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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid |
Documentos disponibles de esta editorial (85)
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Álvarez, Francisco ; Marrero, Gustavo A. ; Puch, Luis A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004This paper analyses the role of macroeconomic performance in shaping the evolution of air pollutants in a panel of European countries from 1990 to 2000. The analysis is addressed in connection with EU environmental regulation and taking into acc[...]![]()
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Bujosa Brun, Marcos ; García Ferrer, Antonio ; Young, Peter C. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03Among the alternative Unobserved Components formulations within the stochastic state space setting, the Dynamic Harmonic Regression (DHR) has proved particularly useful for adaptive seasonal adjustment signal extraction, forecasting and back-cas[...]![]()
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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[...]![]()
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Cabrales, Antonio ; Lugo, Haydée | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03We analyze the effect of a large group on an impure public goods model with lotteries. We show that as populations get large, and with selfish preferences, the level of contributions converges to the one given by voluntary contributions. With al[...]![]()
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Chang, Chia-Lin ; Franses, Philip Hans ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03Many macro-economic forecasts and forecast updates, such as those from the IMF and OECD, typically involve both a model component, which is replicable, as well as intuition (namely, expert knowledge possessed by a forecaster), which is non-repli[...]![]()
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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[...]![]()
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Sari, Ramazan ; Hammoudeh, Shawkat ; Chang, Chia-Lin ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the [...]![]()
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Pérez Sánchez, Rafaela María | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004This paper extends the neoclassical growth model with productive public capital by including an infrastructure efficiency index, which is assumed to depend on a public choice variable, in particular, the share of public spending allocated to pro[...]![]()
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Álvarez González, Francisco ; Deissenberg, Christophe | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se presenta un juego repetido que modeliza la interacción entre un gobierno optimizador y el sector privado, representado por un continuo de agentes heterogéneos y atomísticos. Abstract: This paper presents a simple repeated-game model of intera[...]![]()
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Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004Econometric models applied to observed data, specified and estimated using traditional Box-Jenkins techniques, have been widely used to forecast Quarterly National Account (QNA) aggregates. We assess the extent to which an alternative forecastin[...]![]()
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Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se analiza, dado un objetivo a largo plazo del ratio inversión pública/PIB, este ratio, además va a reaccionar a lo largo de la transición según el estado de la economía. Esta regla de inversión pública es mas flexible que la que es comunmente c[...]![]()
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Dobado González, Rafael ; Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004This paper deals with a polemic and relevant aspect of the economic history of Porfirian Mexico: the integration of agricultural domestic markets. Since corn was the staple product of the commercial agricultural sector and also the main subsiste[...]![]()
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Díaz, Antonia ; Puch, Luis A. ; Guilló, María D. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001In time series data, energy use does not change much with energy price changes. However, energy use is responsive to international differences in energy prices in cross-section data across countries. In this paper we consider a model of energy u[...]![]()
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Abad Romero, Pilar ; Díaz, Antonio ; Robles-Fernandez, M. D. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield [...]![]()
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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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Cerno, Leonel ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005The goal of this paper is to analyze a new phenomenon: Internet demand in Spain. To do so, we use a new high quality data set and advanced econometric techniques for estimating Internet demand functions, incorporating the socio-demographic chara[...]![]()
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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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Abad Romero, Pilar ; Díaz, Antonio ; Robles-Fernandez, M. Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading vol[...]![]()
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García Hiernaux, Alfredo | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single s[...]![]()
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Caporin, Massimiliano ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dime[...]![]()
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Stancu-Minasian, I.M. ; Caballero, R. ; Cerdá Tena, Emilio ; Muñoz, María del Mar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07A nonlinear fractional programming problem is considered, where the functions involved are diferentiable with respect to an arc. Necessary and suficient optimality conditions are obtained in terms of the right diferentials with respect to an arc[...]![]()
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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[...]![]()
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Fernández Casillas, Mª Esther ; Pérez Sánchez, Rafaela María ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-09En este artículo se estudian los efectos de una reforma impositiva caracterizada por un incremento en el impuesto medioambiental, en un modelo de crecimiento endógeno AK en el que ningún agente dedica recursos a reducir la contaminación y en el [...]![]()
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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[...]![]()
