Antonio Diaz

University of Castilla-La Mancha

Plaza Universidad, 1

Albacete, Albacete 02071

Spain

SCHOLARLY PAPERS

7

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1,670

SSRN CITATIONS
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SSRN RANKINGS

Top 31,941

in Total Papers Citations

8

CROSSREF CITATIONS

13

Scholarly Papers (7)

1.

On Modelling Credit Risk Using Arbitrage Free Models

EFMA 2001 Lugano Meetings
Number of pages: 30 Posted: 27 Mar 2001
Frank S. Skinner and Antonio Diaz
Brunel University and University of Castilla-La Mancha
Downloads 703 (37,540)
Citation 2

Abstract:

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Credit risk, credit derivatives, binomial lattice, Arbitrage free pricing

Yield Spread and Term to Maturity: Default vs. Liquidity

EFMA 2002 London Meetings
Number of pages: 48 Posted: 12 Jun 2002
Antonio Diaz and Eliseo Navarro Arribas
University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 500 (57,877)
Citation 3

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Corporate bonds, Yield spreads, Default risk, Liquidity, Term to maturity

Yield Spread and Term to Maturity: Default vs. Liquidity

European Financial Management, Vol. 8, pp. 449-477, 2002
Number of pages: 29 Posted: 13 Feb 2003
Antonio Diaz and Eliseo Navarro Arribas
University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 32 (491,971)
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3.

Spanish Treasury Bond Market Liquidity Pre- and Post-European Monetary Union

EFMA 2004 Basel Meetings Paper, Journal of Banking and Finance, Vol. 30, No. 4, 2006
Number of pages: 35 Posted: 18 May 2004 Last Revised: 15 Jul 2011
University of Castilla-La Mancha, University of Castilla-La Mancha and Raymond A. Mason School of Business - William & Mary
Downloads 219 (146,517)
Citation 2

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Bonds, Liquidity, Spanish Public Debt, European Monetary Union

4.

Liquidity Premiums between Treasury Asset Markets

EFMA 2003 Helsinki Meetings
Number of pages: 38 Posted: 08 Jun 2003
Antonio Diaz and Eliseo Navarro Arribas
University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 129 (231,527)
Citation 1

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Treasury debts, Fixed income, Liquidity, Yield Spread, Age Effect

5.

Continuous Assessment in Large Groups: A Proposal

Number of pages: 31 Posted: 26 Oct 2011
Antonio Diaz
University of Castilla-La Mancha
Downloads 76 (329,537)

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6.

Determinants of Trading Activity after Rating Actions in the Corporate Debt Market

International Review of Applied Financial Issues and Economics, Vol. 3, No. 2, 2011
Number of pages: 18 Posted: 11 Jan 2017
Universidad Rey Juan Carlos - Facultad de Ciencias Jurisdicas y Sociales, University of Castilla-La Mancha and Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration
Downloads 11 (604,173)

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Rating Agencies, Rating Announcements, Trading Volume, Trading Frequency

7.

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 University Carlos III of Madrid - Department of Business Administration

Abstract:

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