C/ Madrid, 126
Getafe, Madrid 28903
University Carlos III of Madrid - Department of Business Administration
Supercointegrated pairs; Pairs trading; Risk-return relationship
Foreign Monetary Policy, Default Risk, Foreign Demand, Foreign Debt
Basis swap, noise measure, credit risk, liquidity risk, capital arbitrage
Interbank risk, basis swap, systemic risk, liquidity, particle filter
Call auction; pre-opening period; noise trader; partial-differential equation.
unconventional monetary policy, risk-neutral density, tail risk, event study, SVAR
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basis swap, interbank risk, liquidity, particle filter, systemic risk
Sovereign CDS, volatility transmission, default risk premium
Credit Default Swap, Distress Risk Premium, Expected Default Frequency, Jump-At-Default Risk Premium
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