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Robles Fernández, María Dolores ; Fernández Casillas, M. Esther ; Jiménez-Martín, Juan-Ángel ; Pérez Sánchez, Rafaela M. ; Ruiz Andújar, Jesús | 2016-07-28Este proyecto propone una estrategia de evaluación encaminada a seguir avanzando en el diseño y aplicación de acciones innovadoras encaminadas a fomentar el aprendizaje activo del alumno comenzado en Fernández, Jiménez, Pérez, Robles y Ruiz (201[...]texto impreso
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view [...]texto impreso
Chang, Chia-Lin ; González Serrano, Lydia ; Jiménez-Martín, Juan-Ángel | 2012-02This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of [...]texto impreso
González-Serrano, Lydia ; Jiménez-Martín, Juan-Ángel | 2011-10This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the fut[...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2009-03Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) model[...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2010A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point [...]texto impreso
Santos, Paulo Araújo ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2011-07In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust [...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | 2012-11The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to[...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-05The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to[...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-01A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). [...]texto impreso
Jiménez-Martín, Juan-Ángel ; Robles Fernández, María Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005This paper estimates the dynamics of adjustment to long run purchasing power parity (PPP) using data for 18 mayor bilateral US dollar exchange rates, over the post-Bretton Woods period, in a non-linear framework. We use new unit root and cointeg[...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-09In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for fiv[...]texto impreso
Casarin, Roberto ; Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2011-08It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or[...]texto impreso
Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-02The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to[...]texto impreso
Jiménez-Martín, Juan-Ángel ; Flores de Frutos, Rafael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004Most dynamic equilibrium models of exchange rate are not able to generate monthly time series with the typical properties of actual exchange rate. If the exogenous endowments in an equilibrium exchange rate model contain seasonal variations, the[...]
