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Publications

by members of

Departament d'Economia Financiera i Actuarial
Facultad de Economía
Universidad de València
València, Spain

(Department of Financial and Actuarial Economics, Faculty of Economics, University of Valencia)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

Undated material is listed at the end

2022

  1. Manuel Ventura-Marco & Carlos Vidal-Meliá & Juan Manuel Pérez-Salamero González, 2022. "Life care annuities to help couples cope with the cost of long-term care," Documentos de Trabajo del ICAE 2022-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

2021

  1. Juan Manuel Pérez-Salamero González & Marta Regúlez-Castillo & Carlos Vidal-Meliá, 2021. "Differences in life expectancy between self-employed workers and paid employees when retirement pensioners: evidence from Spanish social security records," Documentos de Trabajo del ICAE 2021-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Juan Manuel Pérez-Salamero González & Marta Regúlez Castillo & Carlos Vidal-Meliá, 2021. "Mortality and life expectancy trends for male pensioners by pension income level," Documentos de Trabajo del ICAE 2021-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. Anne M. Garvey & Juan Manuel Pérez-Salamero González & Manuel Ventura-Marco & Carlos Vidal-Meliá, 2021. "From “Table 29” to the actuarial balance sheet: is it really that big a leap?," Documentos de Trabajo del ICAE 2021-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

2019

  1. Vicente Nuñez-Antón & Juan Manuel Pérez-Salamero González & Marta Regúlez-Castillo & Carlos Vidal-Meliá, 2019. "Improving the representativeness of a simple random sample: an optimization model and its application to the Continuous Sample of Working Lives," Documentos de Trabajo del ICAE 2019-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Anne M. Garvey & Manuel Ventura-Marco & Carlos Vidal-Meliá, 2019. "Does the pension system’s income statement really matter? A proposal for an NDC scheme with disability and minimum pension benefits," Documentos de Trabajo del ICAE 2019-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

2018

  1. Hipòlit Torró, 2018. "The Response of European Energy Prices to ECB Monetary Policy," Working Papers 2018.09, Fondazione Eni Enrico Mattei.
  2. Carlos Vidal-Meliá & Manuel Ventura-Marco & Juan Manuel Pérez-Salamero González, 2018. "Actuarial accounting for a notional defined contribution scheme combining retirement and longterm care benefits," Documentos de Trabajo del ICAE 2018-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

2017

  1. Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Javier Pla-Porcel & Manuel Ventura-Marco & Carlos Vidal-Meliá, 2017. "How do unisex life care annuities embedded in a pay-as-you-go retirement system affect gender redistribution?," Documentos de Trabajo del ICAE 2017-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. Juan Manuel Pérez-Salamero González & Marta Regúlez-Castillo & Manuel Ventura-Marco & Carlos Vidal-Meliá, 2017. "Automatic regrouping of strata in the chi-square test," Documentos de Trabajo del ICAE 2017-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

2016

  1. Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy 232212, Fondazione Eni Enrico Mattei (FEEM).

2015

  1. Beatriz Martínez & Hipòlit Torró, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Working Papers 2015.10, Fondazione Eni Enrico Mattei.

2011

  1. Carlos Vidal-Melia & Maria Carmen Boado-Penas, 2011. "Compiling the Actuarial Balance for Pay-As-You-Go Pension Systems. Is it better to use the Hidden Asset or the Contribution Asset?," Post-Print hal-00762894, HAL.

2010

  1. Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.

2009

  1. Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany.

