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Pedro Serrano

Universidad Carlos III de Madrid

Calle Madrid, 126

GETAFE, MADRID 28903

Spain

SCHOLARLY PAPERS

11

DOWNLOADS

1,846

TOTAL CITATIONS

6

Scholarly Papers (11)

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1.

Supercointegrated

Number of pages: 51 Posted: 21 Jul 2017 Last Revised: 27 Nov 2017
Isabel Figuerola-Ferretti, Pedro Serrano, Tao Tang and Antoni Vaello-Sebastià
Comillas Pontifical University, Universidad Carlos III de Madrid, Jinan University and University of the Balearic Islands
Downloads 907 (65,042)

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Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

The Term Structure of the Expected Market Risk Premium, and the Cross-Section of Stock Returns

Number of pages: 61 Posted: 06 Jan 2025 Last Revised: 17 Oct 2025
Ana Gonzalez-Urteaga, Gonzalo Rubio, Pedro Serrano and Antoni Vaello-Sebastià
Public University of Navarre, Universidad CEU Cardenal Herrera, Universidad Carlos III de Madrid and University of the Balearic Islands
Downloads 193 (397,477)

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VIX, supervised PCA, priced state variables, weak factors, principal components of the term structure, mimicking portfolios, Term structure of the expected market risk premium

3.

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 Liège, Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
Downloads 178 (424,491)

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

4.

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 Universidad Carlos III de Madrid
Downloads 156 (477,517)
Citation 2

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

5.

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
Universitat Jaume I de Castelló, University Complutense of Madrid and Universidad Carlos III de Madrid
Downloads 143 (514,995)
Citation 3

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

6.

Dissecting Interbank Risk

Number of pages: 39 Posted: 04 Oct 2016 Last Revised: 07 Oct 2016
Juan Angel Lafuente, Nuria Petit, Jesús Ruiz and Pedro Serrano
Universitat Jaume I de Castelló, University Complutense of Madrid, Universidad Complutense de Madrid (UCM) and Universidad Carlos III de Madrid
Downloads 136 (540,814)

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

7.

The Impact of Heterogeneous Unconventional Monetary Policies on the Expectations of Market Crashes

Banco de Espana Working Paper No. 2127
Number of pages: 77 Posted: 25 Aug 2021
Irma Alonso Alvarez, Pedro Serrano and Antoni Vaello-Sebastià
Bank of Spain, Universidad Carlos III de Madrid and University of the Balearic Islands
Downloads 91 (736,406)
Citation 1

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unconventional monetary policy, risk-neutral density, tail risk, event study, SVAR

8.

The International Linkages of Market Risk Perception

Number of pages: 30 Posted: 11 Jul 2023
Antoni Vaello-Sebastià, Pedro Serrano and M. Magdalena Vich-Llompart
University of the Balearic Islands, Universidad Carlos III de Madrid and Washington College
Downloads 42 (1,157,785)

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Arrow-Debreu prices, options, integration, risk aversion, uncertainty

9.

The Impact of Heterogeneous Unconventional Monetary Policies on the Expectation of Market Crashes

Posted: 29 May 2020 Last Revised: 29 May 2024
Irma Alonso Alvarez, Pedro Serrano and Antoni Vaello-Sebastià
Bank of Spain, Universidad Carlos III de Madrid and University of the Balearic Islands
Downloads 0 (1,596,965)

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unconventional monetary policy, risk-neutral density, tail risk, event study, SVAR

10.

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, Universitat Jaume I de Castelló and Universidad Carlos III de Madrid

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Sovereign CDS, volatility transmission, default risk premium

11.

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 Universidad Carlos III de Madrid

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