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Items where Division is "Fac. de CC. Económicas y Empresariales > Instituto Complutense de Análisis Económico" and Year is [pin missing: value2]

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Number of items at this level: 217.

Asai, Manabu and McAleer, Michael (2014) Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. [Working Paper or Technical Report] (Unpublished)

Rivas, Javier and Rodríguez Álvarez, Carmelo (2014) Deliberation, Leadership and Information Aggregation. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2014) Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2014) Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2014) A Tourism Conditions Index. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Singh, Abhay K. (2014) Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series. [Working Paper or Technical Report] (Unpublished)

Lutz, Stefan (2014) Does R&D increase the profit contribution of intangible assets? An exploration of European and American automotive suppliers. [Working Paper or Technical Report] (Unpublished)

Abad Romero, Pilar and Benito Muela, Sonia and Sánchez Granero, Miguel Angel and López, Carmen (2013) Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis. [Working Paper or Technical Report] (Unpublished)

Marrero , Gustavo A. and Puch, Luis A. and Ramos-Real , Francisco J. (2013) Mean-variance portfolio methods for energy policy risk management. [Working Paper or Technical Report] (Unpublished)

Nawata , Kazumitsu and McAleer, Michael (2013) The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations. [Working Paper or Technical Report] (Unpublished)

Nicolò, Antonio and Rodríguez Álvarez, Carmelo (2013) Age based preferences in paired kidney exchange. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Powell, Robert J. and Singh, Abhay K. (2013) A Capital Adequacy Buffer Model. [Working Paper or Technical Report] (Unpublished)

Díaz, Antonia and Puch, Luis A. (2013) A Theory of Vintage Capital Investment and Energy Use. [Working Paper or Technical Report] (Unpublished)

Fernández Muñoz de Morales, Alberto (2013) Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and Jiménez Martín, Juan Ángel and González Serrano, Lydia (2013) Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2013) Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. [Working Paper or Technical Report] (Unpublished)

Jaskowski, Marcin and McAleer, Michael (2013) Volatility Smirk as an Externality of Agency Conict and Growing Debt. [Working Paper or Technical Report] (Unpublished)

García Hiernaux, Alfredo and David E. , Guerrero and McAleer, Michael (2013) Market Integration Dynamics and Asymptotic Price Convergence in Distribution. [Working Paper or Technical Report] (Unpublished)

Lean, Hooi Hooi and McAleer, Michael and Wong, Wing-Keung (2013) Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2013) The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Radalj , Kim (2013) Herding, Information Cascades and Volatility Spillovers in Futures Markets. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Tang, Ju-Ting (2013) International Technology Diffusion of Joint and Cross-border Patents. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Scharth, Marcel (2013) Realized volatility risk. [Working Paper or Technical Report] (Unpublished)

Novales Cinca, Alfonso and Pérez Sánchez, Rafaela María and Ruiz Andújar, Jesús (2013) Optimal time-consistent fiscal policy in an endogenous growth economy with public consumption and capital. [Working Paper or Technical Report] (Unpublished)

Novales Cinca, Alfonso and Pérez Sánchez, Rafaela María and Ruiz Andújar, Jesús (2013) Optimal time-consistent fiscal policy under endogenous growth with elastic labour supply. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Suen, John and Wong, Wing-Keung (2013) Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Allen, David E. and McAleer, Michael and Pérez Amaral, Teodosio (2013) Risk Modelling and Management: An Overview. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2013) Ten Things You Should Know About the Dynamic Conditional Correlation Representation. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2013) Ten Things You Should Know About the Dynamic Conditional Correlation Representation. [Working Paper or Technical Report] (Unpublished)

Fernandez-Perez, Adrian and Fernández-Rodríguez, Fernando and Sosvilla-Rivero, Simón (2013) The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Chan, Felix and Oxley, Les (2013) Modelling and Simulation: An Overview. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Powell, Robert J. and Singh, Abhay K. (2013) Nonparametric Multiple Change Point Analysis of the Global Financial Crisis. [Working Paper or Technical Report] (Unpublished)

Lutz, Stefan (2013) R&D, IP, and firm profits in the automotive supplier industry. [Working Paper or Technical Report] (Unpublished)

Bujosa Brun, Andrés and Bujosa Brun, Marcos and García-Ferrer, Antonio (2013) Mathematical framework for pseudo-spectra of linear stochastic difference equations. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2013) Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2013) Ten Things You Should Know About DCC. [Working Paper or Technical Report] (Unpublished)