2008

  1. Hipòlit Torró & Julio Lucia, 2008. "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC 2008-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Maria del Carmen Boado-Penas & Salvador Valdés-Prieto & Carlos Vidal-Meliá, 2008. "The Actuarial Balance Sheet for Pay-As-You-Go Finance: Solvency Indicators for Spain and Sweden," CESifo Working Paper Series 2182, CESifo.
  3. María del Carmen Boado Penas & Carlos Vidal- Meliá, 2008. "El balance actuarial como indicador de la solvencia del sistema de reparto," Working Papers. Serie EC 2008-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

2007

  1. Hipòlit Torró, 2007. "Forecasting Weekly Electricity Prices at Nord Pool," Working Papers 2007.88, Fondazione Eni Enrico Mattei.
  2. Helena Chuliá Soler & Pilar Soriano Felipe & Francisco Climent & Hipòlit Torró, 2007. "Volatility Transmission Patterns And Terrorist Attacks," Working Papers. Serie EC 2007-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

2005

  1. Carlos Vidal-Meliá & Inmaculada Domínguez-Fabian, 2005. "The Spanish Pension System: Issues Of Introducing Notional Defined Contribution Accounts," Public Economics 0504006, University Library of Munich, Germany.

2004

  1. Carlos Vidal-Melia & Ana Lejárraga-García, 2004. "The Bequest Motive And Single People’S Demand For Life Annuities," Public Economics 0405005, University Library of Munich, Germany.
  2. Carlos Vidal-Melia & Ana Lejárraga-García, 2004. "Demand For Life Annuities From Married Couples With A Bequest Motive," Public Economics 0409009, University Library of Munich, Germany.

2002

  1. Carlos Vidal- Meliá & José E. Devesa- Carpio & Rosa Rodríguez- Barrera, 2002. "Assessing Administration Charges For The Affiliate In Individual Account Systems," Working Papers. Serie EC 2002-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

2001

  1. Enric Valor & Hipòlit Torró & Vicente Meneu, 2001. "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC 2001-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Pascual, Roberto & Pascual Fuste, Bartolomé & Climent, Francisco, 2001. "Cross-listing, price discovery and the informativeness of the trading process," DEE - Working Papers. Business Economics. WB wb014511, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

2000

  1. Carlos Vidal & José E. Devesa- Carpio & Mónica Martínez, 2000. "Análisis Y Valoración De Los Sistemas De Pensiones Reformados En Latinoamérica," Working Papers. Serie EC 2000-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

1999

  1. Ana Lejárraga & Carlos Vidal & José E. Devesa- Carpio, 1999. "- La Viabilidad Financiera Del Sistema De Pensiones De Reparto: Aplicación A La Contingencia De Jubilación Del Régimen General De La Seguridad Social Española," Working Papers. Serie EC 1999-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

1996

  1. Ángel Pardo Tornero & Francisco José Climent Diranzo, 1996. "Estudio de las relaciones entre el contrato de futuro sobre IBEX-35 y su activo subyacente," Working Papers. Serie EC 1996-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

Undated

  1. Vicente Meneu & Hipolit Torro, "undated". "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
  2. Francisco J. Climent & Vicente Meneu, "undated". "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance 01-01, FEDEA.
  3. Francisco J. Climent & Vicente Meneu, "undated". "oSe ha incrementado la transmisión de información entre los mercados Bursátiles internaciones a raiz de la crisis asiática de 1997?," Studies on the Spanish Economy 82, FEDEA.
  4. Francisco Climent Diranzo & Robert Meneu Gaya, "undated". "Relaciones de equilibrio entre demografía y crecimiento económico en Espana," Studies on the Spanish Economy 163, FEDEA.
  5. Carlos Vidal-Meliá & Inmaculada Domínguez-Fabián & María del Carmen Boado-Penas, "undated". "Notional Defined Contribution Accounts (NDCs): Solvency and Risk; Application to the Case of Spain," Studies on the Spanish Economy 226, FEDEA.

Journal articles

2022

  1. Soriano, Pilar & Torró, Hipòlit, 2022. "The response of Brent crude oil to the European central bank monetary policy," Finance Research Letters, Elsevier, vol. 46(PA).

2021

  1. Juan Manuel Pérez-Salamero González & Marta Regúlez-Castillo & Carlos Vidal-Meliá, 2021. "Differences in Life Expectancy Between Self-Employed Workers and Paid Employees when Retirement Pensioners: Evidence from Spanish Social Security Records," European Journal of Population, Springer;European Association for Population Studies, vol. 37(3), pages 697-725, July.

