Enrique Salvador

Universitat Jaume I - Department of Finance and Accounting

Associate Professor in Finance and Accounting

Castellon

E-12071 Castello de la Plana, Castellón de la Plana 12071

Spain

SCHOLARLY PAPERS

15

DOWNLOADS

1,691

SSRN CITATIONS

8

CROSSREF CITATIONS

5

Scholarly Papers (15)

1.

Commodity Pricing: Evidence from Rational and Behavioral Models

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-1
Number of pages: 33 Posted: 08 May 2018 Last Revised: 07 Mar 2023
Don Bredin, Valerio Potì and Enrique Salvador
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 423 (129,822)
Citation 3

Abstract:

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Commodity prices, financialization, speculation

2.

Asset Allocation with Correlation: A Composite Trade-Off

European Journal of Operational Research, Forthcoming
Number of pages: 40 Posted: 08 Apr 2017
Rachael Carroll, Thomas Conlon, John Cotter and Enrique Salvador
Trinity College (Dublin), University College Dublin, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 360 (155,744)
Citation 2

Abstract:

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Decision Analysis, Optimization, Asset Allocation, Dynamic Correlation, Rebalancing & Transaction Costs

3.

Is Naïve Asset Allocation Always Preferable?

Number of pages: 50 Posted: 28 Apr 2023
Thomas Conlon, John Cotter, Iason Kynigakis and Enrique Salvador
University College Dublin, University College Dublin, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 240 (236,852)

Abstract:

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Asset Allocation, Bond Market, Commodity Markets, Naïve Allocation, Optimization, Real Estate Market, Tail Risk

4.

Contingent Claims and Hedging of Credit Risk with Equity Options

Number of pages: 95 Posted: 24 May 2018 Last Revised: 08 Jan 2024
Davide E. Avino and Enrique Salvador
University of LiverpoolFinancial Mathematics and Computation Cluster and Universitat Jaume I - Department of Finance and Accounting
Downloads 201 (279,811)
Citation 1

Abstract:

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Credit Risk, Contingent Claims, Hedging, CDS, Options

5.

The Non-Linear Trade-Off Between Return and Risk and Its Determinants

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-3
Number of pages: 45 Posted: 23 Oct 2014 Last Revised: 23 Mar 2022
John Cotter and Enrique Salvador
University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 152 (357,065)
Citation 2

Abstract:

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time-varying risk-return trade-off, non-linear dependence, cyclical variation, panel regressions, asset pricing

6.

Revisiting The Hunt Brothers Case

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-3
Number of pages: 16 Posted: 09 Feb 2022
Don Bredin, Valerio Potì and Enrique Salvador
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 112 (451,841)

Abstract:

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Commodity prices, manipulation

7.

Food Prices, Ethics and Forms of Speculation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-9
Number of pages: 27 Posted: 26 Oct 2020
Don Bredin, Valerio Potì and Enrique Salvador
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 83 (550,953)
Citation 2

Abstract:

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Commodity prices, financialization, commodity speculation

8.

Commodity Pricing: Time-Varying Discount Rates vs. Investors’ Heterogeneity

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 23-3
Number of pages: 34 Posted: 18 Apr 2023
Don Bredin, Valerio Potì and Enrique Salvador
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 56 (679,015)

Abstract:

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Commodity prices, commodity pricing, financialization, speculation, investor heterogeneity

9.

Commodity Pricing: Time-Varying Discount Rates vs. Investors' Heterogeneity

Number of pages: 33 Posted: 10 Mar 2023
Don Bredin, Valerio Potì and Enrique Salvador
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 43 (760,752)

Abstract:

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commodity prices, commodity pricing, financialization, speculation, investor heterogeneity

10.

Revisiting the Silver Crisis

Number of pages: 17 Posted: 18 Feb 2022
Don Bredin, Valerio Potì and Enrique Salvador
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 21 (945,114)

Abstract:

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Commodity prices, manipulation

11.

The Role of Volatility Regimes on Volatility Transmission Patterns

Posted: 31 May 2011
Enrique Salvador and Nikos K. Nomikos
Universitat Jaume I - Department of Finance and Accounting and Cass Business School, City University London

Abstract:

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regime-swithcing, volatility, spillover effects, state-dependent volatility response functions, correlation

12.

Measuring the Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime-Switching Approach

Posted: 26 May 2011
Enrique Salvador and Vicent Aragó
Universitat Jaume I - Department of Finance and Accounting and Jaume I University - Department of Finance and Accounting

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Futures indices, Dynamic hedging, Hedging Effectiveness, Markov Regime Switching, Asymmetric volatility, Non-linear GARCH

13.

Sudden Changes in Variance and Time Varying Hedge Ratios

Posted: 26 Mar 2011
Enrique Salvador and Vicent Aragó
Universitat Jaume I - Department of Finance and Accounting and Jaume I University - Department of Finance and Accounting

Abstract:

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Finance, Hedging effectiveness, GARCH, sudden changes in variance

14.

The Risk-Return Tradeoff in Emerging Markets

Posted: 26 Mar 2011
Enrique Salvador and Vicent Aragó
Universitat Jaume I - Department of Finance and Accounting and Jaume I University - Department of Finance and Accounting

Abstract:

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15.

The Risk-Return Trade-Off in Europe: A Temporal and Cross-Sectional Analysis

Posted: 26 Mar 2011
Enrique Salvador and Vicent Aragó
Universitat Jaume I - Department of Finance and Accounting and Jaume I University - Department of Finance and Accounting

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Equity risk premium, multivariate GARCH, cross-sectional analysis, ICAPM, risk aversion

Other Papers (4)

Total Downloads: 0
1.

The Distribution of Index Futures Realized Volatility Under Seasonality and Microstructure Noise

Posted: 11 Jan 2019 Last Revised: 15 Sep 2020
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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high-frequency data, intraday periodic component, Fourier Flexible Form, realized volatility, microstructure noise, distribution

2.

Lead-Lag Relationship between Spot and Futures Stock Indexes: Intraday Data and Regime Switching Models

Posted: 25 Oct 2017
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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regime switching models, arbitrage opportunities, lead-lag relationship, intraday data

3.

Estimation Error Using High-Frequency Data on Optimal Portfolio Choice

Posted: 25 Oct 2017
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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asset allocation, high-frequency data, optimization, transaction costs, estimation error

4.

The Influence of Intraday Seasonality on Volatility Transmission Pattern

Posted: 03 Oct 2017
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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high-frequency data, intraday periodic component, flexible fourier form, realized volatility, volatility spillover