Roberto Blanco : Citation Profile


Are you Roberto Blanco?

Banco de España

5

H index

4

i10 index

513

Citations

RESEARCH PRODUCTION:

18

Articles

16

Papers

2

Books

5

Chapters

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 19
   Journals where Roberto Blanco has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 2 (0.39 %)

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   Permalink: http://citec.repec.org/pbl236
   Updated: 2021-06-07    RAS profile: 2019-06-26    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto Blanco.

Is cited by:

Girardi, Alessandro (9)

Avino, Davide (9)

Gündüz, Yalin (9)

Caporale, Guglielmo Maria (8)

Varotto, Simone (8)

Gómez-Puig, Marta (6)

Hammoudeh, Shawkat (6)

Mayordomo, Sergio (6)

Portes, Richard (5)

Norden, Lars (5)

Delatte, Anne-Laure (5)

Cites to:

Campbell, John (6)

Abel, Andrew (6)

Jagannathan, Ravi (5)

Ait-Sahalia, Yacine (5)

Lo, Andrew (5)

Craig, Ben (4)

Valkanov, Rossen (4)

Santa-Clara, Pedro (4)

Hansen, Lars (4)

Engle, Robert (4)

Chen, Xiaohong (3)

Main data


Where Roberto Blanco has published?


Journals with more than one article published# docs
Boletn Econmico10
Investigaciones Economicas2
Economic Bulletin2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de Espaa11
DFAEII Working Papers / University of the Basque Country - Department of Foundations of Economic Analysis II2

Recent works citing Roberto Blanco (2021 and 2020)


YearTitle of citing document
2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2020The pricing of accruals quality in credit default swap spreads. (2020). Lin, Hai ; Alam, Pervaiz ; Pu, Xiaoling ; Hettler, Barry. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:1943-1977.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020A Macrofinance View of U.S. Sovereign CDS Premiums. (2020). Chernov, Mikhail ; Schneider, Andres ; Schmid, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844.

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2020The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit. (2020). Kadiric, Samir. In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei271.

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2021Estimating real word probabilities: a forward-looking behavioral framework. (2021). Crisóstomo, Ricardo ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_73en.

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2021Financial news and CDS spreads. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303774.

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2020European spreads at the interest rate lower bound. (2020). Coroneo, Laura ; Pastorello, Sergio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301470.

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2021How do sovereign risk, equity and foreign exchange derivatives markets interact?. (2021). Ibhagui, Oyakhilome. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:58-78.

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2020Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316.

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2020News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760.

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2021Corporate governance and the insolvency risk of financial institutions. (2021). Hussain, Nazim ; Iqbal, Jamshed ; Ali, Searat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301996.

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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2020The dynamics of sovereign yields over swap rates in the Eurozone market. (2020). Galil, Koresh ; David-Pur, Lior ; Rosenboim, Mosi. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302222.

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2020Corporate innovation and credit default swap spreads. (2020). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306226.

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2020Credit default swap and two-sided moral hazard. (2020). Gong, Yaxian. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301965.

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2021Time-varying price discovery in sovereign credit markets. (2021). Guidolin, Massimo ; Tosi, Alessandra ; Pedio, Manuela. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319307640.

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2020Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2021Solvency and wholesale funding cost interactions at UK banks. (2021). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920300991.

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2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2020Mortgage arrears, regulation and institutions: Cross-country evidence. (2020). Vlahu, Razvan ; de Haan, Jakob ; Stanga, Irina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301552.

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2021To change or not to change? The CDS market response of firms on credit watch. (2021). Schiereck, Dirk ; Norden, Lars ; Kolaric, Sascha ; Kiesel, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s037842662100025x.

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2020Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265.

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2020Is the credit spread puzzle a myth?. (2020). Yang, Fan ; Goldstein, Robert S ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:297-319.

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2020Sovereign risk evaluation for European Union countries. (2020). Deligiannakis, Emmanouil ; Agiakloglou, Christos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306175.

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2021The relative pricing of sovereign credit risk after the Eurozone crisis. (2021). Ruggiero, Francesco ; Corvino, Raffaele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s026156062030293x.

