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Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | 2014-07This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatil[...]texto impreso
Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to d[...]texto impreso
Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribu[...]
