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Banking and Quantitive Finance
Climate change
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Dr. Hipòlit Torró

 

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: February 2012)

Specific areas of interest

 

·        Asset Pricing

·        Risk Portfolio Management

·        Financial Econometrics

·        Financial Markets: Interest rates, Fixed Income and Stocks

·        Futures Markets

·        Energy Derivatives



Publications

 

Martínez, B., and Torró, H. (2015) European natural gas seasonal effects on futures hedging. Energy Economics 50, 154-168.

http://dx.doi.org/10.1016/j.eneco.2015.04.002

 

Hernandis, L., and Torro, H. (2013). "The information content of Eonia swap rates before and during the financial crisis", Journal of Banking and Finance, 37(12), 5316-5328.

http://dx.doi.org/10.1016/j.jbankfin.2013.08.001

 

Caporin, M., Pres, J., and Torro, H. (2012). "Model based Monte Carlo pricing of energy and temperature quanto options", Energy Economics, vol. 34(5), 1700-12.

http://dx.doi.org/10.1016/j.eneco.2012.02.008

 

Lucia, J. J. and H. Torró (2011). “Short-term electricity futures prices: Evidence on the time-varying risk Premium”, International Review of Economics and Finance, vol. 20(4), 750-63.

http://dx.doi.org/10.1016/j.iref.2011.02.005

 

Torró, H. (2011). "Assessing the Influence of Spot Price Predictability in Electricity Futures Hedging", Journal of Risk, vol. 13(4), 31-61.
Link

 

Chuliá, H.and Torró, H. (2011). “Size and Volatility Analysis in the Spanish Stock Market", European Journal of Finance, 17(8), 695-715.

http://dx.doi.org/10.1080/1351847X.2011.554286

 

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.

Journal of Energy Markets

 

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. 

http://dialnet.unirioja.es/servlet/listaarticulos?tipo_busqueda=EJEMPLAR&revista_busqueda=957&clave_busqueda=1467

 

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

 

 

working papers

   

Martínez, B., and Torró, H. (2016) Anatomy of risk premium in UK natural gas futures. Nota di Lavoro 2016.006. Fondazione Eni Enrico Mattei (FEEM).

http://www.feem.it/userfiles/attach/2016211123244NDL2016-006.pdf

 

Martínez, B., and Torró, H. (2015) European natural gas seasonal effects on futures hedging. Nota di Lavoro 2015.010. Fondazione Eni Enrico Mattei (FEEM).

http://www.feem.it/userfiles/attach/2015212122364NDL2015-010.pdf

 

Hernandis, L., and Torró, H. (2012). “Testing Expectations Hypothesis in the Euro Overnight Interest Swap Rates", FUNCAS Working Paper #689

http://www.funcas.es/publicaciones/Sumario.aspx?IdRef=7-05689

 

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  

 

 

Teaching

 

“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 projects

 

Research Grant awarded by the Ministry of Economics and Competitiveness (ECO2013-40816-P), “Quantitative Finance”. Project Director: Hipòlit Torró, 2014-2016.

 

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

cv

 

curriculum vitae