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    • A Market approach for convergence trades 

      Figuerola Ferretti Garrigues, Isabel Catalina; Paraskevopoulos, Ioannis; Tang, Tao
      This paper proposes a VECM representation for cointegrated assets in the continuous- time framework. This model implies a simple framework to check for cointegration exploiting the restriction that the stationarity of ...

    • Bubble Migration Across Asset Classes during the Global Financial Crises 

      Figuerola Ferretti Garrigues, Isabel Catalina; Bermejo Climent, Ramón; Paraskevopoulos, Ioannis; McCrorie, Roderick; Suarez García, Gonzalo
      This paper combines the new, mildly explosive/multiple bubbles technology proposed by Phillips, Shi and Yu (PSY, 2015) with the bubble migration test proposed by Phillips and Yu (2011, PY) to analyse the time series ...

    • Mild explosivity in recent crude oil prices 

      Figuerola Ferretti Garrigues, Isabel Catalina; McCrorie, Roderick; Paraskevopoulos, Ioannis
      burbujas en el precio del petróleo

    • Mispricings in Global Energy Markets 

      Figuerola Ferretti Garrigues, Isabel Catalina; Paraskevopoulos, Ioannis; Tang, Tao
      inancial market participants can benefit from understanding how shocks affect equity mispric ings. Energy corporates have been exposed to multiple structural changes over the past decades. This paper applies the pairs ...

    • Pairs trading and spread persistence in the European Stock Market 

      Figuerola Ferretti Garrigues, Isabel Catalina; Paraskevopoulos, Ioannis; Tang, Tao
      This paper presents an equilibrium framework based on equity commonality explicitly adapted to describe the dynamics of pairs trading. Our methodology, built on the price discovery model of Figuerola-Ferretti and Gonzalo ...