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Universitat de València
Faculat d'Economia
Avda. dels Tarongers s/n
46022, Valencia, Spain
E-mail: hipolit.torro@uv.es.
Telephone number: +34 96 1625074
Fax number: +34 96 3828370
Hipolit Torro is currently a professor (TU) of Financial Economics at the Universitat de València, Spain, where he has held an appointment since 1991. He has a B.A. in Business Administration from the Universitat de València, a M.Sc. in Financial Mathematics from the Universities of Edingburgh and Heriot-Watt and a Ph.D. in Financial Economics from the Universitat de València. He has published a number of referred articles in finance academic journals, and he has contributed to several books and conference proceedings. He has participated in research projects funded by the Generalitat Valenciana, Fundación Caja de Madrid, the Instituto Valenciano de Investigaciones Económicas, and the Ministerio de Educación y Ciencia of Spain. (Updated: September 2009)
Specific areas of interest
· Asset Pricing
· Risk Portfolio Management
· Financial Econometrics
· Financial Markets: Interest rates, Fixed Income and Stocks
· Futures Markets
· Energy Derivatives
Publications
Lucia, J. J. and H. Torró (2011). “Short-term electricity futures prices: Evidence on the time-varying risk Premium”, forthcoming International Review of Economics and Finance.
Torró, H. (2011). "Assessing the Influence of Spot Price Predictability in Electricity Futures Hedging", forthcoming Journal of Risk.
Chuliá, H.and Torró, H. (2011). “Size and Volatility Analysis in the Spanish Stock Market", forthcoming European Journal of Finance.
Ayora, J. and H. Torró (2010). "The Financial Futures Momentum", in G. N. Gregoriou (Ed.): Handbook of Trading, McGraw-Hill (New York). Chapter 5, pp. 67-81.
Torró, H. (2009). "Electricity Futures Prices: Some Evidence on Forecast Power at Nord Pool". The Journal of Energy Markets, 2(3), 3-25.
Chuliá, H., F. J. Climent, P. Soriano and H. Torró (2009): "Volatility Transmission Patterns and Terrorist Attacks". Quantitative Finance, 9, 607-619.
http://www.informaworld.com/smpp/content~db=all~content=a911732274
Chuliá, H. and Torró, H. (2008): "The Economic Value of Volatility Transmission Between the Stock and Bond Markets", The Journal of Futures Markets , 28, 1066-94.
http://www3.interscience.wiley.com/cgi-bin/abstract/121402454/ABSTRACT
Pardo, A. and H. Torró: (2007): "Trading with asymmetric volatility spillovers”, Journal of Business Finance and Accounting, 34, 1548-68.
http://www3.interscience.wiley.com/journal/120707243/abstract
Chuliá, H. and H. Torró (2007). "Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates". In G. N. Gregoriou (Ed.): Advances in Risk Management, Palgrave Macmillan (London), Chapter 17, pp. 327-352.
http://www.palgrave.com/products/title.aspx?PID=276634#Authors
Chuliá, H.; F. Climent, P. Soriano y H. Torró (2007). "Have Volatility Transmisión patterns between US and Spain Changed alter September 11?" In G. N. Gregoriou (Ed.): Advances in Risk Management, Palgrave Macmillan (London), Chapter 16, pp. 303-326.
http://www.palgrave.com/products/title.aspx?PID=276634#Authors
Chulia, H. y H. Torró: (2007): “Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas cotizadas en la bolsa española”, Investigaciones Económicas, 31, 445-74.
http://www.funep.es/invecon/sp/sArt_Sep2007.asp
Torró, H., (2004). “Predicción y primas de riesgo en el mercado interbancario español”, aceptado en Revista Española de Financiación y Contabilidad. 33 (120), 13-46.
http://aeca.es/pub/refc/articulos.php?id=0060
Torró, H; V. Meneu and E. Valor (2003). Seasonal single factor stochastic modelling and weather derivatives valuation. Journal of Risk-Finance, 4 (4), 6-17.
http://www.emeraldinsight.com/10.1108/eb022969
Meneu, V. and H. Torró (2003) : “Asymmetric Covariance in Spot-Futures Markets”, The Journal of Futures Markets. 23 (11), 1019-1046.
http://www3.interscience.wiley.com/journal/104558470/abstract
Climent, F.; V. Caselles, H. Torró y E. Valor (2003). Incidencia de la climatología en el consumo de gas y electricidad en España. Información Comercial Española. Revista de Economía, 808, 55-70.
http://www.revistasice.com/NR/exeres/C305ED2E-FB14-49A6-A4CC-A990F001E332,frameless.htm?in=0
Navarro, E., y H. Torró (2000): “Cobertura del riesgo de interés con futuros, una aplicación al mercado español de deuda pública”, Moneda y Crédito, 211, 121-153.
Torró, H., (1995). Evolución temporal de la razón de cobertura. Una aplicación al IBEX-35. Revista Española de Financiación y Contabilidad, 24, 125-144.
http://aeca.es/pub/refc/articulos.php?id=0403
Caporin, M., Pres, J., and Torro, H. (2010). "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
http://mpra.ub.uni-muenchen.de/25538/
Lucia, J. J. and H. Torró (2008): “Short-term electricity futures prices: Evidence on the time-varying risk Premium”, WP-EC-2008-08 (IVIE). http://www.ivie.es/downloads/docs/wpasec/wpasec-2008-08.pdf
Chuliá, H.and Torró, H. (2007). “Size and Volatility Analysis in the
Spanish Stock Market". http://ssrn.com/abstract=963963
Torró, H. (2008): "Assessing the Influence of Spot Price Predictability in Electricity Futures Hedging". http://ssrn.com/abstract=1081546
“Derivatives I”, since 2001 (PhD Program in Banking and Quantitative Finance, Universities: Complutense de Madrid, País Vasco, Castilla- La Mancha and Valencia)
“Fixed Income Models” since 2008 (Idem)
“Stocks, Futures and Options” (Last course in Business Administration)
“Interest Risk Analysis and Fixed Income Derivatives” (Actuarial Sciences)
Research Grant awarded by the Instituto Valenciano de Investigaciones Económicas (IVIE-2008), “Electricity Futures at Nord Pool: Hedging, forecasting power and risk premiums”. Project Director: Hipòlit Torró, 2008.
Research Grant awarded by the Generalitat Valenciana (GV/2007/082), “Volatility Spillovers in Stock Markets”. Project Director: Hipòlit Torró, 2007-2008.
Research Project awarded by the Spanish Ministry of Science and Technology. “Financial Economics and Mathematical Modeling” (SEJ2006-15401-C04-04). Project Director: Vicente Meneu, 2006-2009
Research Grant awarded by the Instituto Valenciano de Investigaciones Económicas (IVIE-2006), “Volatility Spillovers in Stock Markets”. Project Director: Hipòlit Torró, 2006.
Research Project awarded by the Spanish Ministry of Science and Technology and FEDER funds. “Socioeconomic impacts of climate change” (CGL2006-06367/CLI). Project Director: Ángel Pardo, 2006-2009