Pedro Serrano

University Carlos III of Madrid - Department of Business Administration

C/ Madrid, 126

Getafe, Madrid 28903

Spain

SCHOLARLY PAPERS

7

DOWNLOADS

803

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Supercointegrated

Number of pages: 51 Posted: 21 Jul 2017 Last Revised: 27 Nov 2017
Comillas Pontifical University, University Carlos III of Madrid - Department of Business Administration, Jinan University and University of the Balearic Islands
Downloads 545 (51,364)

Abstract:

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Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

Foreign Monetary Policy and Firms' Default Risk

The European Journal of Finance, Doi.org/10.1080/1351847X.2019.1710225
Number of pages: 53 Posted: 11 Mar 2016 Last Revised: 13 Jan 2020
Jonatan Groba and Pedro Serrano
Strategic Link and University Carlos III of Madrid - Department of Business Administration
Downloads 81 (312,241)

Abstract:

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Foreign Monetary Policy, Default Risk, Foreign Demand, Foreign Debt

3.

Dissecting Interbank Risk

Number of pages: 39 Posted: 04 Oct 2016 Last Revised: 07 Oct 2016
Jaume I University, University Complutense of Madrid, Universidad Complutense de Madrid (UCM) and University Carlos III of Madrid - Department of Business Administration
Downloads 63 (358,802)

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Interbank risk, basis swap, systemic risk, liquidity, particle filter

4.

Determinants of the Multiple-Term Structures from Interbank Rates

Number of pages: 41 Posted: 21 Jun 2015
Juan Angel Lafuente, Nuria Petit and Pedro Serrano
Jaume I University, University Complutense of Madrid and University Carlos III of Madrid - Department of Business Administration
Downloads 63 (358,802)
Citation 3

Abstract:

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Basis swap, noise measure, credit risk, liquidity risk, capital arbitrage

5.

The Informational Content of Limit Order Distributions During Market Auctions

Number of pages: 30 Posted: 13 Apr 2016
Federico Platania, Pedro Serrano and Mikel Tapia
University of Liege, University Carlos III of Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 51 (396,710)

Abstract:

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Call auction; pre-opening period; noise trader; partial-differential equation.

6.

The Impact of Distressed Economies in the EU Sovereign Market

Journal of Banking and Finance, Vol. 37, No. 7, 2013
Posted: 29 Mar 2012 Last Revised: 21 Oct 2017
Jonatan Groba, Juan Angel Lafuente and Pedro Serrano
Strategic Link, Jaume I University and University Carlos III of Madrid - Department of Business Administration

Abstract:

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Sovereign CDS, volatility transmission, default risk premium

7.

What Drives Corporate Bond Risk Premia? Evidence from the CDS Market

Journal of International Money and Finance, Vol. 37, 2013
Posted: 18 Mar 2011 Last Revised: 21 Oct 2017
Antonio Diaz, Jonatan Groba and Pedro Serrano
University of Castilla-La Mancha, Strategic Link and University Carlos III of Madrid - Department of Business Administration

Abstract:

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Credit Default Swap, Distress Risk Premium, Expected Default Frequency, Jump-At-Default Risk Premium