“Quality Portfolios and Funding Liquidity Crisis”, September 2017.
“Expected Stock Returns” (with A. González-Urteaga and B. Nieto), July 2018.
An Analysis of Connectedness Dynamics between Risk-Neutral Equity and Treasury Volatilites”
Opening Lecture Academic Year 2017-2018 (in Spanish), Universidad CEU Cardenal Herrera
Work in progress:
* “The Dynamic Effects of Uncertainty on Real Activity Betas of Stock and Corporate Bond Returns” (M. González, J. Nave, and G. Rubio).
* “A Forecasting Analysis of Real Activity and Financial Returns with Risk-Neutral Equity and Treasury Volatilities”” (A. González-Urteaga, B. Nieto, and G. Rubio).
* “The Pricing of Market Frictions in Value, Momentum, and Quality Portfolios” (D. Abad, B. Nieto, R. Pascual, and G. Rubio)
* “Market Frictions and the Volatility of the Stochastic Discount Factor and Economic Activity” (D. Abad, B. Nieto, R. Pascual, and G. Rubio)
* “Margining and Connectedness Dynamics in the Spanish Financial Market” (A. González-Urteaga and G. Rubio)