Publications in collaboration with researchers from Universitat d'Alacant (4)

2007

  1. The relationship between risk and expected return in Europe

    Journal of Banking and Finance, Vol. 31, Núm. 2, pp. 495-512

2005

  1. Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market

    International Review of Economics and Finance, Vol. 14, Núm. 1, pp. 81-103

  2. Autoregresive conditional volatility, skewness and kurtosis

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

2002

  1. Estimation and empirical performance of Heston's stochastic volatility model: The case of a thinly traded market

    Journal of Empirical Finance, Vol. 9, Núm. 2, pp. 225-255