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2021Do sovereign ratings cause instability in cross-border emerging CDS markets?. (2021). Gonzalez-Urteaga, Ana ; Ballester, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:643-663.

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2021How does news flow affect cross-market volatility spillovers? Evidence from China’s stock index futures and spot markets. (2021). Zhang, Zhaoyong ; Zhou, Xinmiao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:196-213.

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2020Derivatives in Sustainable Finance. (2020). Thomadakis, Apostolos ; Lannoo, Karel. In: ECMI Papers. RePEc:eps:ecmiwp:29791.

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2020An Empirical Assessment of Monetary Policy Channels on Income and Wealth Disparities. (2020). Alves, José ; Silva, Tomas . In: Working Papers REM. RePEc:ise:remwps:wp01442020.

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2020On shadow banking and fiÂ…nancial frictions in DSGE modeling. (2020). Kirchner, Philipp . In: MAGKS Papers on Economics. RePEc:mar:magkse:202019.

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2020Credit Risk and the Transmission of Interest Rate Shocks. (2020). Yamarthy, Ram ; Palazzo, Berardino. In: Working Papers. RePEc:ofr:wpaper:20-05.

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2020Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad. (2020). Garcia, Margarita Martin ; Valle, Cecilia Tellez ; Martin, Jose Luis ; Ramon-Jeronimo, Maria A. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:30:y:2020:i:1:p:58-78.

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2020The effect of environmental sustainability on credit risk. (2020). Zwergel, Bernhard ; Landau, Alexander ; Klein, Christian ; Hock, Andre. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00155-4.

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2020Sovereign Risk, Cross-Currency Basis and Equity Markets: A Cross-Market Dynamic Interaction. (2020). Ibhagui, Oyakhilome. In: MPRA Paper. RePEc:pra:mprapa:100946.

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2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo. In: Working Paper series. RePEc:rim:rimwps:21-09.

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2020.

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2021Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis. (2021). Molyneux, Philip ; Li, Matthew C ; Fu, Xiaoqing. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01852-0.

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2021CDS trading and nonrelationship lending dynamics. (2021). Wittenberg-Moerman, Regina ; Williams, Christopher D ; Kang, Jung Koo. In: Review of Accounting Studies. RePEc:spr:reaccs:v:26:y:2021:i:1:d:10.1007_s11142-020-09562-9.

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2021Measuring credit risk using qualitative disclosure. (2021). Lee, Joshua ; Koharki, Kevin ; Jennings, Jared ; Donovan, John. In: Review of Accounting Studies. RePEc:spr:reaccs:v:26:y:2021:i:2:d:10.1007_s11142-020-09575-4.

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2020Structural breaks in the interaction between bank and sovereign default risk. (2020). Pascual, Joaquin Lopez ; Lovreta, Lidija. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:11:y:2020:i:4:d:10.1007_s13209-020-00219-z.

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2020Modelling Sovereign Credit Risk: Binomial Approach. (2020). Onay, Yigit ; Kucuksarac, Doruk ; Guney, Ibrahim Ethem. In: CBT Research Notes in Economics. RePEc:tcb:econot:2009.

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2020Collateral Constraints, Tranching, and Price Bases. (2020). Phelan, Gregory ; Gong, Feixue. In: Department of Economics Working Papers. RePEc:wil:wileco:2020-03.

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2021Market Discipline through Credit Ratings and Too?Big?to?Fail in Banking. (2021). Ongena, Steven ; Kiesel, Florian ; Kolaric, Sascha. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:53:y:2021:i:2-3:p:367-400.

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2020The market impact of systemic risk capital surcharges. (2020). Gündüz, Yalin ; Gunduz, Yalin. In: Discussion Papers. RePEc:zbw:bubdps:092020.

