Details about Helena Chuliá

Access statistics for papers by Helena Chuliá.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pch675

Working Papers

2024

1. Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics

2022

2. Daily Growth at Risk: financial or real drivers? The answer is not always the same
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
   See also Journal Article Daily growth at risk: Financial or real drivers? The answer is not always the same, International Journal of Forecasting, Elsevier (2024) (2024)
3. Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
   See also Journal Article Energy firms in emerging markets: Systemic risk and diversification opportunities, Emerging Markets Review, Elsevier (2023) View citations (4) (2023)
4. Monitoring daily unemployment at risk
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics

2021

5. Vulnerable Funding in the Global Economy
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
   See also Journal Article Vulnerable funding in the global economy, Journal of Banking & Finance, Elsevier (2024) (2024)

2019

6. Expected, Unexpected, Good and Bad Uncertainty
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
7. Uncovering the time-varying relationship between commonality in liquidity and volatility
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
   See also Journal Article Uncovering the time-varying relationship between commonality in liquidity and volatility, International Review of Financial Analysis, Elsevier (2020) View citations (6) (2020)

2018

8. Together forever? Good and bad market volatility shocks and international consumption risk sharing: A tale of a sign
   IREA Working Papers, University of Barcelona, Research Institute of Applied Economics

2016

9. Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach
   Working Papers, University of Pretoria, Department of Economics View citations (2)
   See also Journal Article Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (84) (2017)

2015

10. Measuaring Uncertainty in the Stock Market
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (1)
    See also Journal Article Measuring uncertainty in the stock market, International Review of Economics & Finance, Elsevier (2017) View citations (30) (2017)
11. Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions
    Working Papers, Universitat de Barcelona, UB Riskcenter View citations (2)
12. Spillovers From the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
    See also Journal Article Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis, Emerging Markets Review, Elsevier (2017) View citations (26) (2017)

2014

13. 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)
14. Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (1)

2013

15. 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)

2009

16. 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)

2007

17. The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (2)
18. VOLATILITY TRANSMISSION PATTERNS AND TERRORIST ATTACKS
    Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (2)
    See also Journal Article Volatility transmission patterns and terrorist attacks, Quantitative Finance, Taylor & Francis Journals (2009) View citations (16) (2009)

Journal Articles

2024

1. Daily growth at risk: Financial or real drivers? The answer is not always the same
   International Journal of Forecasting, 2024, 40, (2), 762-776
   See also Working Paper Daily Growth at Risk: financial or real drivers? The answer is not always the same, IREA Working Papers (2022) (2022)
2. Vulnerability of European electricity markets: A quantile connectedness approach
   Energy Policy, 2024, 184, (C) View citations (5)
3. Vulnerable funding in the global economy
   Journal of Banking & Finance, 2024, 169, (C)
   See also Working Paper Vulnerable Funding in the Global Economy, IREA Working Papers (2021) (2021)

2023

4. Energy firms in emerging markets: Systemic risk and diversification opportunities
   Emerging Markets Review, 2023, 56, (C) View citations (4)
   See also Working Paper Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities, IREA Working Papers (2022) (2022)
5. Expected, unexpected, good and bad aggregate uncertainty
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (2), 265-284 View citations (2)
6. Nonlinear market liquidity: An empirical examination
   International Review of Financial Analysis, 2023, 87, (C)
7. Systemic political risk
   Economic Modelling, 2023, 125, (C)

2021

8. Analyzing the Nonlinear Pricing of Liquidity Risk according to the Market State
   Finance Research Letters, 2021, 38, (C) View citations (2)
9. Asymmetric volatility spillovers and consumption risk-sharing
   Applied Economics, 2021, 53, (35), 4100-4117 View citations (2)

2020

10. Uncovering the time-varying relationship between commonality in liquidity and volatility
    International Review of Financial Analysis, 2020, 69, (C) View citations (6)
    See also Working Paper Uncovering the time-varying relationship between commonality in liquidity and volatility, IREA Working Papers (2019) (2019)

2019

11. Volatility Spillovers in Energy Markets
    The Energy Journal, 2019, 40, (3), 173-198 View citations (5)
    Also in The Energy Journal, 2019, Volume 40, (Number 3) (2019) View citations (27)

2018

12. Currency downside risk, liquidity, and financial stability
    Journal of International Money and Finance, 2018, 89, (C), 83-102 View citations (14)
13. Risk Synchronization in International Stock Markets
    Global Economic Review, 2018, 47, (2), 135-150 View citations (1)
14. Trends in the Quantiles of the Life Table Survivorship Function
    European Journal of Population, 2018, 34, (5), 793-817

2017

15. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 178-191 View citations (84)
    See also Working Paper Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach, Working Papers (2016) View citations (2) (2016)
16. Measuring uncertainty in the stock market
    International Review of Economics & Finance, 2017, 48, (C), 18-33 View citations (30)
    See also Working Paper Measuaring Uncertainty in the Stock Market, IREA Working Papers (2015) View citations (1) (2015)
17. Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis
    Emerging Markets Review, 2017, 31, (C), 32-46 View citations (26)
    See also Working Paper Spillovers From the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis, IREA Working Papers (2015) (2015)
18. Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?
    Journal of International Financial Markets, Institutions and Money, 2017, 50, (C), 52-68 View citations (4)

2016

19. 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)
20. MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE
    ASTIN Bulletin, 2016, 46, (1), 165-190 View citations (3)

2014

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

2012

22. Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain
    Energy Economics, 2012, 34, (6), 2058-2065 View citations (12)
23. Volatility Transmission and Correlation Analysis between the USA and Asia: The Impact of the Global Financial Crisis
    Global Economic Review, 2012, 41, (2), 111-129 View citations (3)

2011

24. Firm size and volatility analysis in the Spanish stock market
    The European Journal of Finance, 2011, 17, (8), 695-715 View citations (1)

2010

25. Análisis de volatilidad y correlación entre Estados Unidos y Asia
    Cuadernos de Economía - Spanish Journal of Economics and Finance, 2010, 33, (93), 35-56
26. Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
    Journal of Banking & Finance, 2010, 34, (4), 834-839 View citations (97)
27. 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

28. Volatility transmission patterns and terrorist attacks
    Quantitative Finance, 2009, 9, (5), 607-619 View citations (16)
    See also Working Paper VOLATILITY TRANSMISSION PATTERNS AND TERRORIST ATTACKS, Working Papers. Serie EC (2007) View citations (2) (2007)

2008

29. The economic value of volatility transmission between the stock and bond markets
    Journal of Futures Markets, 2008, 28, (11), 1066-1094 View citations (11)

2007

30. Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas cotizadas en la bolsa española
    Investigaciones Economicas, 2007, 31, (3), 445-474

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