2020

  1. Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
  2. Vidal-Melia, Carlos & Ventura-Marco, Manuel & Pla-Porcel, Javier, 2020. "An NDC approach to helping pensioners cope with the cost of long-term care," Journal of Pension Economics and Finance, Cambridge University Press, vol. 19(1), pages 80-108, January.
  3. Vicente Núñez-Antón & Juan Manuel Pérez-Salamero González & Marta Regúlez-Castillo & Carlos Vidal-Meliá, 2020. "Improving the Representativeness of a Simple Random Sample: An Optimization Model and Its Application to the Continuous Sample of Working Lives," Mathematics, MDPI, vol. 8(8), pages 1-27, July.

2019

  1. Hipòlit Torró, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.

2018

  1. Martínez, Beatriz & Torró, Hipòlit, 2018. "Hedging spark spread risk with futures," Energy Policy, Elsevier, vol. 113(C), pages 731-746.
  2. Martínez, Beatriz & Torró, Hipòlit, 2018. "Analysis of risk premium in UK natural gas futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 621-636.
  3. Carlos Vidal-Meliá & Manuel Ventura-Marco & Juan Manuel Pérez-Salamero González, 2018. "Social Insurance Accounting for a Notional Defined Contribution Scheme Combining Retirement and Long-Term Care Benefits," Sustainability, MDPI, vol. 10(8), pages 1-36, August.

2017

  1. Juan Manuel Pérez-Salamero González & Marta Regúlez-Castillo & Carlos Vidal-Meliá, 2017. "The continuous sample of working lives: improving its representativeness," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 8(1), pages 43-95, March.
  2. Juan M. Pérez‐Salamero González & Manuel Ventura‐Marco & Carlos Vidal‐Meliá, 2017. "A “Swedish” actuarial balance for a notional defined contribution pension scheme with disability and minimum pension benefits," International Social Security Review, John Wiley & Sons, vol. 70(3), pages 79-104, July.

2016

  1. Pla-Porcel, Javier & Ventura-Marco, Manuel & Vidal-Meliá, Carlos, 2016. "Life Care Annuities (Lca) Embedded In A Notional Defined Contribution (Ndc) Framework," ASTIN Bulletin, Cambridge University Press, vol. 46(2), pages 331-363, May.
  2. Manuel Ventura-Marco & Carlos Vidal-Meliá, 2016. "Integrating retirement and permanent disability in NDC pension schemes," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1081-1102, March.
  3. Juan Manuel Pérez-Salamero & Marta Regúlez Castillo & Carlos Vidal Meliá, 2016. "Análisis de la representatividad de la MCVL: el caso de las prestaciones del sistema público de pensiones," Hacienda Pública Española / Review of Public Economics, IEF, vol. 217(2), pages 67-130, June.
  4. Carlos Vidal-Meliá & María del Carmen Boado-Penas & Francisco Navarro-Cabo, 2016. "Notional defined contribution pension schemes: why does only Sweden distribute the survivor dividend?," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 19(3), pages 200-220, July.

2015

  1. Martínez, Beatriz & Torró, Hipòlit, 2015. "European natural gas seasonal effects on futures hedging," Energy Economics, Elsevier, vol. 50(C), pages 154-168.

2014

  1. Boado-Penas & Carlos Vidal-Meli�, 2014. "Nonfinancial defined contribution pension schemes: is a survivor dividend necessary to make the system balanced?," Applied Economics Letters, Taylor & Francis Journals, vol. 21(4), pages 242-247, March.
  2. Vidal-Meliã , Carlos, 2014. "An assessment of the 2011 Spanish pension reform using the Swedish system as a benchmark," Journal of Pension Economics and Finance, Cambridge University Press, vol. 13(3), pages 297-333, July.
  3. Ventura-Marco, Manuel & Vidal-Meliá, Carlos, 2014. "An Actuarial Balance Sheet Model For Defined Benefit Pay-As-You-Go Pension Systems With Disability And Retirement Contingencies," ASTIN Bulletin, Cambridge University Press, vol. 44(2), pages 367-415, May.

