19 citations · 23 across the 8 of their papers we have counts for
3 papers · 1 filter
Industry Characteristics and Financial Risk Spillovers
Wan-Chien Chiua, Juan Ignacio Peña, Chih-Wei Wang
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector t…
Time-zero Efficiency of European Power Derivatives Markets
Juan Ignacio Peña, Rosa Rodriguez
We study time-zero efficiency of electricity derivatives markets. By time-zero efficiency is meant a sequence of prices of derivatives contracts having the same underlying asset bu…
Tail Risk of Electricity Futures
Juan Ignacio Peña, Rosa Rodriguez, Silvia Mayoral
This paper compares the in-sample and out-of-sample performance of several models for computing the tail risk of one-month and one-year electricity futures contracts traded in the…