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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 ; 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[...]