WORKING PAPERS

“Quality Portfolios and Funding Liquidity Crisis”, September 2017.

Quality Portfolios and Funding Liquidity Crisis

“Expected Stock Returns” (with A. González-Urteaga and B. Nieto), July 2018.

Expected Stock Returns

“An Analysis of Connectedness Dynamics between Risk-Neutral Equity and Treasury Volatilites” (with A. González-Urteaga and B. Nieto), October 2018.

Risk-Neutral Volatilities 

“A Forecasting Analysis of Real Activity and Financial Returns with Risk-Neutral Equity and Treasury Volatilities” (with A. González-Urteaga and B. Nieto), October 2018.

Forecasting with Risk-Neutral Volatilities 

Opening Lecture Academic Year 2017-2018 (in Spanish), Universidad CEU Cardenal Herrera

Lección Inaugural. Gonzalo Rubio

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).

* “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)