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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[...]texto impreso
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[...]texto impreso
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
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[...]texto impreso
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[...]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
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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]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
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 [...]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
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]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
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[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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). [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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: [...]texto impreso
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[...]texto impreso
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[...]texto impreso
Chang, Chia-Lin ; McAleer, Michael ; Slottje, Dan | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in East Asia off the coast of mainland China (or[...]texto impreso
Chang, Chia-Lin ; McAleer, Michael ; Lim, Christine | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the volatilities of international tourist arrivals, we use[...]texto impreso
Pérez Sánchez, Rafaela María | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002Se formula un modelo teórico de equilibrio general con un sector público que acumula infraestructuras, en el que se incorpora un papel productivo para cierto consumo público que contribuye a un uso eficiente del capital público físico. Este mode[...]texto impreso
Jiménez-Martín, Juan-Ángel ; Robles Fernández, María Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005This paper estimates the dynamics of adjustment to long run purchasing power parity (PPP) using data for 18 mayor bilateral US dollar exchange rates, over the post-Bretton Woods period, in a non-linear framework. We use new unit root and cointeg[...]texto impreso
Bujosa Brun, Andrés ; Bujosa Brun, Marcos ; García Ferrer , Antonio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07Although the spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not the case for non-stationary stochastic processes. In this paper, the algebraic foundations of the spectral analysis of non-stationa[...]texto impreso
Licandro, Omar ; Puch González, Luis A. ; Ruiz Tamarit, J. Ramón | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001This paper analyzes the equilibrium dynamics of an optimal growth model that incorporates endogenous depreciation, variable capital utilization, and expenditures on the maintenance of physical capital. Maintenance acts as a substitute for invest[...]texto impreso
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[...]texto impreso
Manzano, Baltasar ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002En este trabajo se presenta el estado actual de conocimiento del problema de la política fiscal óptima, así como hacia dónde se dirigen las líneas de investigación en este área. En particular se describen los principales resultados derivados de [...]texto impreso
Fernández Casillas, Mª Esther | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07Se analiza cuál es la política monetaria óptima bajo una regla de gasto público no habitual en la literatura: el gasto representa un porcentaje constante en la producción. En este caso, dado que el ritmo de crecimiento de la ofeta monetaria y el[...]texto impreso
Fernández Serrano , José Luis ; Robles Fernández, María Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-04Se analiza cuál es la política monetaria óptima bajo una regla de gasto público no habitual en la literatura: el gasto representa un porcentaje constante en la producción. En este caso, dado que el ritmo de crecimiento de la oferta monetaria y e[...]texto impreso
Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005One strand of the literature on endogenous growth concerns models in which public infrastructure affects the private production process. A puzzle in this literature is that observed public investment-to-output ratios for developed economies tend[...]texto impreso
Abad Romero, Pilar ; Robles Fernández, María Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody´s, Standard and Poor´sor FitchIBCA are analyzed. On an efficient market[...]texto impreso
Hammoudeh, Shawkat ; Malik, Farooq ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the[...]texto impreso
Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-02The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to[...]texto impreso
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 [...]texto impreso
García Marco , Teresa ; Robles Fernández, María Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005This paper analyses the determinant of risk_taking in the Spanish financial intermediaries with special emphasis on the ownership structure and size of the different entities. On the one hand, the soecific legal configuration of Spanish Savings [...]texto impreso
Caporin, Massimiliano ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02Modeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without [...]texto impreso
Jiménez-Martín, Juan-Ángel ; Flores de Frutos, Rafael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004Most dynamic equilibrium models of exchange rate are not able to generate monthly time series with the typical properties of actual exchange rate. If the exogenous endowments in an equilibrium exchange rate model contain seasonal variations, the[...]texto impreso
Caballero Fernández, Rafael ; Cerdá Tena, Emilio ; Muñoz Martos, María del Mar ; Rey, Lourdes | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-09In this work, we deal with obtaining efficient solutions for stochastic multiobjective programming problems. In general, these solutions are obtained in two stages: in one of them, the stochastic problem is transformed into its equivalent determ[...]texto impreso
Fernández Serrano , José Luis ; Robles Fernández, María Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se analiza el impacto de los cambios estructurales en la evaluación de la capacidad predictiva. Este trabajo se interesa en la previsión de los tipos de interés del mercado interbancario, utilizandose nuevos métodos secuenciales para estimar los[...]texto impreso
Huang, Jian ; Kobayashi, Masahito ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-05This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstra[...]texto impreso
Hammoudeh, Shawkat ; Sarafrazi, Soodabeh ; Chang, Chia-Lin ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-05This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the presence[...]texto impreso
Jiménez-Martín, Juan-Ángel ; Flores de Frutos, Rafael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justified by its empirical support. One of the reasons for the empirical “failure” of [...]texto impreso
Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-06Using estimated principal components as factors, three-factors models are shown to produce forecasts comparable to those of autoregressive models for 2 to 10 year zaero coupon interest rates IRS markets both, for short- and medium- term forecast[...]texto impreso
Lafuente Luengo, Juan Ángel ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-09Desde abril del 2000 el índice del llamado Nuevo Mercado empezó a contabilizarse en la Bolsa española como un indicador relevante del comportamiento de las empresas tecnológicas en la economía española. Este trabajo proporciona evidencia empíric[...]texto impreso
Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004In dynamic settings with public capital, it is common to assume that the government claims a constant fraction of public investment to total output each period, which is clearly a restrictive assumption. The goal of the paper is twofold: first, [...]texto impreso
Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most pop[...]texto impreso
Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002After reviewing the reasons to use solution methods in macroeconomics, this survey paper discusses diferent aspects relative to a rigorous use of the numerical output of such methods. Special attention is paid to suggestions that have been made [...]texto impreso
McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This p[...]texto impreso
Portier, Franck ; Puch González, Luis Antonio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004In this paper we measure the welfare cost of fluctuations in a simple representative agent economy with nonclearing markets. The market friction we consider involves price rigidities and a voluntary exchange rationing scheme. These features are [...]texto impreso
Fernández Casillas, María Esther ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001In an AK endogenous growth setup with a time-to-build investment technology, the steadystate growth rate and the level of welfare are shown not to be independent ot the time distribution of the financing of an investment project. We emphasize th[...]texto impreso
Lafuente Luengo, Juan Ángel ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002La insesgadez del tipo de cambio forward es rechazada para los mercados cambiarios internacionales. Este trabajo propone un modelo de equilibrio general dinámico y estocástico que genera variabilidad suficiente en las magnitudes de los excesos d[...]texto impreso
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[...]texto impreso
Abad Romero, Pilar ; Benito Muela, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005Over the past decade, no other tool in financial risk management has been used as much as Value at Risk (VaR). VaR is an estimate to determine how much a specific portfolio can lose within a given time period at a given confidence level. Nowaday[...]texto impreso
Abad Romero, Pilar ; Benito Muela, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006En este trabajo se compara la precisión de diferentes medidas de Valor en Riesgo (VaR) en carteras de renta fija calculadas a partir de diferentes modelos empíricos multifactoriales de la estructura temporal de los tipos de interés (ETTI). Los m[...]