Información del autor
Autor Pérez-Amaral, Teodosio |
Documentos disponibles escritos por este autor (40)
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Recientemente ha habido un desarrollo teórico sustancial de contrastes de especificación que usan estimadores de la forma del producto, exterior de la matriz de información. Entre ellos están los contrastes m y de la matriz de información dinámi[...]![]()
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Pérez-Amaral, Teodosio ; Gallo, Giampiero M. ; White, Halbert | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2003A new method, called Relevant Transformation of the Inputs Network Approach (RETINA) is proposed as a tool for model building. It is designed around flexibility (with nonlinear transformations of the predictors of interest), selective search wit[...]![]()
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Pérez-Amaral, Teodosio ; Gallo, Giampiero M. ; White, Halbert | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002A new method, called relevant transformation of the inputs network approach (RETINA) is proposed as a tool for model building and selection. It is designed to improve some of the shortcomings of neural networks. It has the flexibility of neural [...]![]()
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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 [...]![]()
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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 [...]![]()
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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[...]![]()
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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[...]![]()
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García-Gallego, Aurora ; Georgantzís, Nikolaos ; Martín-Montaner, Joan ; Pérez-Amaral, Teodosio | 2012-09We analyze the interaction between university professors’ teaching quality and their research and administrative activities. Our sample is a high-quality individual panel data set from a medium size public Spanish university. Although, researche[...]![]()
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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). [...]![]()
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Cerno, Leonel ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006Abordamos el problema de medir las diferencias de digitalización que existen entre las Comunidades Autónomas de España. Partiendo de esta idea proponemos un índice sintético que permite cuantificar dicha diferencia, utilizándolo de dos maneras: [...]![]()
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Garín Muñoz, Teresa ; Pérez-Amaral, Teodosio | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1996-09En este trabajo presentamos un modelo de la demanda del tráfico telefónico que sale de España hacia un grupo de 24 países europeos. El modelo incorpora las características específicas del servicio telefónico de larga distancia y las relaciones s[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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Chang, Chia-Lin ; Allen, David E. ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2013-06The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers[...]