Información de la editorial
Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid |
Documentos disponibles de esta editorial (85)
![](./images/expand_all.gif)
![](./images/collapse_all.gif)
![Selecciones disponibles](./images/orderby_az.gif)
![]()
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[...]