Scientific articles

A Survey on the Spanish Electricity Intraday Market

Furió, D.

(2011).

Estudios de Economía Aplicada. No.29-2, 1-20

Corporate entrepreneurship and acquisitions: creating firm wealth

Farinós, J.E., B. Herrero y M.A. Latorre

(2011).Article

International Entrepreneurship and Management Journal. No.7, 325–339

Innovación educativa en finanzas en la implantación del Espacio Europeo de Educación Superior

Farinós, J.E. y P. Soriano (coordinadores)

(2011).Conferència

“The determinants of increasing equity market comovement: economic or financial integration?”, Review of World Economics

Baele, L. and P. Soriano

(2010).Article

146, 3, 573-589

On measuring speculative and hedging activities in futures markets from volume and open interest data

Lucia, Julio J. and Ángel Pardo

(2010).Article

Applied Economics. No.42,12, 1549-1557

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. No.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. No.38, 784-793

Analysis of Extreme Temperatures for four sites across Peninsular Spain

Furió, D. and V. Meneu

(2010).Article

Theoretical and Applied Climatology. No.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.

“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.