Antonio Rubia Serrano

University of Alicante, Department of Financial Economics

Ctra. S. Vicente s/n

03690-S. Vicente del Raspeig

Alicante, San Vicente del Raspeig - Alicante 03690

Spain

University of California, Los Angeles (UCLA) - Finance Area

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

11

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15

CROSSREF CITATIONS

34

Scholarly Papers (11)

Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches

EFA 2009 Bergen Meetings Paper
Number of pages: 22 Posted: 17 Feb 2009
Eric Ghysels, Rossen I. Valkanov and Antonio Rubia Serrano
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and University of Alicante, Department of Financial Economics
Downloads 440 (82,637)

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Volatility forecasting, multi-period forecasts, mixed-data sampling

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 240 (160,281)

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volatility forecasting, multi-period forecasts, mixed-data sampling

2.

Asymmetric Covar: An Application to International Banking

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 35 Posted: 02 Mar 2011
School of Economics - University of Navarra and IESE Business School, School of Economics and Business, University of Navarra, University of Alicante, Department of Financial Economics and International Monetary Fund - Monetary and Capital Markets Department
Downloads 343 (110,917)

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Systemic risk, Global banking, CoVaR

3.

Sovereign Tail Risk

Number of pages: 44 Posted: 22 Jul 2014
School of Economics - University of Navarra and IESE Business School, School of Economics and Business, University of Navarra, University of Alicante, Department of Financial Economics and International Monetary Fund - Monetary and Capital Markets Department
Downloads 204 (187,514)
Citation 1

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Sovereign Debt Crisis, Exposure, Panel Data

4.

Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach

IMF Working Paper No. NO.12/46
Number of pages: 36 Posted: 28 Feb 2012
affiliation not provided to SSRN, School of Economics and Business, University of Navarra, University of Alicante, Department of Financial Economics and International Monetary Fund - Monetary and Capital Markets Department
Downloads 204 (187,514)
Citation 9

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Systemic Risk, Wholesale Funding, Liquidity Risk, Macroprudential Regulation, Economic Models, Financial Institutions, Financial Risk, International Banks, General Financial Markets

5.

Long-Horizon Regressions When the Predictor is Slowly Varying

Number of pages: 52 Posted: 18 Jul 2004
Hyungsik Roger Moon, Antonio Rubia Serrano and Rossen I. Valkanov
University of Southern California - Department of Economics, University of Alicante, Department of Financial Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 183 (206,810)
Citation 7

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Return predictability, long-horizon regressions, near unit root, local-to-zero variance

6.

On the Small Sample Properties of Dickey-Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Number of pages: 39 Posted: 18 Jul 2004
Paulo M.M. Rodrigues and Antonio Rubia Serrano
Banco de Portugal and University of Alicante, Department of Financial Economics
Downloads 117 (295,735)
Citation 2

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Unit root, interest rates, CKLS model

7.

Systemic Risk and Asymmetric Responses in the Financial Industry

IMF Working Paper No. 12/152
Number of pages: 39 Posted: 09 Aug 2012
affiliation not provided to SSRN, School of Economics and Business, University of Navarra, University of Alicante, Department of Financial Economics and International Monetary Fund - Monetary and Capital Markets Department
Downloads 83 (370,031)
Citation 2

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Value At Risk, Systemic Risk, Tail-risk Dependence, Downside Risk, Banking Systems, Commercial Banks, Economic Models, Financial Risk, Risk Management, Econometric Methods: - Multiple/simultaneous Equation Models, General Financial Markets, Financial Institutions And Services

8.

The Effects of Additive Outliers and Measurement Errors When Testing for Structural Breaks in Variance

Oxford Bulletin of Economics and Statistics, Vol. 73, Issue 4, pp. 449-468, 2011
Number of pages: 20 Posted: 22 Jun 2011
Paulo M.M. Rodrigues and Antonio Rubia Serrano
Banco de Portugal and University of Alicante, Department of Financial Economics
Downloads 1 (793,160)
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C12, C15, C52

9.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

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10.

Cycles, Economic Crisis and Tourism Competitiveness in Spain: Mechanisms of Transmission and Structural Effects

Posted: 17 Jan 2013 Last Revised: 23 Mar 2013
Universidad de Alicante, Universidad de Alicante - Department of Applied Economics and Political Economics, University of Alicante, Department of Financial Economics and Universidad de Alicante - Department of Applied Economics and Political Economics

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economic crisis, tourist destination competitiveness, permanent shocks, economics transmission mechanisms

11.

Ciclos, Crisis Económica y Competitividad Turística en España: Mecanismos de Transmisión y Efectos Estructurales (Cycles, Economic Crisis and Tourism Competitiveness in Spain: Mechanisms of Transmission and Structural Effects)

Posted: 07 Jan 2013 Last Revised: 23 Mar 2013
Universidad de Alicante, Universidad de Alicante - Department of Applied Economics and Political Economics, University of Alicante, Department of Financial Economics and Universidad de Alicante - Department of Applied Economics and Political Economics

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Ciclos económicos, crisis económico-financiera, competitividad turística, shocks permanentes, mecanismos de transmisión económica