Vicent Aragó

Jaume I University - Department of Finance and Accounting

Avda Sos Baynat s/N

Castellón, 12071

Spain

SCHOLARLY PAPERS

5

DOWNLOADS

194

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Theories on Hedging with Futures

Cuadernos de Economía, Vol. 28, No. 50, 2009
Number of pages: 34 Posted: 30 Dec 2009
Vicent Aragó
Jaume I University - Department of Finance and Accounting
Downloads 194 (220,939)

Abstract:

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futures, Optimum Hedge Ratio, Gini coefficient, Lower Partial Moments, GARCH models, cointegration, Minimum Hedge Ratio

2.

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

Abstract:

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

3.

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

4.

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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5.

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