Research Group


Belen Nieto
Belen Nieto


About me:

Associate Professor in Finance

B.D. in Economics and Business, University of Alicante, 1995

Ph.D. in Economics and Business, University of Alicante, 2001


Main field: Asset Pricing and Corporate Finance

Research Topics: Empirical asset pricing on stocks, warrants, variance swaps, and corporate debt. Theoretical asset pricing models and liquidity.


On this site you will find information about my current research, my recent publications and other interesting stuff.

Selected Publications

"A Forecasting Analysis of Risk-Neutral Equity and Treasury Volatilities" (with Ana Gonzalez-Urteaga and Gonzalo Rubio). The Journal of Forecasting, 2019, 38, 681-698.


"Bid–ask spread estimator from high and low daily prices: Practical implementation for corporate bonds". Journal of Empirical Finance, 2018, 48, 36-57.

"Macroeconomic and financial determinants of the volatility of corporate bond returns" (with Alfonso Novales and Gonzalo Rubio). Quarterly Journal of Finance, 2015, 5 (4), (41 pages), DOI: 10.1142/S2010139215500214.

"Stock returns with consumption and illiquidity risks" (with Elena Márquez and Gonzalo Rubio), International Review of Economics and Finance, 2014, 29, 57-74.

"Volatility bounds, size, and real activity prediction" (with Gonzalo Rubio), Review of Finance, 2014, 18 (1), 373-415.

"The volatility of consumption-based stochastic discount factors and economic cycles" (with Gonzalo Rubio), Journal of Banking and Finance, 2011, 35 (9), 2197-2216.

Work in Progress

"Extracting Expected Stock Risk Premia from Option Prices, and the Information Contained in Non-Parametric-Out-of-Sample Stochastic Discount Factors" (with Ana González-Urteaga and Gonzalo Rubio).

"An Analysis of Connectedness Dynamics between Risk-Neutral Equity and Treasury Volatilities" (with Ana González-Urteaga and Gonzalo Rubio).

"Liquidity and Corporate Debt Market Timing" (with Marina Balboa).


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