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Aguilar Barceló, José G. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07The Spanish regulatory authority recently implemented a new interconnection regime based on capacity (and not per time) payments in fixed telecommunications. We propose a dynamic duopolistic model of final service competition in which the entran[...]![]()
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Marinucci, Massimiliano ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005-05In this paper we estimate the business telecommunications demands for local, intra-LATA and inter-LATA services, using US data from a Bill Harvesting survey carried out during 1997. We model heterogeneity, which is present among firms due to a v[...]![]()
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Muñoz Hernández, Israel J. ; Huergo, Elena | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004Este trabajo analiza la entrada y la competencia en servicios de telecomunicaciones, en los que las empresas se diferencian por sus costes hundidos y por la valoración que reciben de los consumidores. En este marco de análisis desaparece el prob[...]![]()
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Fernández Casillas, Mª Esther | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07Remunerar los archivos de caja en manos de los intermediarios financieros no es una práctica hoy en día habitual en las economías occidentales. Sin embargo, en Estados Unidos han comenzado a aparecer quienes defienden su uso como instrumento úti[...]![]()
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Ishida , Isao ; McAleer, Michael ; Oya, Kosuke | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-05This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) i[...]![]()
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Álvarez, Francisco ; Contestabile, M. ; Gómez, C. ; Marrero, Gustavo A. ; Puch, Luis A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004We provide an empirical study of the evolution of emissions of some specific air pollutants on a panel of EU member states from 1990 to 2000, and we relate observed patterns to macroeconomic performance. The ratio pollution emission to GDP, so-c[...]![]()
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Chang, Chia-Lin ; Franses, Philip Hans ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometr[...]![]()
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Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002En este trabajo nos preguntamos, en el marco de un modelo de crecimiento endógeno con acumulación de capital humano, en un contexto determinista, si es posible reducir el tipo impositivo de diferentes impuestos financiadores de una senda predete[...]![]()
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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[...]![]()
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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[...]![]()
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Benito Muela, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005En este trabajo se aborda el estudio de factores comunes en la Estructura Temporal de Tipos de Interés (ETTI) de la deuda pública española. El objetivo del trabajo es determinar cuántas variables son necesarias para caracterizar su dinámica de d[...]![]()
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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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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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García Hiernaux, Alfredo | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009A new procedure to predict with subspace methods is presented in this paper. It is based on combining multiple forecasts obtained from setting a range of values for a specic parameter that is typically xed by the user in the subspace methods lit[...]![]()
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Pérez Sánchez, Rafaela María ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004We study the dynamic properties of an endogenous growth model with pollution in which the government can control the pollution through distorting taxes on the pollutant firms and through public abatement activities. First, we characterize the co[...]![]()
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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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Ruiz Andújar, Jesús ; Fernández Casillas, María Esther | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se muestra que, en un modelo de crecimiento sencillo, donde el consumo público es un argumento de la función de utilidad, y en el que la tecnología de producción exhibe rendimientos constantes a escala en la producción, el equilibrio competitivo[...]![]()
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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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Portier, Franck ; Puch González, Luis A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005Lucas [1987] has shown that in a representative agent framework, the potential welfare gain from stabilizing consumption around its mean is small. We provide an example and some insight for why Lucas’ measure is an upper bound of the welfare cos[...]![]()
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Nieto, Luisa ; Robles Fernández, María Dolores ; Fernández, Angeles | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07Nos planteamos analizar el comportamiento dinámico lineal y no lineal de los rendimientos intradía del índice bursátil Eurostoxx50 y de su contrato de futuro, los cuales debido a su relativa juventud, no han sido previamente analizados. Realizam[...]![]()
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Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2014-01This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (T[...]![]()
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Jiménez Martín, Juan Ángel ; Peruga Urrea, Rodrigo | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004The goal of this paper is to identify the main determinants of the risk premium in some European currency markets just before the EMU. To that extent, we start from Lucas (1982) exchange rate model and derive an analytical expression for the for[...]![]()
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Delgado Rodríguez , María Jesús ; Álvarez Ayuso, Inmaculada | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002Este artículo tiene como objetivo medir la eficiencia técnica para los países de la Unión Europea para el período 1980-1997 y realizar un análisis comparativo entre los países tratando de determinar el potencial de crecimiento alcanzable en térm[...]![]()
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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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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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Asai, Manabu ; McAleer, Michael ; Medeiros, Marcelo C. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatil[...]