Research Group


Belen Nieto
Belen Nieto




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


"Secreening rules and portfolio performance" (with Angel León and Lluís Navarro). The North American Journal of Economics and Finance, 2019, 48, 642-662.


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


"Corporate stock and bond return correlations and dynamic adjustments on capital structure" (with Rosa Rodríguez). Journal of Business Finance & Accounting, 2015, 42, 705-746.

"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.

"Time-Varying Market Beta: Does the estimation methodology matter?" (with Susan Orbe and Ainhoa Zarraga). Statistics and Operations Reasearch Transactions, 2014, 38, 13-42.

"Variance swaps, non-normality, and macroeconomic and financial risks" (with Alfonso Novales and Gonzalo Rubio), Quarterly Review of Economics and Finance, 2014, 54 (2), 257-270.

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

"Variance swaps and intertemporal asset pricing" (with Alfonso Novales and Gonzalo Rubio), Spanish Review of Financial Economics, 2011, 9 (1), 20-30.

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

"Further international evidence on durable consumption growth and long-run consumption risk" (with Elena Márquez), Quantitative Finance, February 2011, 11, 195-217.

"Analysing bank-issued options pricing" (with David Abad), European Journal of Finance, January 2011, 17, 49-65.

"The relationship between risk and expected returns with incomplete information" (with Germán López and Joaquín Marhuenda), Investigaciones Económicas, January 2009, 33, 69-96.

"Preferencias y valoración de activos: Un panorama sobre la persistencia de hábitos" , Revista de Economía Financiera, April 2007, 11, 87-112.

"The consumption/wealth and book/market ratios in a dynamic asset pricing context" (with Rosa Rodríguez), Spanish Economic Review, 2006, 8 (3), 199-226.

"Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market" (with Miguel Angel Martínez, Gonzalo Rubio and Mikel Tapia), International Review of Economics and Finance, 14, 81-103, 2005.

"Modelos de valoración de activos condicionales: Un panorama comparativo" (with Rosa Rodríguez), Investigaciones Económicas, January 2005, 29, 33-71.

"Evaluating mult-beta pricing models: An empirical analysis with Spanish market data" , Revista de Economía Financiera, April 2004, 2, 80-108.

"La valoración intertemporal de activos: un análisis empírico para el mercado español de valores" , Investigaciones Económicas, September 2002, 26, 497-524.

"El modelo de valoración con cartera de mercado: Una nueva especificación del coeficiente beta" (with Gonzalo Rubio), Revista Española de Financiación y Contabilidad, 2002, 31 (113), 697-723.

"Anomalías en el mercado español de capitales. Un nuevo enfoque: dominancia estocástica" (with David Abad and Joaquín Marhuenda), Moneda y Crédito, 2000, 211, 183-200.

Working Papers:

"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).


Books and Chapters:

"Fondos y sociedades de inversión" Curso de experto profesional en asesoramiento financiero, Santillana, 2007, Madrid, Spain.


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