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Works by Roberto Blanco:


YearTitleTypeCited
1999El mercado español de renta variable. Análisis de la liquidez e influencia del mercado de derivados In: Estudios Económicos.
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book0
2000Una estimación de primas de liquidez en el mercado español de deuda pública In: Boletín Económico.
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article0
2000¿Ha aumentado el grado de integración financiera durante los noventa? In: Boletín Económico.
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article0
2000Los nuevos mercados bursátiles: un instrumento para financiar la nueva economía In: Boletín Económico.
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article0
2001Los mercados de deuda pública del área del euro. Evolución reciente e implicaciones In: Boletín Económico.
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article0
2001Estimación de expectativas de inflación a partir de los precios del bono indiciado francés In: Boletín Económico.
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article0
2003El contenido informativo de los derivados crediticios In: Boletín Económico.
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article0
2003La importancia de la composición sectorial en la evolución reciente de las bolsas In: Boletín Económico.
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article0
2004Créditos hipotecarios a tipo de interés fijo frente a tipo variable: comparación de riesgos e implicaciones macroeconómicas In: Boletín Económico.
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article0
2007La volatilidad del tipo de interés a un día y su transmisión a lo largo de la curva de rentabilidades del mercado monetario del área del euro In: Boletín Económico.
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article0
2008Los efectos de las variaciones de los tipos de interés del mercado monetario sobre la renta de los hogares en España In: Boletín Económico.
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article0
2003The significance of sectoral composition in recent stock market developments In: Economic Bulletin.
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article0
2007Overnight interest rate volatility and its transmission along the euro area money market yield curve In: Economic Bulletin.
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article0
2006House prices and real interest rates in Spain In: Occasional Papers.
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paper2
2006Monetary and financial conditions In: Other publications.
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chapter0
2006The financial system In: Other publications.
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chapter1
2000Estimating Liquidity Premia in the Spanish Government Securities Market In: Working Papers.
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paper4
2001Estimating liquidity premia in the Spanish Government securities market.(2001) In: BIS Papers chapters.
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chapter
2004Estimating liquidity premia in the Spanish government securities market.(2004) In: The European Journal of Finance.
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article
2001Estimating Inflation Expectations using French Government Inflation-Indexed Bonds In: Working Papers.
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paper3
2001The Euro-Area Government Securities Markets. Recent Developments and Implications for Market Functioning In: Working Papers.
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paper13
2002Euro area government securities markets: recent developments and implications for market functioning.(2002) In: BIS Papers chapters.
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This paper has another version. Agregated cites: 13
chapter
2004An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps In: Working Papers.
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paper53
2004An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps.(2004) In: Bank of England working papers.
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This paper has another version. Agregated cites: 53
paper
2005Testing the forecasting performace of IBEX 35 option implied risk neutral densities In: Working Papers.
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2005Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities.(2005) In: DFAEII Working Papers.
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This paper has another version. Agregated cites: 3
paper
2005Is the volatility of the EONIA transmitted to longer-term euro money market interest rates? In: Working Papers.
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paper5
2006Option-implied preferences adjustments, density forecasts, and the equity risk premium In: Working Papers.
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paper3
2009Option-implied preferences adjustments, density forecasts, and the equity risk premium.(2009) In: Spanish Economic Review.
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This paper has another version. Agregated cites: 3
article
2007Have real interest rates really fallen that much in Spain? In: Working Papers.
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paper0
2011HAVE REAL INTEREST RATES REALLY FALLEN THAT MUCH IN SPAIN?.(2011) In: Revista de Economia Aplicada.
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This paper has another version. Agregated cites: 0
article
2012Determinants of default ratios in the segment of loans to households in Spain In: Working Papers.
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paper5
2018Credit allocation along the business cycle: evidence from the latest boom bust credit cycle in Spain In: Working Papers.
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paper1
1999Has Financial Market Integration Increased during the Nineties? In: Working Papers.
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paper6
2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps In: Journal of Finance.
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article402
1992Análisis de coberturas de bonos con futuros financieros y aplicación al caso español In: Working Papers.
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paper0
2005Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts In: DFAEII Working Papers.
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201350 Years of Money and Finance: Lessons and Challenges In: SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges.
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book11
2013The 2007- Financial Crisis - a EURO-pean Perspective In: SUERF 50th Anniversary Volume Chapters.
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chapter0
1992Coberturas de carteras de bonos con futuros financieros: evidencia en el caso español In: Investigaciones Economicas.
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article0
2000Efectos sobre la volatilidad del mercado bursátil de la introducción de los contratos de futuros y opciones sobre el índice IBEX-35 In: Investigaciones Economicas.
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article1

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