Oscar Carchano

University of Valencia - Department of Financial Economics

Avda. de los Naranjos s/n

Valencia, Valencia E-46022

Spain

SCHOLARLY PAPERS

4

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SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Calendar Anomalies in Stock Index Futures

Number of pages: 24 Posted: 13 Nov 2011
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 627 (43,767)
Citation 2

Abstract:

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calendar effect, stock index futures, simulation method

2.

The Pan-European Holiday Effect

REFC - Spanish Journal of Finance and Accounting, Forthcoming
Number of pages: 26 Posted: 30 Jan 2015
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 147 (208,552)

Abstract:

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Pre-holiday effect, post-holiday effect, stock index futures, bootstrap, Monte Carlo

3.

Open and Closed Positions and Stock Index Futures Volatility

Number of pages: 29 Posted: 13 Nov 2011
Oscar Carchano, Julio J. Lucia and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics, University of Valencia - Faculty of Economics and University of Valencia - Department of Financial Economics
Downloads 114 (253,526)

Abstract:

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volatility, open interest. trading volume

4.

Rolling Over EUAs and CERs

Number of pages: 20 Posted: 06 Apr 2012
Oscar Carchano, Ángel Pardo Tornero and Vicente Medina
University of Valencia - Department of Financial Economics, University of Valencia - Department of Financial Economics and University of Valencia
Downloads 60 (373,524)
Citation 3

Abstract:

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Rollover criteria, European Union Allowances, Certificied Emissions Reduction, futures contracts, liquidity