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Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointe[...]texto impreso
We use stock market data to analyze the quality of alternative models and procedures for fore- casting expected shortfall (ES) at different significance levels. We compute ES forecasts from conditional models applied to the full distribution of [...]texto impreso
Domínguez, Emilio ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002We evaluate the extent to which the explanatory power detected in the term structure in different markets and countries can actually be used to produce sensible forecasts of future short-term interest rates. Specifically, in spite of the forecas[...]texto impreso
García Ferrer, Antonio ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1995-03We analyze the ability of recent methods proposed for the specification and estimation of relationships among nonstationary variables, to overcome the traditional instability of empirical money demand functions. We use a 1964-1982 sample for the[...]texto impreso
Domínguez, Emilio ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998Using data on Euro-rates for 1978-1996, we have examined the extent to which crosscountry informatíon on tenn structure slopes can be used to improve upon univariate slope forecasts. This is interesting from fue point of view of forecasting econ[...]texto impreso
Garcia-Jorcano, Laura ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We introduce three dominance criteria to compare the performance of alternative VaR forecasting models. The three criteria use the information provided by a battery of VaR validation tests based on the frequency and size of exceedances, offering[...]texto impreso
Domínguez, Emilio ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from the point of view of forecasting ec[...]texto impreso
Novales Cinca, Alfonso ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se discute la posibilidad de cambios en la política fiscal que mejoren el bienestar en las economías reales, en un modelo de crecimiento endógeno con acumulación de capital humano. Abstract In an endogenous growth model with human capital accumu[...]texto impreso
Gómez, Inmaculada ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1997Salvo en situaciones excepcionales de compensación entre los efectos de pendiente y curvatura, los cambios experimentados por la estructura temporal en el mercado español de deuda están muy alejados de ser desplazamientos paralelos. Por tanto, s[...]texto impreso
Benito, Sonia ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005-05We show how the term structure of volatilities for zero-cupon interest rates from the Spanish secondary debt market can be explained by a reduced number of factors. This factor representation can be used to produce time series volatilities acros[...]texto impreso
Novales Cinca, Alfonso ; Domínguez, Emilio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002This paper departs from previous research in dealing with dimensionality reduction in the space of international term structure slopes. Recent empirical work has documented the existence of information in the slope of the term structure which is[...]texto impreso
Novales Cinca, Alfonso ; Flores de Frutos, Rafael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1996-09Utilizando 17 variables trimestrales macroeconómicas del Reino Unido, caracterizadas por Franses y Romijn (1993) como periódicamente integradas, hemos encontrado que modelos períodicos no restringidos no prevén mejor que modelos univariantes. En[...]texto impreso
Chamizo Cana, Álvaro ; Fonollosa, Alexandre ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We analyze whether the credit market anticipated the financial crisis before the regulators using a methodology that combines the Merton model for the determination of economic capital with Vasicek’s factor model for asset correlation. Contrary [...]texto impreso
García Ferrer, Antonio ; Hoyo Bernat, Juan del ; Novales Cinca, Alfonso ; Young, Peter C. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993Forecast of international GNP growth rates are computed using a novel, onobserved components model that allows for estimating the trend and the perturbational components in GNPdata. The model is formulated in state space terms, and estimating us[...]texto impreso
Flores de Frutos, Rafael ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1995-10We propose a general test for univariate seasonality. Starting from a multivariate model for the seasons. some constraints must hold both, on the covariance matrix of the innovations, as well as among coefficients across equations, for a univari[...]
