Details about Francisco Jareño

Access statistics for papers by Francisco Jareño.

Last updated 2022-07-02. Update your information in the RePEc Author Service.

Short-id: pja531

Working Papers

2018

1. Zero-coupon interest rates: Evaluating three alternative datasets
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel)

Journal Articles

2022

1. Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era
   Applied Economics, 2022, 54, (9), 1030-1054 View citations (12)
2. Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic
   The North American Journal of Economics and Finance, 2022, 61, (C) View citations (23)
3. Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds
   International Journal of Finance & Economics, 2022, 27, (2), 2124-2145

2021

4. Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness
   Resources Policy, 2021, 73, (C) View citations (37)
5. Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis
   International Review of Financial Analysis, 2021, 76, (C) View citations (33)
6. Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
   Resources Policy, 2021, 74, (C) View citations (36)
7. Oil price shocks and the return and volatility spillover between industrial and precious metals
   Energy Economics, 2021, 99, (C) View citations (40)
8. Static and dynamic connectedness between oil price shocks and Spanish equities: a sector analysis
   The European Journal of Finance, 2021, 27, (9), 880-896 View citations (13)
9. The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies
   Technological Forecasting and Social Change, 2021, 172, (C) View citations (33)

2020

10. Bitcoin and gold price returns: A quantile regression and NARDL analysis
    Resources Policy, 2020, 67, (C) View citations (64)
11. Extension of the Fama and French model: A study of the largest European financial institutions
    International Economics, 2020, 164, (C), 115-139 View citations (1)
12. Interest rate exposure of European insurers
    International Journal of the Economics of Business, 2020, 27, (2), 255-268 View citations (4)
13. Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case
    Mathematics, 2020, 9, (1), 1-21
14. Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns
    Mathematics, 2020, 8, (5), 1-22 View citations (10)
15. Volatility Timing: Pricing Barrier Options on DAX XETRA Index
    Mathematics, 2020, 8, (5), 1-25
16. Yield curves from different bond data sets
    Review of Derivatives Research, 2020, 23, (2), 191-226 View citations (1)

2019

17. MACROECONOMIC VARIABLES AND STOCK MARKETS: AN INTERNATIONAL STUDY
    Applied Econometrics and International Development, 2019, 19, (1), 43-54 View citations (1)
18. Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets
    Sustainability, 2019, 11, (17), 1-23 View citations (3)
19. Testing extensions of Fama & French models: A quantile regression approach
    The Quarterly Review of Economics and Finance, 2019, 71, (C), 188-204 View citations (5)

2018

20. Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states
    Applied Economics, 2018, 50, (42), 4500-4521 View citations (21)
21. Interest Rate Sensitivity of Spanish Companies. An Extension of the Fama-French Five-Factor Model
    Acta Oeconomica, 2018, 68, (4), 617-638 View citations (6)
22. THE EFFECT OF BANK RESTRUCTURING ON THE ISSUANCE OF PREFERRED SHARES IN SPAIN
    Revista Galega de Economía, 2018, 27, (1), 123-144
23. THE US STOCK MARKET AT SECTOR LEVEL: INFLATION NEWS, 1990-2013
    Applied Econometrics and International Development, 2018, 18, (1), 73-86
24. The Relevance of the Market and News Direction When Analyzing the Inflation News Impact on the US Stock Market
    International Journal of Economics and Financial Issues, 2018, 8, (2), 113-127 View citations (1)
25. The impact of international factors on Spanish company returns: a quantile regression approach
    Risk Management, 2018, 20, (1), 51-76 View citations (15)
26. Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices
    Energy Economics, 2018, 76, (C), 1-20 View citations (302)

2017

27. Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach
    Manchester School, 2017, 85, (2), 212-242 View citations (16)
28. Main driving factors of the interest rate-stock market Granger causality
    International Review of Financial Analysis, 2017, 52, (C), 260-280 View citations (32)
29. THE FINANCIAL CRISIS IMPACT: AN INDUSTRY LEVEL ANALYSIS OF THE US STOCK MARKET GONZÁLEZ
    Applied Econometrics and International Development, 2017, 17, (2), 61-74 View citations (4)
30. The Impact of Relevant International Factors on the Returns of IBEX 35 Companies, 2000-2016
    Applied Econometrics and International Development, 2017, 17, (1), 37-56 View citations (1)
31. Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
    International Review of Economics & Finance, 2017, 49, (C), 453-483 View citations (61)

2016

32. A Straightforward Analysis of Sector Portfolios in the US Stock Market
    Applied Econometrics and International Development, 2016, 16, (1), 105-114 View citations (2)
33. European Inflation and the Spanish Stock Market
    European Review, 2016, 24, (4), 609-630
34. Interest Rate Risk Analysis with Multifactor Model: The US case
    Journal for Economic Forecasting, 2016, (1), 14-22 View citations (5)
35. US stock market sensitivity to interest and inflation rates: a quantile regression approach
    Applied Economics, 2016, 48, (26), 2469-2481 View citations (28)

2014

36. FINANCIAL ANALYSIS OF THE MAIN HOTEL CHAINS OF THE SPANISH TOURISM SECTOR
    Regional and Sectoral Economic Studies, 2014, 14, (2)
37. FOREIGN DIRECT INVESTMENT BY SPAIN IN LATIN AMERICA: BRAZIL, ARGENTINA AND MEXICO
    Applied Econometrics and International Development, 2014, 14, (2) View citations (1)

2013

38. Inflation news and stock returns: market direction and flow-through ability
    Empirical Economics, 2013, 44, (2), 775-798

2012

39. The Fisher Effect in the Spanish Case: A Preliminary Study
    Asian Economic and Financial Review, 2012, 2, (7), 841-857

2010

40. Stock interest rate risk and inflation shocks
    European Journal of Operational Research, 2010, 201, (2), 337-348 View citations (7)
41. Term structure of volatilities and yield curve estimation methodology
    Quantitative Finance, 2010, 11, (4), 573-586

2009

42. Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case
    Research in International Business and Finance, 2009, 23, (3), 349-368 View citations (2)

2008

43. Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model
    Applied Economics, 2008, 40, (24), 3159-3171 View citations (16)

2006

44. Sensibilidad de los rendimientos sectoriales a tipos de interés reales e inflación
    Investigaciones Economicas, 2006, 30, (3), 577-610 View citations (2)

2005

45. Flow-through capability: The Spanish case
    Journal of Asset Management, 2005, 6, (3), 191-205 View citations (6)