Gonzalo Rubio

University of the Basque Country - Department of Foundations of Economic Analysis I

Avda. Lehendakari Aguirre 83

Bilbao, Vizcaya 48015 48015

Spain

SCHOLARLY PAPERS

7

DOWNLOADS

788

SSRN CITATIONS
Rank 20,052

SSRN RANKINGS

Top 20,052

in Total Papers Citations

1

CROSSREF CITATIONS

51

Scholarly Papers (7)

1.

A Semiparametric Estimation of Liquidity Effects on Option Pricing

Biltoki Working Paper No. 08, 1999
Number of pages: 48 Posted: 10 Oct 2000
Eva Ferreira, Mónica Gago and Gonzalo Rubio
University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics), Mondragon University - Ciencias Empresariales and University of the Basque Country - Department of Foundations of Economic Analysis I
Downloads 416 (87,893)
Citation 1

Abstract:

Loading...

Multivariate Kernel and SNN Regressions, Volatility Smile, Option Pricing

2.

Portfolio Choice and the Effects of Liquidity

Number of pages: 23 Posted: 26 Jul 2007
Ana Gonzalez and Gonzalo Rubio
University of the Basque Country and University of the Basque Country - Department of Foundations of Economic Analysis I
Downloads 154 (236,745)

Abstract:

Loading...

Liquidity, mean-variance frontiers, performance, portfolio selection

3.

Option-Implied Preferences Adjustments, Density Forecasts, and the Equity Risk Premium

Banco de Espana Research Paper No. WP-0630
Number of pages: 44 Posted: 30 Nov 2006
Francisco Alonso, Roberto Blanco and Gonzalo Rubio
Banco de España, Banco de España and University of the Basque Country - Department of Foundations of Economic Analysis I
Downloads 131 (269,185)
Citation 47

Abstract:

Loading...

risk-adjustments, option-implied densities, forecasting performance, equity-risk premium

4.

Measuring Time-Varying Economic Fears with Consumption-Based Stochastic Discount Factors

Number of pages: 38 Posted: 26 Jul 2007
Belen Nieto and Gonzalo Rubio
University of Alicante and University of the Basque Country - Department of Foundations of Economic Analysis I
Downloads 78 (379,467)

Abstract:

Loading...

Stochastic discount factor, economic fears, distance between probability measures, volatility of stochastic discount factor, consumption

5.

Economic Sentiment and Yield Spreads in Europe

European Financial Management, Vol. 14, Issue 2, pp. 206-221, March 2008
Number of pages: 16 Posted: 12 Mar 2008
University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics), University of Murcia, University of Castilla-La Mancha and University of the Basque Country - Department of Foundations of Economic Analysis I
Downloads 9 (718,355)
  • Add to Cart

Abstract:

Loading...

6.

Smiles, Bid-Ask Spread and Option Pricing

Posted: 22 Aug 2000
Juan Ignacio Peña, Gonzalo Rubio and Gregorio Serna
Universidad Carlos III de Madrid - Department of Business Administration, University of the Basque Country - Department of Foundations of Economic Analysis I and Universidad Carlos III de Madrid - Department of Business Administration

Abstract:

Loading...

Smiles, Bid-Ask Spread, Implied Volatility Function, Option Pricing

7.

Adverse Selection, Volume, and Transactions Around Dividend Announcements in a Continuous Auction System

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996
Posted: 29 Jun 1998
Gonzalo Rubio and Mikel Tapia
University of the Basque Country - Department of Foundations of Economic Analysis I and University of the Basque Country

Abstract:

Loading...