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Pedro Gurrola Perez

Personal Details

First Name:Pedro
Middle Name:
Last Name:Gurrola Perez
Suffix:
RePEc Short-ID:pgu582

Affiliation

World Federation of Exchanges

London, United Kingdom
http://www.world-exchanges.org/
RePEc:edi:wfexcuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Gurrola-Perez, Pedro & He, Jieshuang & Harper, Gary, 2019. "Securities settlement fails network and buy‑in strategies," Bank of England working papers 821, Bank of England.
  2. Benos, Evangelos & Garratt, Rodney & Gurrola-Perez, Pedro, 2017. "The economics of distributed ledger technology for securities settlement," Bank of England working papers 670, Bank of England.
  3. Benos, Evangelos & Ferrara, Gerardo & Gurrola-Perez, Pedro, 2017. "The impact of de-tiering in the United Kingdom’s large-value payment system," Bank of England working papers 676, Bank of England.
  4. Gurrola-Perez, Pedro & Murphy, David, 2015. "Filtered historical simulation Value-at-Risk models and their competitors," Bank of England working papers 525, Bank of England.

Articles

  1. Pedro Gurrola-Perez & Renata Herrerias, 2021. "Volatility patterns of short-term interest rate futures," The European Journal of Finance, Taylor & Francis Journals, vol. 27(16), pages 1604-1625, November.
  2. Renata Herrerías & Pedro Gurrola, 2012. "Monetary Policy Announcements and Short-Term Interest Rate Futures Volatility: Evidence from the M exican Market," International Finance, Wiley Blackwell, vol. 15(2), pages 225-250, June.
  3. Pedro Gurrola & Renata Herrerías, 2011. "Maturity effects in the Mexican interest rate futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(4), pages 371-393, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Benos, Evangelos & Garratt, Rodney & Gurrola-Perez, Pedro, 2017. "The economics of distributed ledger technology for securities settlement," Bank of England working papers 670, Bank of England.

    Cited by:

    1. Jonathan Chiu & Thorsten V. Koeppl, 2018. "Blockchain-based Settlement For Asset Trading," Working Paper 1397, Economics Department, Queen's University.
    2. Auer, Raphael, 2019. "Embedded supervision: how to build regulation into blockchain finance," CEPR Discussion Papers 14095, C.E.P.R. Discussion Papers.
    3. Franklin Allen & Julapa Jagtiani, 2020. "A Survey of Fintech Research and Policy Discussion," Working Papers 20-21, Federal Reserve Bank of Philadelphia.
    4. Morten Linnemann Bech & Rodney Garratt, 2017. "Central bank cryptocurrencies," BIS Quarterly Review, Bank for International Settlements, September.
    5. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
    6. Robert HELLVIG & Cătălin DUMITRESCU & Matei DUMITRESCU, 2020. "Management Of Cybercrime In The Financial Field - Perspectives To Combat The Phenomenon," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 59(3), pages 23-33, September.
    7. Jack Meaning & Ben Dyson & James Barker & Emily Clayton, 2021. "Broadening Narrow Money: Monetary Policy with a Central Bank Digital Currency," International Journal of Central Banking, International Journal of Central Banking, vol. 17(2), pages 1-42, June.
    8. Fangyuan Zhao & Wai Kin (Victor) Chan, 2020. "When Is Blockchain Worth It? A Case Study of Carbon Trading," Energies, MDPI, vol. 13(8), pages 1-28, April.
    9. Walter blocher & Andreas Hanl & Jochen Michaelis, 2017. "Revolutionieren Kryptowährungen die Zahlungssysteme?," MAGKS Papers on Economics 201748, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    10. Eswar Prasad, 2020. "New and evolving financial technologies implications for monetary policy and financial stability in Latin America," Documentos de trabajo 019463, Documentos de Discusión FLAR.
    11. Schuster, Philipp & Theissen, Erik & Uhrig-Homburg, Marliese, 2020. "Finanzwirtschaftliche Anwendungen der Blockchain-Technologie," CFR Working Papers 20-02, University of Cologne, Centre for Financial Research (CFR).
    12. Serrano-Calle, Silvia & Robles, Tomás & Martín, Diego & Mateos, Raquel, 2018. "Digitalization of Operations Management with Emotional and Intelligence Tools. Blockchain and IoT integration, the last disruption?," 29th European Regional ITS Conference, Trento 2018 184967, International Telecommunications Society (ITS).
    13. Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Optimal margin requirement," Finance Research Letters, Elsevier, vol. 31(C).
    14. Narayan Bulusu & Pierre Guérin, 2018. "What Drives Interbank Loans? Evidence from Canada," Staff Working Papers 18-5, Bank of Canada.
    15. Serrano-Calle, Silvia & Delarue, Erik, 2018. "Smart Technologies Applied to the Energy Sector. Renewable Energy Expansion Strengthened by Digital Communications and Distributed Ledger Technologies?," 29th European Regional ITS Conference, Trento 2018 184966, International Telecommunications Society (ITS).
    16. Anil Savio Kavuri & Alistair Milne, 2019. "FinTech and the future of financial services: What are the research gaps?," CAMA Working Papers 2019-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

