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Acosta-González, Eduardo ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2014-03Using a statistical methodology guided only by data and based on a genetic algorithm, we select the best econometric model for explaining the determinants of the size of the shadow economy, its main determinants being: taxes on capital gains of [...]texto impreso
Bajo-Rubio, Oscar ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Facultad de Ciencias Económicas y Empresariales. Decanato | 1992En este trabajo se muestran algunos contrastes de la presencia de caos determinista en las series de tipo de cambio peseta-dólar estadounidense, al contado y a futuros a uno y tres meses, con datos diarios correspondientes al período enero 1985 [...]texto impreso
Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2012We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measur[...]texto impreso
Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2012We offer further evidence on the relevance of technical trading in exchangerate markets using daily data for 95 currencies against the US dollar. To that end, we investigate the profitability of a simple technical trading rule based on Taylor’s [...]texto impreso
Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales ICEI | 2015This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, w[...]texto impreso
Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2015-02This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, w[...]texto impreso
Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Scientific Research Publishing | 2012We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of th[...]texto impreso
This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Broth[...]texto impreso
Using a statistical methodology guided by a genetic algorithm, we select the best econometric model for explaining the severity of the 2008 crisis, with the main determinant being the percentage of bank claims on private sector over deposits in [...]texto impreso
In this paper, we present an analysis of the effectiveness of various portfolio optimization strategies applied to the stocks included in the Spanish Ibex 35 index, for a period of 14 years, from 2001 until 2014. The period under study includes [...]texto impreso
We present a model to forecast the probability of bear markets in the Spanish IBEX 35 with a congruent and concise parameterization which selects the explanatory factors from a wide set of variables like the yield curve of Spain, US and Europe, [...]texto impreso
We measure the connectedness in EMU sovereign market volatility between April 1999 and January 2014, monitoring stress transmission and identifing episodes of intensive spillovers from one country to the others. We first perform a static and dyn[...]texto impreso
Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2015-02We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Y?lmaz (2012). Second, we make use of [...]texto impreso
Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2015We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Y?lmaz (2012). Second, we make use of [...]texto impreso
Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2016This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measu[...]
