EconPapers    
Economics at your fingertips  
 

Details about Juan Angel Lafuente

Homepage:http://www3.uji.es/~lafuen/
Workplace:Departamento de Finanzas y Contabilidad (Department of Finance and Accounting), Universitat Jaume I (Jaume I University), (more information at EDIRC)

Access statistics for papers by Juan Angel Lafuente.

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

Short-id: pla141


Jump to Journal Articles

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) Downloads View citations (9)
    See also Journal Article in Sustainability (2020)

2018

  1. 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 Downloads

2017

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

2014

  1. 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 Downloads
    See also Journal Article in Journal of Multinational Financial Management (2015)

2012

  1. 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 Downloads
    See also Journal Article in Journal of Economics and Business (2016)

2011

  1. 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 Downloads View citations (1)

2007

  1. 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) Downloads View citations (1)
    See also Journal Article in International Journal of Financial Markets and Derivatives (2009)

2006

  1. 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) Downloads View citations (10)
    See also Journal Article in Journal of Futures Markets (2006)

2004

  1. 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) Downloads
    See also Journal Article in Spanish Economic Review (2008)

2003

  1. 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) Downloads View citations (5)

2002

  1. 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 Downloads
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2000) Downloads

    See also Journal Article in Journal of Banking & Finance (2003)
  2. 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) Downloads
  3. 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 Downloads
  4. 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 Downloads

2000

  1. 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 Downloads

Journal Articles

2020

  1. Dissecting interbank risk using basis swap spreads
    The World Economy, 2020, 43, (3), 729-757 Downloads
  2. Social Exclusion and Convergence in the EU: An Assessment of the Europe 2020 Strategy
    Sustainability, 2020, 12, (5), 1-22 Downloads View citations (11)
    See also Working Paper (2020)

2019

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

2018

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

2016

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

2015

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

2013

  1. The impact of distressed economies on the EU sovereign market
    Journal of Banking & Finance, 2013, 37, (7), 2520-2532 Downloads View citations (25)

2009

  1. Liquidity and hedging effectiveness under futures mispricing: International evidence
    Journal of Futures Markets, 2009, 29, (11), 1050-1066 Downloads View citations (5)
  2. 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 Downloads View citations (1)
    See also Working Paper (2007)

2008

  1. Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission
    Spanish Economic Review, 2008, 10, (3), 197-219 Downloads View citations (2)
    See also Working Paper (2004)

2007

  1. 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 Downloads View citations (4)

2006

  1. Monetary policy and forward bias for foreign exchange revisited: Empirical evidence from the US-UK exchange rate
    Economic Modelling, 2006, 23, (2), 238-264 Downloads View citations (3)
  2. 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 Downloads View citations (7)
    See also Working Paper (2006)

2004

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

2003

  1. 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 Downloads View citations (17)
    See also Working Paper (2002)
  2. The effect of spot and futures trading on stock index market volatility: A nonparametric approach
    Journal of Futures Markets, 2003, 23, (9), 841-858 Downloads View citations (14)

2002

  1. International stock market linkages: A factor analysis approach
    Journal of Asset Management, 2002, 3, (3), 253-265 Downloads View citations (6)
  2. Intraday return and volatility relationships between the Ibex 35 spot and futures markets
    Spanish Economic Review, 2002, 4, (3), 201-220 Downloads View citations (2)
 
Page updated 2023-01-30