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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 ...

    • Measuring the impact of carbon transition risk in the equity performance of energy corporations. January 10, 2023 

      Figuerola Ferretti Garrigues, Isabel Catalina; Sanz Cedrón, Francisco Javier; Tang, Tao
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    • 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 ...

    • Misspricings in global energy markets 

      Figuerola Ferretti Garrigues, Isabel Catalina; Paraskevopoulos, Ioannis; Tang, Tao (2022-05-24)
      Financial market participants can benefit from understanding how shocks affect equity mispricings. 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 (01/04/2018)
      En este artículo adaptamos el modelo de demanda y oferta introducido por Figuerola-Ferretti and Gonzalo (Journal of Econometrics 2010) para ilustrar el mecanismo subyancente en la estrategia de negociación de pairs trading.

    • 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 ...

    • Pairs-trading and spread persistence in the European stock market 

      Paraskevopoulos, Ioannis; Figuerola Ferretti Garrigues, Isabel Catalina; Tang, Tao (2018-05-28)
      En este artículo adaptamos el modelo de demanda y oferta introducido por Figuerola-Ferretti and Gonzalo (Journal of Econometrics 2010) para ilustrar el mecanismo subyancente en la estrategia de negociación de pairs trading.

    • Supercointegrated 

      Figuerola Ferretti Garrigues, Isabel Catalina; Tang, Tao; Serrano, Pedro; Vaello, Antoni
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