Listar GI-C+D - Artigos por autor "Iglesias, Emma M."
Mostrando ítems 1-9 de 9
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Brent and WTI oil prices volatility during major crises and Covid-19
Iglesias, Emma M.; Rivera-Alonso, David (Elsevier, 2022)[Abstract] We provide novel evidence of two different types of volatility-patterns of oil spot prices that are generated depending on which is the predominant trigger: a) spikes of volatility (which are highly erratic) ... -
Further Results on Pseudo-Maximun Likelihood Estimation and Testing the Constant Elasticity of Variance Continuous Time Model
Iglesias, Emma M.; Phillips, Garry D.A. (John Wiley & Sons, 2019)[Abstract]: Constant elasticity volatility processes have been shown to be useful, for example, to encompass a number of existing models that have closed-form likelihood functions. In this article, we extend the existing ... -
Identifying the impact of the business cycle on drug-related harms in European countries
Casal, Bruno; Iglesias, Emma M.; Rivera, Berta; Currais Nunes, Luis; Costa Storti, Claudia (Elsevier, 2023)[Abstract] Background: The evidence resulting from the analysis of the association between economic fluctuations and their impact on the substance use is mixed and inconclusive. Effects can be pro-cyclical (drug-related ... -
Inversión privada, gasto público e impuestos en la Unión Europea
Brito Gaona, Luis Felipe; Iglesias, Emma M. (Universidad Pablo Olavide, 2018)[Abstract] Using the same model that Caballero-Urdiales et al. (2012) and Brito Gaona and Iglesias (2017) applied to Latin-American countries, we extend their analysis to the European Union (EU) in order to analyze the ... -
Is the Chinese Crude Oil Spot Price a Good Hedging Tool for Other Crude Oil Prices, and in Special for the Main Russian Oil Benchmarks and During International Sanctions?
Rivera-Alonso, David; Iglesias, Emma M. (Elsevier, 2024)[Abstract] In order to deal with risk management for policy makers and potential and current investors, green bond, bitcoin and several precious metals have been proposed as safe heavens and hedges for WTI and BRENT. We ... -
Price and income elasticity of natural gas demand in Europe and the effects of lockdowns due to Covid-19
Erias Rodriguez, Antonio; Iglesias, Emma M. (Elsevier, 2022)[Abstract] We analyse a panel of 25 European-countries to provide novel estimates of monthly own-price, cross-price, and income elasticities of natural-gas-demand from 2005 to 2020. We find that: first, there is an European ... -
The daily price and income elasticity of natural gas demand in Europe
Erias Rodríguez, Antonio; Iglesias, Emma M. (Elsevier, 2022)[Abstract] Data from 15 European countries is analysed to provide novel estimates of daily own-price, cross-price and income elasticities of natural-gas-demand from 2016 to 2020. The results show that: first, there is a ... -
The Influence of Extreme events such as Brexit and Covid-19 on Equity Markets
Iglesias, Emma M. (Elsevier, 2022)[Abstract]: In this article first, we show that the result that the PIIGS group had the largest negative unadjusted andabnormal returns on the day following the Brexit Referendum is robust to taking into account jointly ... -
The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressivein- Mean Models
Dahl, Christian M.; Iglesias, Emma M. (Oxford, 2022)[Abstract] We extend the results in Borkovec (2000), Basrak, David, and Mikosch (2002a), Lange (2011), and Francq and Zakoı¨an (2015) by describing the tail behavior when a risk premium component is added in the mean ...