Maria T. Gonzalez-Perez

Bank of Spain

Calle Alcala, 48

Madrid, 28014

Spain

  • Bank of Spain

    • Email
    • Tel: +34 913388587
SCHOLARLY PAPERS

13

DOWNLOADS
Rank 31,592

SSRN RANKINGS

Top 31,592

in Total Papers Downloads

2,503

SSRN CITATIONS
Rank 14,303

SSRN RANKINGS

Top 14,303

in Total Papers Citations

68

CROSSREF CITATIONS

15

Scholarly Papers (13)

Actions:
Email selected abstracts
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 927 (39,484)
Citation 33

Abstract:

Loading...

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 409 (111,981)
Citation 1

Abstract:

Loading...

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 333 (140,882)
Citation 4

Abstract:

Loading...

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
Carmen Broto, José Alonso, Esther Cáceres García, Luis Gonzalo Fernandez Lafuerza, Jorge Galán, Matias Lamas, Jose Ramon Martinez Resano, Mariya Melnychuk, Silvia Merino, Patricia Stupariu, María Luisa Tejedor, Irma Alonso Alvarez, Mario Alloza, Pablo Burriel, Sandra Garcia, Maria Gil, Luis Molina, Maria Rodriguez-Moreno, Ernesto Villanueva, Andrés Alonso, Teresa Caminero, Clara I. Gonzalez, Maria T. Gonzalez-Perez, Maria Nalda Tomas and Pedro Javier Martínez-Valero
Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Bank of Spain, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España - Research Department, Banco de España, Banco de España, Banco de España, Bank of Spain, Banco de España and Banco de España
Downloads 163 (279,154)

Abstract:

Loading...

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

5.

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
Universidad Carlos III de Madrid - Department of Business Administration, Universidad Carlos III de Madrid - Department of Business Administration and Bank of Spain
Downloads 136 (323,292)

Abstract:

Loading...

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

6.

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 106 (387,321)

Abstract:

Loading...

Model-free Volatility Indices, Spillovers, Uncertainty, VAR

7.

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 101 (400,302)

Abstract:

Loading...

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

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 99 (405,646)

Abstract:

Loading...

volatility index, forecasting, returns

9.

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 84 (449,810)
Citation 1

Abstract:

Loading...

volatility index, volatility forecasting, options, returns

10.

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 40 (640,076)

Abstract:

Loading...

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

11.

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 37 (657,893)

Abstract:

Loading...

volatility term-structure, implied volatility, risk

12.

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 35 (670,351)

Abstract:

Loading...

implied volatility, banking sector, VIX, VIBEX, SBVX

13.

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 33 (683,169)
Citation 45

Abstract:

Loading...

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