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

6

DOWNLOADS

878

SSRN CITATIONS
Rank 23,911

SSRN RANKINGS

Top 23,911

in Total Papers Citations

1

CROSSREF CITATIONS

51

Scholarly Papers (6)

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 438 (125,516)
Citation 1

Abstract:

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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 179 (312,198)

Abstract:

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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 157 (349,593)
Citation 47

Abstract:

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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 104 (479,612)

Abstract:

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

5.

Smiles, Bid-Ask Spread and Option Pricing

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

Abstract:

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

6.

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

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