2013

  1. Hernandis, Lucía & Torró, Hipòlit, 2013. "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5316-5328.
  2. Dolores Furió & Francisco J. Climent, 2013. "Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 45-63, January.

2012

  1. Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  2. Marta Regúlez‐Castillo & Carlos Vidal‐Meliá, 2012. "Individual information for pension contributors: Recommendations for Spain based on international experience," International Social Security Review, John Wiley & Sons, vol. 65(2), pages 1-27, April.

2011

  1. Lucia, Julio J. & Torró, Hipòlit, 2011. "On the risk premium in Nordic electricity futures prices," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 750-763, October.
  2. Helena Chulia & Hipolit Torro, 2011. "Firm size and volatility analysis in the Spanish stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 17(8), pages 695-715.
  3. Francisco Climent & Pilar Soriano, 2011. "Green and Good? The Investment Performance of US Environmental Mutual Funds," Journal of Business Ethics, Springer, vol. 103(2), pages 275-287, October.

2009

  1. Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro, 2009. "Volatility transmission patterns and terrorist attacks," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 607-619.
  2. Carlos Vidal-Meliá & María del Carmen Boado-Penas & Ole Settergren, 2009. "Automatic Balance Mechanisms in Pay-As-You-Go Pension Systems," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 34(2), pages 287-317, April.

2008

  1. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
  2. María del Carmen Boado-Penas & Salvador Valdés-Prieto & Carlos Vidal-Meliá, 2008. "The Actuarial Balance Sheet for Pay-As-You-Go Finance: Solvency Indicators for Spain and Sweden," Fiscal Studies, Institute for Fiscal Studies, vol. 29(1), pages 89-134, March.

2007

  1. Helena Chuliá & Hipòlit Torró, 2007. "Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas cotizadas en la bolsa española," Investigaciones Economicas, Fundación SEPI, vol. 31(3), pages 445-474, September.
  2. Angel Pardo & Hipòlit Torró, 2007. "Trading with Asymmetric Volatility Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1548-1568, November.
  3. Climent, Francisco & Pardo, Angel, 2007. "Decoupling factors on the energy-output linkage: The Spanish case," Energy Policy, Elsevier, vol. 35(1), pages 522-528, January.
  4. María Del Carmen Boado‐Penas & Inmaculada Domínguez‐Fabiá & Carlos Vidal‐Meliá, 2007. "Notional defined contributions (NDC): Solvency and risk in Spain," International Social Security Review, John Wiley & Sons, vol. 60(4), pages 105-127, October.

2006

  1. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, vol. 9(2), pages 144-161, May.
  2. Carlos Vidal‐Meliá & Inmaculada Domínguez‐Fabián & José Enrique Devesa‐Carpio, 2006. "Subjective Economic Risk to Beneficiaries in Notional Defined Contribution Accounts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(3), pages 489-515, September.
  3. Vidal-Meliã , Carlos & Lejã Rraga-Garcã A, Ana, 2006. "Demand for life annuities from married couples with a bequest motive," Journal of Pension Economics and Finance, Cambridge University Press, vol. 5(2), pages 197-229, July.

2003

  1. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
  2. Climent, Francisco & Meneu, Vicente, 2003. "Has 1997 Asian crisis increased information flows between international markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 111-143.

2000

  1. Ángel Pardo & Francisco Climent, 2000. "Relaciones temporales entre el contrato de futuro sobre IBEX-35 y su activo subyacente," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 219-236, January.

Chapters

2021

  1. Anne Marie Garvey & Manuel Ventura-Marco & Carlos Vidal-Meliá, 2021. "The Importance of Reporting a Pension System’s Income Statement and Budgeted Variances in a Fair and Sustainable Scheme," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 229-234, Springer.

2020

  1. Beatriz Martinez & Hipòlit Torró & Vanesa Garcia, 2020. "German Natural Gas Seasonal Effects on Futures Hedging," World Scientific Book Chapters, in: Stéphane Goutte & Duc Khuong Nguyen (ed.), HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, chapter 23, pages 553-577, World Scientific Publishing Co. Pte. Ltd..

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