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Autor Jerez Méndez, Miguel |
Documentos disponibles escritos por este autor (25)
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Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998En este trabajo se deriva un algoritmo rápido para evaluar la función de verosimilitud exacta de procesos VARMAX periódicos. Su eficiencia computacional se consigue combinando una formulación de dimensión mínima en espacio de los estados, en for[...]![]()
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Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2000We describe a simple procedure for decomposing a vector of time series into trend, cycle, seasonal and irregular components. Contrary to common practice, we do not assume these components to be orthogonal conditional on their past. However, the [...]![]()
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En este trabajo se presentan algunos resultados obtenidos en un estudio del sistema eléctrico peninsular. Para ello se emplea un modelo lineal de los subsistemas de producción y transporte de energía eléctrica. El modelo utilizado presenta, como[...]![]()
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Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decom[...]![]()
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García Hiernaux, Alfredo ; Jerez Méndez, Miguel ; Casals Carro, José | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005En este trabajo se propone un nuevo procedimiento para detectar raíces unitarias basado en métodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales [...]![]()
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In this paper we discuss about dynamic programming models with a quadratic objetive function. An extension is suggested to relax the hypothesis of symmetric penalties. The extended model allows for a more accurate modelling of preferences.![]()
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Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1999We propose two fast and stable methods to compute the likelihood of econometric models in state-space form, allowing for unit roots. The first one exploits the properties of the Kalman filter when applied to models in steady-state innovations fo[...]![]()
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Hiernaux, Alfredo G. ; Casals Carro, José ; Jerez Méndez, Miguel | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final[...]![]()
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Casals Carro, José ; García Hiernaux, Alfredo ; Jerez Méndez, Miguel | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2010-10Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specically adequate for certain [...]![]()
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Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998In this work we derive a relationship between tbe exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result witbh a conventional smoother we obtain a new algoritbm with exact initial[...]![]()
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Terceiro Lomba, Jaime ; Casals Carro, José ; Jerez Méndez, Miguel ; Serrano García, Gregorio R. ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2000Software reliability is a wide issue, depending not only on the use of stable implementations of well-reputed algorithms, but also on software design aspects. This philosophy is implemented in E4, a MATLAB Toolbox which uses state-space methods [...]![]()
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Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | 2012-03Computing the gaussian likelihood for a nonstationary state-space model is a difficult problem which has been tackled by the literature using two main strategies: data transformation and diffuse likelihood. The data transformation approach is c[...]![]()
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Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series an[...]![]()
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This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series an[...]![]()
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Jerez Méndez, Miguel ; Villalba Vila, Daniel | Facultad de Ciencias Económicas y Empresariales. Decanato | 1990In this paper we describe an integer programming model designed to solve shift assignment problems. It is the nucleus of an interactive DSS called PETS. PETS has be en applied at 'El Corte Inglés', a big commercial corporation with over 30,000 s[...]![]()
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We compare the results obtained by applying the same signal extraction procedures to two observationally equivalent state-space forms. The first model has different errors affecting the states and the observations, while the second has a single [...]![]()
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Bujosa Brun, Marcos ; Álvarez González, Francisco ; Barge Gil, Andrés ; Cerdá, Emilio ; Dominguez Toribio, Manuel ; García Hiernaux, Alfredo ; Jerez Méndez, Miguel ; Jiménez Martín, Juan Ángel ; López Zorzano, Rafael Alberto ; Lugo Arocha, Haydee ; Mera Rivas, María Eugenia ; Moreta Santos, María Jesus ; Pérez-Amaral, Teodosio ; Robles Fernández, María Dolores ; Ruiz Andújar, Jesús ; Serrano García, Gregorio ; Sotoca López, Sonia ; Vázquez Furelos, Mercedes | 2015Los exámenes y pruebas de evaluación tienen un papel destacado dentro de los materiales docentes. Ello es así debido al doble papel que juegan: por una parte, son cruciales para evaluar el nivel de conocimientos adquiridos por los estudiantes; p[...]![]()
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Álvarez González, Francisco ; Bujosa Brun, Marcos ; Cerdá Tena, Emilio ; de Castro, Luis Miguel ; Jerez Méndez, Miguel ; LLorente Comí, Marta ; López Zorzano, Rafael ; Lugo Arocha, Haydee ; Maroto Fernández, José María ; Mera Rivas, María Eugenia ; Morán Cabré, Manuel ; Moreta Santos, María Jesus ; Rey Simo, José Manuel ; Rodrigo Fernández, Antonio ; Ruiz, Jesus ; Serrano, Gregorio ; Vázquez Furelos, Mercedes | 2015-02-19En este proyecto se aborda cómo el software matemático puede mejorar la eficacia docente en las asignaturas de matemáticas para economistas del Grado en Economía de la UCM. Se ha elaborado un material docente para la asignatura de Matemáticas II[...]![]()
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Flores de Frutos, Rafael ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1997In this paper we propase a test for detecting overdifferencing in a MA(1) process. Unlike the standard practice, we use invertibility as the null hypothesís to be tested. By so doing it is possible to use a standard likelihood ratio test with th[...]![]()
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Flores de Frutos, Rafael ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998We propose a test statistic for detecting whether a differenced time series follows an invertible ARIMA process. The test follows a X2-1 distribution, it is easy to compute and shows an excellent performance when compared with standard optimal t[...]![]()
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The inflationary effect of oil price has been widely examined by academic literature. Nowadays, the main concern in the euro area (E.A.) is its deflationary effect. In this paper we propose a method to evaluate the effect of oil price changes on[...]![]()
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Topan, Ligia Elena ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2020In this paper we assess the oil price pass-through into both, the global inflation in Spain and the inflation derived from the non-deterministic prices of the standard European classification of product groups, during the period 2002-2018. To th[...]![]()
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Jerez Méndez, Miguel ; Casals Carro, José ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1999The likelihood of multivariate GARCH models is ill-conditioned because of two facts. First, financial time series often display high correlations, implying that an eigenvalue af the conditional covariances fluctuates near the zero boundary. Seco[...]![]()
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En este articulo se describe una metodología para efectuar el seguimiento de objetivos económicos, definidos sobre un vector de series históricas que' han sido observadas en el pasado. El procedimiento consiste en calcular utilizando un filtro d[...]![]()
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Hiernaux, Alfredo G. ; Jerez Méndez, Miguel ; Casals Carro, José | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria[...]