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Autor Novales Cinca, Alfonso |
Documentos disponibles escritos por este autor (45)
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Marrero, Gustavo A. ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se demuestra que recaudar impuestos sobre la renta puede resultar una mejor alternativa que financiar el gasto público con impuestos de suma fija, en un modelo de crecimiento endógeno de un sector con gasto público productivo e improductivo y ba[...]![]()
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Marrero, Gustavo A. ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2003Some concepts associated with the notion of public consumption could be considered as wasteful public expenditures, so that a firstbest analysis would set their level equal to zero every period. However, their ratio to output is significant and [...]![]()
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Moreno, Manuel ; Novales Cinca, Alfonso ; Platania, Federico | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This paper introduces a two-factor continuous-time model for commodity pricing under the assump- tion that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean rever[...]![]()
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Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We provide a methodology to estimate a Global Credit Risk Factor (GCRF) from CDS spreads using the information provided by the default-related component of observed spreads. These are previ- ously estimated using Pan and Singleton (2008) methodo[...]![]()
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Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | 2014-07This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatil[...]![]()
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Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019Hedging a credit portfolio using single name CDS is affected by high spread volatility that induces continuous changes in a portfolio mark to market, which is a nuisance. Often, the problem is that CDS on firms in the portfolio are not being tra[...]![]()
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Novales Cinca, Alfonso ; Lafuente Luengo, Juan Ángel | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futures market price and its theoretical valuation according to the cost-of-carry model. Assuming a geometric Brownian motion for spot prices, we mode[...]![]()
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In an endogenous growth model with public consumption and public investment, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumption and investment. We[...]![]()
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In an endogenous growth model with public consumption and investment and an elastic labour supply, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumpt[...]![]()
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Eransus, Francisco Javier ; Novales Cinca, Alfonso | 2014-07We analyze the effect of parameter estimation error on the size of unconditional population level tests of predictive ability when they are implemented under a class of loss functions we refer to as ‘discrete functions’. The analysis is restrict[...]![]()
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Flores de Frutos, Rafael ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1994We propose considering a seasonal time series as the realization of a s-variate stochastic process, s being the seasonal periodo In this paper we propose a test statistic for the hypothesis of a univariate versus a multivariate representation of[...]![]()
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Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993When private agents have difficulty in interpreting price fluctuacions, they are led into suboptimal allocations of resources. Consequently, price uncertainty is an undesirable feature of a business cycle. However, the way how monetary po1[...]![]()
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García Ferrer, Antonio ; Hoyo Bernat, Juan del ; Young, Peter C. ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993En este trabajo proponemos un modelo novedoso de componentes no observables para las variaciones en el PNB anual en varios países. El modelo se formula en espacio de los estados y se estima mediante procedimientos recursivos de filtrado y de sua[...]![]()
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Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis, we present evidence supporting [...]![]()
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Novales Cinca, Alfonso ; Domínguez, Emilio ; Pérez, Javier ; Ruiz, Jesus | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998We provide a summarized presentation of solution methods for rational expectations models, based on eigenvalue/eigenvector decompositions. These methods solve systems of stochastic linear difference equations by relying on the use of stability c[...]