Artículos científicos

• Carbon Credits: Who is the Leader of the Pack?

  Medina, Vicente; Ángel Pardo y Roberto Pascual

  (2013).Article

  International Journal of Energy Economics and Policy. Num.Vol. 3, No. 3, 210-220

• Is the EUA a new asset class?

  Medina, Vicente and Ángel Pardo

  (2013).Article

  Quantitive Finance. Num.13:4, pp. 637-653

• Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

  Furió, D. and F.J. Climent

  (2013).

  Quantitative Finance. Num.1, pp. 45-63

• Volatility Transmission in the CO2 and Energy Markets

  Mansanet-Bataller, M. and P. Soriano

  (2012).Article

  Environmental Economics. Num.Vol. 3, No. 4, 75-81

• Market efficiency and lead-lag relationships between spot, futures and forward prices: the case of the Iberian Electricity Market (MIBEL)

  Ballester, J., Climent, F. and Furió, D.

  (2012).Participació en congressos

  Funcas. Num. pp. 1- 30

  This paper analyzes the relationships between prices from three different markets within the Spanish zone of the Iberian Electricity Market (MIBEL), namely futures, spot and OTC forward markets. The analysis focuses on three aspects: (i) contrasting the weak efficient hypothesis, (ii) analyzing the simple efficiency of the futures market and the short-term causality between the proxy of the spot and futures prices, and (iii) examining the price discovery relationships between the involved series of prices. The empirical results confirm that MIBEL (both spot and futures) prices satisfy the weak efficient hypothesis. As well, the MIBEL futures market is efficient in the simple sense and there...

  This paper analyzes the relationships between prices from three different markets within the Spanish zone of the Iberian Electricity Market (MIBEL), namely futures, spot and OTC forward markets. The analysis focuses on three aspects: (i) contrasting the weak efficient hypothesis, (ii) analyzing the simple efficiency of the futures market and the short-term causality between the proxy of the spot and futures prices, and (iii) examining the price discovery relationships between the involved series of prices. The empirical results confirm that MIBEL (both spot and futures) prices satisfy the weak efficient hypothesis. As well, the MIBEL futures market is efficient in the simple sense and there is unidirectional short-term causality from the futures price to the proxy of the spot price. Lastly, price discovery relationships are also found. In particular, there is unidirectional causality from the futures market to the forward market and to the spot market for 1-month- and 1-quarter-ahead maturities.

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• On the hidden side of liquidity

  Pardo, Ángel and Roberto Pascual

  (2012).Article

  European Journal of Finance. Num.Volume 18, Issue 10, pages 949- 967

• Assessing price clustering in European Carbon Markets

  Palao, Fernando and Ángel Pardo

  (2012).Article

  Applied Energy. Num.92, 51–56

• Information processing in the stock market around anticipated accounting information: earnings release

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

  (2012).Article

  The European Journal of Finance. Num.Vol 18, nº2, 109-133

• Partisan Politics Theory and Stock Market Performance: Evidence for Spain

  Furió, D., A. Pardo

  (2012).

  Spanish Review of Finance and Accounting. Num.Vol. XLI, n.º 155, 371-392

• Price and volatility dynamics between electricity and fuel costs: some evidence for Spain

  Furió, D. and H. Chuliá

  (2012).

  Energy Economics. Num.34, pp. 2058-2065