Details about Juan Angel Lafuente

Access statistics for papers by Juan Angel Lafuente.

Last updated 2021-03-23. Update your information in the RePEc Author Service.

Short-id: pla141

Working Papers

2020

1. Social exclusion and convergence in the EU: An assessment of the Europe 2020 strategy
   Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) View citations (9)
   See also Journal Article Social Exclusion and Convergence in the EU: An Assessment of the Europe 2020 Strategy, Sustainability, MDPI (2020) View citations (12) (2020)

2018

2. Disentangling permanent and transitory monetary shocks with a non-linear Taylor rule
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

2017

3. Dissecting interbank risk
   DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

2014

4. On the compensation for illiquidity in sovereign credit markets
   DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
   See also Journal Article On the compensation for illiquidity in sovereign credit markets, Journal of Multinational Financial Management, Elsevier (2015) View citations (1) (2015)

2012

5. Monetary policy regimes and the forward bias for foreign exchange
   DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
   See also Journal Article Monetary policy regimes and the forward bias for foreign exchange, Journal of Economics and Business, Elsevier (2016) View citations (1) (2016)

2011

6. Estimating US persistent and transitory monetary shocks: implications for monetary policy
   DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (1)

2007

7. 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) View citations (1)
   See also Journal Article The effect of the EMU on short and long-run stock market dynamics: new evidence on financial integration, International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd (2009) View citations (2) (2009)

2006

8. 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 (13)
   See also Journal Article New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange, Journal of Futures Markets, John Wiley & Sons, Ltd. (2006) View citations (8) (2006)

2004

9. 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 Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission, Spanish Economic Review, Springer (2008) View citations (2) (2008)

2003

10. 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) View citations (5)

2002

11. Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2000)
    See also Journal Article Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market, Journal of Banking & Finance, Elsevier (2003) View citations (17) (2003)
12. 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)
13. The New Market Effect on Return and Volatility of Spanish Sector Indexes
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
14. Time-Varying forward Bias and the Volatility of Risk Premium: a Monetary Explanation
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

2000

15. Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Journal Articles

2020

1. Dissecting interbank risk using basis swap spreads
   The World Economy, 2020, 43, (3), 729-757 View citations (1)
2. Social Exclusion and Convergence in the EU: An Assessment of the Europe 2020 Strategy
   Sustainability, 2020, 12, (5), 1-22 View citations (12)
   See also Working Paper Social exclusion and convergence in the EU: An assessment of the Europe 2020 strategy, Working Papers (2020) View citations (9) (2020)

2019

3. Pricing factors in multiple-term structures from interbank rates
   Journal of International Money and Finance, 2019, 91, (C), 138-159

2018

4. Forecasting multiple-term structures from interbank rates
   International Review of Financial Analysis, 2018, 57, (C), 40-56

2016

5. Monetary policy regimes and the forward bias for foreign exchange
   Journal of Economics and Business, 2016, 85, (C), 13-28 View citations (1)
   See also Working Paper Monetary policy regimes and the forward bias for foreign exchange, DEE - Working Papers. Business Economics. WB (2012) (2012)

2015

6. On the compensation for illiquidity in sovereign credit markets
   Journal of Multinational Financial Management, 2015, 30, (C), 83-100 View citations (1)
   See also Working Paper On the compensation for illiquidity in sovereign credit markets, DEE - Working Papers. Business Economics. WB (2014) (2014)

2013

7. The impact of distressed economies on the EU sovereign market
   Journal of Banking & Finance, 2013, 37, (7), 2520-2532 View citations (30)

2009

8. Liquidity and hedging effectiveness under futures mispricing: International evidence
   Journal of Futures Markets, 2009, 29, (11), 1050-1066 View citations (5)
9. The effect of the EMU on short and long-run stock market dynamics: new evidence on financial integration
   International Journal of Financial Markets and Derivatives, 2009, 1, (1), 75-95 View citations (2)
   See also Working Paper THE EFFECT OF THE EMU ON SHORT AND LONG-RUN STOCK MARKET DYNAMICS: NEW EVIDENCE ON FINANCIAL INTEGRATION, Working Papers. Serie EC (2007) View citations (1) (2007)

2008

10. Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission
    Spanish Economic Review, 2008, 10, (3), 197-219 View citations (2)
    See also Working Paper INTRODUCING THE MINI-FUTURES CONTRACT ON IBEX-35: IMPLICATIONS FOR PRICE DISCOVERY AND VOLATILITY TRANSMISSION, Working Papers. Serie EC (2004) (2004)

2007

11. The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market
    Journal of Futures Markets, 2007, 27, (9), 839-866 View citations (4)

2006

12. Monetary policy and forward bias for foreign exchange revisited: Empirical evidence from the US-UK exchange rate
    Economic Modelling, 2006, 23, (2), 238-264 View citations (3)
13. New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange
    Journal of Futures Markets, 2006, 26, (9), 923-938 View citations (8)
    See also Working Paper NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE, Working Papers. Serie EC (2006) View citations (13) (2006)

2004

14. International transmission of stock exchange volatility: Empirical evidence from the Asian crisis
    Global Finance Journal, 2004, 15, (2), 125-137 View citations (30)
15. The New Market effect on return and volatility of Spanish stock indexes
    Applied Financial Economics, 2004, 14, (18), 1343-1350

2003

16. 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 (17)
    See also Working Paper Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market, Documentos de Trabajo del ICAE (2002) (2002)
17. The effect of spot and futures trading on stock index market volatility: A nonparametric approach
    Journal of Futures Markets, 2003, 23, (9), 841-858 View citations (14)

2002

18. International stock market linkages: A factor analysis approach
    Journal of Asset Management, 2002, 3, (3), 253-265 View citations (8)
19. Intraday return and volatility relationships between the Ibex 35 spot and futures markets
    Spanish Economic Review, 2002, 4, (3), 201-220 View citations (2)