Maria T. Gonzalez-Perez

Bank of Spain

Calle Alcala, 48

Madrid, 28014

Spain

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 31,070

SSRN RANKINGS

Top 31,070

in Total Papers Downloads

3,108

SSRN CITATIONS
Rank 14,157

SSRN RANKINGS

Top 14,157

in Total Papers Citations

93

CROSSREF CITATIONS

14

Scholarly Papers (15)

1.

Exploring Return Dynamics via Corridor Implied Volatility

Review of Financial Studies, Vol. 28 (10), pp. 2902-2945, 2015
Number of pages: 37 Posted: 21 Mar 2011 Last Revised: 10 Oct 2015
Torben G. Andersen, Oleg Bondarenko and Maria T. Gonzalez-Perez
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance and Bank of Spain
Downloads 1,033 (41,621)
Citation 54

Abstract:

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VIX, Model-Free Implied Volatility, Corridor Implied Volatility, Time Series Coherence

2.

Day of the Week Effect on VIX: A Parsimonious Representation

Number of pages: 21 Posted: 03 Mar 2012 Last Revised: 13 Apr 2012
Maria T. Gonzalez-Perez and David E. Guerrero
Bank of Spain and Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 441 (124,801)
Citation 2

Abstract:

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volatility index, returns, Box-Cox transformation, seasonality, leverage effect

3.

Model-Free Volatility Indexes in the Financial Literature: A Review

International Review of Economics & Finance, Forthcoming
Number of pages: 45 Posted: 29 Sep 2013
Maria T. Gonzalez-Perez
Bank of Spain
Downloads 382 (147,091)
Citation 6

Abstract:

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olatility indices, leverage effect, forecast volatility, variance risk premium, volatility derivatives, market risk

4.

How Do Central Banks Identify Risks? A Survey of Indicators

Banco de Espana Occasional Paper No. 2125
Number of pages: 56 Posted: 06 Oct 2021
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Downloads 242 (236,929)
Citation 1

Abstract:

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risk identification, systemic risk, systemic risk indicators, standard risk indicators, financial stability

5.

Market Microstructure Factors in the Determination of Oil Prices

Banco de Espana Article 21/20
Number of pages: 13 Posted: 21 Jul 2020
Carlos G. Pedraz and Maria T. Gonzalez-Perez
Banco de España and Bank of Spain
Downloads 152 (359,855)

Abstract:

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oil prices, COVID-19, volatility, ETFs, futures, spot prices

6.

The Effects of Information Differences Among Investors on the Role of Earnings Quality in Facilitating Corporate Investment

Number of pages: 54 Posted: 26 Jun 2015
Juana Aledo Martinez, Juan M. García Lara and Maria T. Gonzalez-Perez
Charles III University of Madrid - Department of Business Administration, Universidad Carlos III de Madrid and Bank of Spain
Downloads 147 (369,766)

Abstract:

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Earnings quality, Information asymmetry, Probability of informed trading, Corporate Investment.

7.

Measuring the Spillovers of Uncertainty Shocks

Number of pages: 33 Posted: 06 May 2019 Last Revised: 25 Jun 2019
Maria T. Gonzalez-Perez
Bank of Spain
Downloads 133 (400,101)

Abstract:

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Model-free Volatility Indices, Spillovers, Uncertainty, VAR

8.

The Information Content in a Volatility Index for Spain

Number of pages: 45 Posted: 21 Nov 2008 Last Revised: 22 Jun 2016
Alfonso Novales Cinca and Maria T. Gonzalez-Perez
Universidad Complutense de Madrid and Bank of Spain
Downloads 114 (449,352)

Abstract:

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volatility index, forecasting, returns

9.

Inflation Volatility and the Directional Volatility Ratio

Number of pages: 48 Posted: 29 Feb 2024
Alfredo García-Hiernaux, Maria T. Gonzalez-Perez and David E. Guerrero
Universidad Complutense de Madrid (UCM) - Instituto Complutense de Análisis Económico | ICAE, Bank of Spain and Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 98 (500,217)

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Inflation Trend, Inflation volaitlitiy, Rational inattention, semivolatilities, directional volatility ratio

10.

Why a Volatility Index Can Be Useful in the Spanish Financial Market?

Number of pages: 30 Posted: 09 Sep 2009
Maria T. Gonzalez-Perez and Alfonso Novales Cinca
Bank of Spain and Universidad Complutense de Madrid
Downloads 96 (506,935)
Citation 1

Abstract:

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volatility index, volatility forecasting, options, returns

11.

How to measure inflation volatility. A note

Banco de Espana Working Paper 2314
Number of pages: 32 Posted: 06 Jun 2023
Alfredo García-Hiernaux, Maria T. Gonzalez-Perez and David E. Guerrero
Universidad Complutense de Madrid (UCM) - Instituto Complutense de Análisis Económico | ICAE, Bank of Spain and Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 61 (656,602)
Citation 4

Abstract:

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inflation, inflation trend, inflation volatility, rational inattention, positive and negative surprises

12.

Lessons from Estimating the Average Option-implied Volatility Term Structure for the Spanish Banking Sector

Banco de Espana Working Paper No. 2128
Number of pages: 40 Posted: 03 Sep 2021
Maria T. Gonzalez-Perez
Bank of Spain
Downloads 56 (684,033)
Citation 2

Abstract:

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volatility term-structure, implied volatility, risk

13.

Is It Expected Volatility or Expected Precision?

Number of pages: 28 Posted: 14 Sep 2020 Last Revised: 29 Oct 2020
Maria T. Gonzalez-Perez and David E. Guerrero
Bank of Spain and Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 55 (695,592)

Abstract:

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volatility index, time series analysis, forecasting, leverage effect, expected precision, risk premium

14.

Eurozone Prices: A Tale of Convergence and Divergence

Banco de Espana Working Paper No. 2010
Number of pages: 35 Posted: 18 May 2020
Alfredo García‐Hiernaux, Maria T. Gonzalez-Perez and David E. Guerrero
affiliation not provided to SSRN, Bank of Spain and Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 51 (713,785)
Citation 45

Abstract:

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price level convergence, mean convergence, variance convergence, inflation, monetary union, monetary policy

15.

A Volatility Index for the Spanish Banking Sector

Banco de Espana Article 15/22
Number of pages: 13 Posted: 06 Jul 2022
Maria T. Gonzalez-Perez
Bank of Spain
Downloads 47 (739,347)

Abstract:

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implied volatility, banking sector, VIX, VIBEX, SBVX