Articles científics

• El papel de la liquidez en el impacto de la nueva información: el caso del Latibex

  García, C.José, Herrero, Begoña and Ana M. Ibáñez

  (2010).Article

  Trimestre Económico. Num.Vol LXXVII (3), pp 651-682

• Expectations and Forward Risk Premium in the Spanish Deregulated Power Market

  Furió, Dolores and Vicente Meneu

  (2010).Article

  Energy Policy. Num.38, 784-793

• Analysis of Extreme Temperatures for four sites across Peninsular Spain

  Furió, D. and V. Meneu

  (2010).Article

  Theoretical and Applied Climatology. Num.104, 83–99

  Statistical analyses regarding climate studies have often used the average temperature as one of the main variables. However, the tails of the respective distributions are also crucial and have become increasingly considered in recent years. As the Intergovernmental Panel on Climate Change in its fourth assessment report (IPCC 2007) states, “the type, frequency and intensity of extreme events are expected to change as Earth’s climate changes”. In this paper, the focus is on the statistical behaviour of extreme (maximum and minimum) values of temperature, both in winter and summer. Under the framework of the Extreme Value Theory, the methodology of block maxima is employed. The generalised...

  Statistical analyses regarding climate studies have often used the average temperature as one of the main variables. However, the tails of the respective distributions are also crucial and have become increasingly considered in recent years. As the Intergovernmental Panel on Climate Change in its fourth assessment report (IPCC 2007) states, “the type, frequency and intensity of extreme events are expected to change as Earth’s climate changes”. In this paper, the focus is on the statistical behaviour of extreme (maximum and minimum) values of temperature, both in winter and summer. Under the framework of the Extreme Value Theory, the methodology of block maxima is employed. The generalised extreme value distribution, allowing for a linear trend in the location parameter, is fitted to data in order to capture the time tendency in the non-stationary processes. We are able to approximate expected values with a determined probability and to identify time trends of such events. Particularly, an increasing time trend in maximum and minimum temperature is generally detected which could be of great concern to public and private sectors.

  Llegir mésOcultar
  DOI: https://doi.org/10.1007/s00704-010-0324-5

• “Volatility transmission patterns and terrorist attacks”. Quantitative Finance

  Chuliá, Helena, Climent, Francisco J., Soriano, Pilar and Hipólit Torró

  (2009).Article

   9, 5, 607-619

• “Rolling over stock index futures contracts”, Journal of Futures Markets

  Carchano, Oscar and Ángel Pardo

  (2009).Article

  29, 7, 684-694.

• Impacts of regulatory announcements on CO2 prices

  Mansanet-Bataller, Maria and Ángel Pardo

  (2009).Article

  The Journal of Energy Markets. Num.2, 2, 1-33

• The Spanish Electricity Intraday Market: Prices and Liquidity Risk

  Furió, Dolores; Lucia, Julio J. and Vicente Meneu

  (2009).Article

  Current Politics and Economics of Europe. Num.20, 1, 1-22

• Congestion Management Rules and Trading Strategies in the Spanish Electricity Market

  Furió, Dolores and Julio J. Lucia

  (2009).Article

  Energy Economics. Num.31 48-60

• CO2 Prices and Portfolio Management

  Mansanet-Bataller, Maria and Ángel Pardo

  (2008).Article

  International Journal of Global Energy Issues. Num.Vol. 35 Nums. 2/3/4, 158-177

  Since January 2005, the attention on European carbon markets has been increasing and thus the interest in studying the implications of the existence of two new assets in portfolio management. In this article we analyse both the characteristics of the EUAs Phase I and Phase II as a sole investment and the impact of including these two assets, considered separately, in a well-diversified portfolio. In order to control the problems of using historical returns, we have performed this analysis using as expected returns either historical returns or risk-adjusted returns. We find that, although the weights of EUAs are not too important when incorporating the EUAs in an optimal and well-diversified...

  Since January 2005, the attention on European carbon markets has been increasing and thus the interest in studying the implications of the existence of two new assets in portfolio management. In this article we analyse both the characteristics of the EUAs Phase I and Phase II as a sole investment and the impact of including these two assets, considered separately, in a well-diversified portfolio. In order to control the problems of using historical returns, we have performed this analysis using as expected returns either historical returns or risk-adjusted returns. We find that, although the weights of EUAs are not too important when incorporating the EUAs in an optimal and well-diversified portfolio, the efficient frontier shows an increase in investor possibilities.

  Llegir mésOcultar
  DOI: 10.2139/ssrn.1156975

• What you Should Know to trade in CO2 Markets

  Mansanet-Bataller, Maria and Ángel Pardo

  (2008).Article

  Energies. Num.1, 3, 120-153