Publications by the researcher in collaboration with Gregorio Manuel Serna Calvo (3)

2005

  1. Autoregresive conditional volatility, skewness and kurtosis

    Quarterly Review of Economics and Finance, Vol. 45, Núm. 4-5, pp. 599-618

2001

  1. Smiles, bid-ask spreads and option pricing

    European Financial Management, Vol. 7, Núm. 3, pp. 351-374

1999

  1. Why do we smile? on the determinants of the implied volatility function

    Journal of Banking and Finance, Vol. 23, Núm. 8, pp. 1151-1179