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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid |
Documentos disponibles de esta editorial (85)
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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 [...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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 [...]![]()
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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 [...]![]()
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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 [...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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 [...]![]()
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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[...]![]()
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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[...]![]()
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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, [...]![]()
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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[...]![]()
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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 [...]![]()
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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[...]![]()
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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 [...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]