Hipòlit Torró

University of Valencia

Professor

Facultat d'Economia

Av. dels Tarongers s/n

Valencia, 46022

Spain

http://www.uv.es/torro

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables

EFMA 2001 Lugano Meetings
Number of pages: 26 Posted: 21 Mar 2001
Hipòlit Torró, Vicente Meneu and Enric Valor
University of Valencia, University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 983 (21,340)

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Cooling Degree-days, Energy, Heating Degree-days, Seasonality, Stochastic Models, Weather Derivatives.

Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables

Journal of Risk Finance, Vol. 4, No. 4, pp. 6-17, Summer 2003
Posted: 10 Oct 2003
Hipòlit Torró, Vicente Meneu and Enric Valor
University of Valencia, University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics

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2.

Short-Term Electricity Futures Prices: Evidence on the Time-Varying Risk Premium

Number of pages: 35 Posted: 14 Sep 2007 Last Revised: 20 Feb 2008
Julio J. Lucia and Hipòlit Torró
University of Valencia - Faculty of Economics and University of Valencia
Downloads 478 (57,570)

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risk premium, electricity futures, Nord Pool

3.

Forecasting Weekly Electricity Prices at Nord Pool

FEEM Working Paper No. 88/2007
Number of pages: 30 Posted: 07 Jun 2007 Last Revised: 06 Feb 2009
Hipòlit Torró
University of Valencia
Downloads 449 (62,189)

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electricity markets, power derivatives and forecasting electricity prices

4.

The Economic Value of Volatility Transmission between the Stock and Bond Markets

Number of pages: 29 Posted: 17 Oct 2006
Helena Chuliá and Hipòlit Torró
University of Barcelona - Faculty of Economic Science and Business Studies and University of Valencia
Downloads 307 (96,624)

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Volatility Spillovers, GARCH, Trading Rules

5.
Downloads 287 (103,930)

Trading with Asymmetric Volatility Spillovers

University of Valencia Financial Economics Working Paper
Number of pages: 38 Posted: 06 Oct 2003
Ángel Pardo Tornero and Hipòlit Torró
University of Valencia - Department of Financial Economics and University of Valencia
Downloads 261 (114,343)

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Asymmetric Volatility Spillovers, Feedback effect, Large and small firms, IBEX-35, Trading rules

Trading with Asymmetric Volatility Spillovers

Journal of Business Finance & Accounting, Vol. 34, Nos. 9-10, pp. 1548-1568, November/December 2007
Number of pages: 21 Posted: 11 Dec 2007
Angel Pardo and Hipòlit Torró
affiliation not provided to SSRN and University of Valencia
Downloads 26 (492,922)
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6.

Firm Size and Volatility Analysis in the Spanish Stock Market

Number of pages: 41 Posted: 20 Feb 2007
Helena Chuliá and Hipòlit Torró
University of Barcelona - Faculty of Economic Science and Business Studies and University of Valencia
Downloads 260 (115,344)

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Volatility Spillovers, GARCH, Large and Small Firms, Risk Premium

7.

Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options

Number of pages: 38 Posted: 30 Sep 2010
Massimiliano Caporin, Juliusz Pres and Hipòlit Torró
University of Padua - Department of Statistical Sciences, Szczecin University of Technology and University of Valencia
Downloads 168 (174,682)

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weather derivatives, Quanto options pricing, derivative pricing, model simulation and forecast

8.

Volatility Transmission Patterns and Terrorist Attacks

Number of pages: 29 Posted: 18 Feb 2007
University of Barcelona - Faculty of Economic Science and Business Studies, University of Valencia - Department of Financial Economics, University of Valencia - Department of Financial Economics and University of Valencia
Downloads 136 (208,018)

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9.

Anatomy of Risk Premium in UK Natural Gas Futures

FEEM Working Paper No. 006.2016
Number of pages: 40 Posted: 07 Mar 2016
Beatriz Martínez and Hipòlit Torró
University of Valencia and University of Valencia
Downloads 70 (323,703)

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Natural Gas Market, Futures Premium, Rollover, Seasonal Risk Premiums

10.

European Natural Gas Seasonal Effects on Futures Hedging

FEEM Working Paper No. 10.2015
Number of pages: 54 Posted: 18 Feb 2015
Beatriz Martínez and Hipòlit Torró
University of Valencia and University of Valencia
Downloads 63 (342,258)

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Natural Gas Market, Futures, Hedging Ratio, Natural Gas Price Risk

11.

The Response of European Energy Prices to ECB Monetary Policy

FEEM Working Paper No. 09.2018
Number of pages: 30 Posted: 27 Mar 2018
Hipòlit Torró
University of Valencia
Downloads 11 (565,015)

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Brent, Monetary Policy, European Central Bank, Energy Commodities