  2. Benos, Evangelos & Ferrara, Gerardo & Gurrola-Perez, Pedro, 2017. "The impact of de-tiering in the United Kingdom’s large-value payment system," Bank of England working papers 676, Bank of England.

    Cited by:

    1. Paulick, Jan & Berndsen, Ron & Diehl, Martin & Heijmans, Ronald, 2021. "No more Tears without Tiers? The Impact of Indirect Settlement on liquidity use in TARGET2," Discussion Paper 2021-022, Tilburg University, Center for Economic Research.

  3. Gurrola-Perez, Pedro & Murphy, David, 2015. "Filtered historical simulation Value-at-Risk models and their competitors," Bank of England working papers 525, Bank of England.

    Cited by:

    1. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
    2. Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
    3. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    4. Junyao Chen & Tony Sit & Hoi Ying Wong, 2019. "Simulation-based Value-at-Risk for Nonlinear Portfolios," Papers 1904.09088, arXiv.org.
    5. Westgaard, Sjur & Fleten, Stein-Erik & Negash, Ahlmahz & Botterud, Audun & Bogaard, Katinka & Verling, Trude Haugsvaer, 2021. "Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market," Energy, Elsevier, vol. 214(C).
    6. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Estimating risks of option books using neural-SDE market models," Papers 2202.07148, arXiv.org.
    7. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    8. Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022. "Estimating value at risk: LSTM vs. GARCH," Papers 2207.10539, arXiv.org.
    9. Hollyman, Ross & Petropoulos, Fotios & Tipping, Michael E., 2021. "Understanding forecast reconciliation," European Journal of Operational Research, Elsevier, vol. 294(1), pages 149-160.
    10. Jae‐Yun Jun & Victor Lebreton & Yves Rakotondratsimba, 2021. "Forecasting negative yield‐curve distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 367-386, April.
    11. Murphy, David & Vause, Nicholas, 2021. "A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models," Bank of England working papers 950, Bank of England.
    12. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

Articles

  1. Renata Herrerías & Pedro Gurrola, 2012. "Monetary Policy Announcements and Short-Term Interest Rate Futures Volatility: Evidence from the M exican Market," International Finance, Wiley Blackwell, vol. 15(2), pages 225-250, June.

    Cited by:

    1. Alicia Garcia-Herrero & Eric Girardin & Arnoldo Lopez Marmolejo, 2015. "Mexico’s monetary policy communication and money markets," Working Papers 1515, BBVA Bank, Economic Research Department.
    2. Alicia Garcia-Herrero & Eric Girardin & Enestor Dos Santos, 2015. "Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets," Working Papers 1512, BBVA Bank, Economic Research Department.

  2. Pedro Gurrola & Renata Herrerías, 2011. "Maturity effects in the Mexican interest rate futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(4), pages 371-393, April.

    Cited by:

    1. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
    2. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
    3. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.
    4. Sun, Zesheng & Wang, Yaoqing & Zhou, Xu & Yang, Lunan, 2019. "The roundabout from interest rates to commodity prices in China: The role of money flow," Resources Policy, Elsevier, vol. 61(C), pages 627-642.
    5. Sanjay Sehgal & Tarunika Jain Agrawal, 2019. "Impact of Commodity Transaction Tax on Market Liquidity, Volatility, and Government Revenues: An Empirical Study for India," Vikalpa: The Journal for Decision Makers, , vol. 44(1), pages 12-29, March.
    6. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    7. Phan, Hoàng-Long & Zurbruegg, Ralf & Brockman, Paul & Yu, Chia-Feng (Jeffrey), 2022. "Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information," Journal of Commodity Markets, Elsevier, vol. 26(C).

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (2) 2015-03-13 2017-09-17
  2. NEP-PAY: Payment Systems & Financial Technology (2) 2017-08-27 2017-09-17
  3. NEP-DES: Economic Design (1) 2017-08-27
  4. NEP-ORE: Operations Research (1) 2019-11-18
  5. NEP-RMG: Risk Management (1) 2015-03-13

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