reduce Overall Risk in the European Stock Market?
   Global Policy, 2020, 11, (S1), 39-51 View citations (6)
3. Intra-industry transfer effects of credit risk news: Rated versus unrated rivals
   The British Accounting Review, 2020, 52, (1) View citations (3)

2019

4. Informational role of rating revisions after reputational events and regulation reforms
   International Review of Financial Analysis, 2019, 62, (C), 91-103 View citations (5)

2018

5. The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions
   Journal of International Money and Finance, 2018, 85, (C), 40-57 View citations (11)

2016

6. European Government Bond Market Contagion in Turbulent Times
   Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (3), 263-276 View citations (2)

2015

7. The Risk–Return Binomial After Rating Changes
   Economic Notes, 2015, 44, (2), 249-274
   See also Working Paper The Risk-Return binomial after rating changes, Documentos de Trabajo del ICAE (2014) (2014)

2014

8. 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 View citations (8)
9. Time†varying Integration in European Government Bond Markets
   European Financial Management, 2014, 20, (2), 270-290 View citations (16)

2013

10. A detailed comparison of value at risk estimates
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 258-276 View citations (14)

2010

11. EMU and European government bond market integration
    Journal of Banking & Finance, 2010, 34, (12), 2851-2860 View citations (64)
    See also Working Paper EMU and European government bond market integration, Working Paper Series (2009) View citations (20) (2009)

2009

12. ACCURATE OF VAR CALCULATED USING EMPIRICAL MODELS OF THE TERM STRUCTURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (06), 811-832 View citations (2)

2007

13. Bond rating changes and stock returns: evidence from the Spanish stock market
    Spanish Economic Review, 2007, 9, (2), 79-103 View citations (13)

2006

14. Social preferences measures and the quality of the job match for persons with disabilities
    Hacienda Pública Española / Review of Public Economics, 2006, 179, (4), 113-134

2005

15. 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 View citations (1)

2004

16. Volatility transmission across the term structure of swap markets: international evidence
    Applied Financial Economics, 2004, 14, (14), 1045-1058 View citations (7)
    See also Working Paper Volatility Transmission acros the Term Structure of Swap Markets: International Evidence, Documentos de Trabajo del ICAE (2002) (2002)

2002

17. Características socioeconómicas y estructura de los hogares de las personas mayores en España
    Hacienda Pública Española / Review of Public Economics, 2002, 161, (2), 49-68

Chapters

2014

1. The Effects of Macroeconomic News Announcements during the Global Financial Crisis
   A chapter in Risk Management Post Financial Crisis: A Period of Monetary Easing, 2014, vol. 96, pp 41-56