Calendar anomalies in cash and stock index futures: International evidence

C Floros, E Salvador - Economic Modelling, 2014 - Elsevier
This paper examines calendar anomalies (day-of-the-week and monthly seasonal effects)
in cash and stock index futures returns. We consider daily data from FTSE100 (UK), FTSE/ASE…

Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?

E Salvador, C Floros, V Arago - Journal of Empirical Finance, 2014 - Elsevier
This paper analyzes the risk–return trade-off in Europe using recent data from 11 European
stock markets. After relaxing the linear assumptions in the risk–return relationship by …

Asset allocation with correlation: A composite trade-off

R Carroll, T Conlon, J Cotter, E Salvador - European Journal of Operational …, 2017 - Elsevier
We assess the ability of minimum-variance portfolio allocation strategies accounting for time-varying
correlation between assets to provide performance benefits relative to an equally-…

Polyurethane-acrylate based films as humidity sensors

P Bosch, A Fernández, EF Salvador, T Corrales… - Polymer, 2005 - Elsevier
Fluorescence spectroscopy, together with a conventional gravimetric method, were
employed to study the mechanism and kinetics of water diffusion in UV-cured polyurethane-acrylate …

[HTML][HTML] Market risk aversion under volatility shifts: An experimental study

…, A Breaban, JC Matallín, E Salvador - International Review of …, 2022 - Elsevier
We propose an experiment to analyze the relationship between volatility regimes and investors’
behavior and explore the mechanism by which aggregated risk aversion is configured. …

[HTML][HTML] Food prices, ethics and forms of speculation

D Bredin, V Potě, E Salvador - Journal of Business Ethics, 2021 - Springer
This paper examines the role of speculative motives in the determination of commodity
prices and specifically food related commodity prices. The motivation for this study is the …

Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach

E Salvador, V Aragó - Journal of Futures Markets, 2014 - Wiley Online Library
This study estimates linear and nonlinear GARCH models to find optimal hedge ratios with
futures contracts for some of the main European stock indexes. By introducing nonlinearities …

Following in situ photoinitiated polymerization of multifunctional acrylic monomers by fluorescence and photocalorimetry simultaneously

C Peinado, A Alonso, EF Salvador, J Baselga… - Polymer, 2002 - Elsevier
The photoinitiated polymerization of multifunctional (meth)acrylic monomers was simultaneously
monitored in real time by fluorescence and differential scanning calorimetry. As the …

Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models

N Alemany, V Aragó, E Salvador - International Review of Economics & …, 2020 - Elsevier
This paper analyzes the impact of arbitrage opportunity changes on the price discovery process
between the DAX30 index and the DAX30 index future within a short time scale. To this …

Volatility, trading volume and open interest in futures markets

C Floros, E Salvador - International Journal of Managerial Finance, 2016 - emerald.com
Purpose The purpose of this paper is to examine the effect of trading volume and open
interest on volatility of futures markets. The authors capture the size and change in speculative …