Details about Pedro Gurrola Perez

Access statistics for papers by Pedro Gurrola Perez.

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

Short-id: pgu582

Working Papers

2019

1. Securities settlement fails network and buy‑in strategies
   Bank of England working papers, Bank of England

2017

2. The economics of distributed ledger technology for securities settlement
   Bank of England working papers, Bank of England View citations (26)
3. The impact of de-tiering in the United Kingdom’s large-value payment system
   Bank of England working papers, Bank of England View citations (3)

2015

4. Filtered historical simulation Value-at-Risk models and their competitors
   Bank of England working papers, Bank of England View citations (16)

Journal Articles

2021

1. Volatility patterns of short-term interest rate futures
   The European Journal of Finance, 2021, 27, (16), 1604-1625

2012

2. Monetary Policy Announcements and Short-Term Interest Rate Futures Volatility: Evidence from the M exican Market
   International Finance, 2012, 15, (2), 225-250 View citations (2)

2011

3. Maturity effects in the Mexican interest rate futures market
   Journal of Futures Markets, 2011, 31, (4), 371-393 View citations (7)