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Oscar CARCHANO | Cited by 90 | of University of Valencia, Valencia (UV) | Read 8 publications | Contact Oscar CARCHANO.
Centre : FAC ECONOMIA. Área : Economía Financiera y Contabilidad. Grupo de investigación : Economía financiera y finanzas de la energía. Email : oscar.carchano@uv.es. Doctor por la Universitat de València con la tesis Essays on stock index futures 2011. Dirigida por Dr. Angel Pardo Tornero.
Nov 13, 2011 · By applying a percentile-t-bootstrap and Monte Carlo methods, our analysis reveals that the turn-of-the-month effect in S&P 500 futures contracts is the only calendar effect that is statistically and economically significant and persistent over time.
- Oscar Carchano, Ángel Pardo Tornero
- 2011
Aug 18, 2020 · Oscar Carchano. University of Valencia - Department of Financial Economics. Date Written: July 16, 2020. Abstract.
- Jose Fernando Ospino, Luis Fernandez, Oscar Carchano
- 2020
Biography. Framed within the field of quantitative finance, my research career has been mainly focused on the analysis and measurement of financial risks, specifically the study of interest rate risk and credit risk.
Apr 6, 2012 · The construction of long series, however, is of interest for academic, hedging and investments purposes. In this study, we analyze the relevance of the choice of the rollover date on European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts.
Apr 6, 2009 · Óscar Carchano, Ángel Pardo. First published: 06 April 2009. https://doi.org/10.1002/fut.20373. Citations: 61. PDF. Tools. Share. Abstract. Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes.