Abad Romero, Pilar and Robles Fernández, María Dolores and Cuervo, Gare (2013) Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market. [Working Paper or Technical Report] (Submitted)

Chang, Chia-Lin and McAleer, Michael (2013) What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance. [Working Paper or Technical Report] (Unpublished)

Lutz, Stefan (2013) Effects of taxation on European multi-nationals’ financing and profits. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2013) A Fractionally Integrated Wishart Stochastic Volatility Model. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and Ashraf, Mohammad.A. and McAleer, Michael and Powell, Robert J. and Singh, Abhay K. (2013) Financial Dependence Analysis: Applications of Vine Copulae. [Working Paper or Technical Report] (Unpublished)

Ramos-Herrera, Maria del Carmen and Sosvilla-Rivero, Simón (2013) Inflation expectations in Spain: The Spanish PwC Survey. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2013) Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2013) Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing. [Working Paper or Technical Report] (Unpublished)

Chen, Ping-Yu and Chang, Chia-Lin and Chen, Chi-Chung and McAleer, Michael (2013) Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Allen, David E. and McAleer, Michael (2013) Recent Developments in Financial Economics and Econometrics: An Overview. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Bruijn, Bert de and Franses, Philip Hans and McAleer, Michael (2013) Analyzing Fixed-event Forecast Revisions. [Working Paper or Technical Report] (Unpublished)

Jaskowski, Marcin and McAleer, Michael (2012) Estimating Implied Recovery Rates from the Term Structure of CDS Spreads. [Working Paper or Technical Report] (Unpublished)

Chu, Lan-Fen and McAleer, Michael and Chang, Ching-Chung (2012) Statistical Modelling of Extreme Rainfall in Taiwan. [Working Paper or Technical Report] (Unpublished)

Chu, Lan-Fen and McAleer, Michael and Wang, Szu-Hua (2012) Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and McAleer, Michael and Powell, R. J. and Singh, A. K. (2012) Volatility Spillovers from the US to Australia and China across the GFC. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez-Martín, Juan-Ángel and Pérez-Amaral, Teodosio (2012) Has the Basel Accord Improved Risk Management During the Global Financial Crisis? [Working Paper or Technical Report] (Unpublished)

Lutz, Stefan (2012) Simultaneous determination of market value and risk premium in the valuation of firms. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and Singh, Abhay K. and Powell, Robert J. and McAleer, Michael and Taylor, James (2012) The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions. [Working Paper or Technical Report] (Unpublished)

García-Gallego, Aurora and Georgantzís, Nikolaos and Martín-Montaner, Joan and Pérez-Amaral, Teodosio (2012) (How) Do research and administrative duties affect university professors’ teaching? [Working Paper or Technical Report] (Unpublished)

López Zorzano, Rafael and Pérez-Amaral, Teodosio and Garín-Muñoz, Teresa and Gijón Tascón, Covadonga (2012) Customer Service Quality and Incomplete Information in Mobile Telecommunications: A Game Theoretical Approach to Consumer Protection. [Working Paper or Technical Report] (Unpublished)

Chu, Lan-Fen and McAleer, Michael (2012) How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy? [Working Paper or Technical Report] (Unpublished)

Gijón Tascón, Covadonga and Garín-Muñoz, Teresa and Pérez Amaral, Teodosio and López Zorzano, Rafael (2012) Satisfaction and protection of individual mobile telecommunications consumers. [Working Paper or Technical Report] (Unpublished)

Abad Romero, Pilar and Robles Fernández, María Dolores (2012) Credit rating agencies and unsystematic risk: Is there a linkage? [Working Paper or Technical Report] (Submitted)

Bai, Zhidong and Li, Hua and McAleer, Michael and Wong, Wing-Keung (2012) Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. [Working Paper or Technical Report] (Unpublished)

Franses, Philip Hans and McAleer, Michael and Legerstee, Rianne (2012) Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Chen, Sung-Po and McAleer, Michael (2012) Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2012) Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence. [Working Paper or Technical Report] (Unpublished)

Allen, David E. and Kramadibrata, A. and McAleer, Michael and Powell, R. and Singh, A. K. (2012) A non-parametric and entropy based analysis of the relationship between the VIX and S&P500. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Tansuchat, Roengchai (2012) Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2012) Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Chen, Li-Hsueh and Hammoudeh, Shawkat and McAleer, Michael (2012) Asymmetric Adjustments in the Ethanol and Grains Markets. [Working Paper or Technical Report] (Unpublished)

Hammoudeh, Shawkat and McAleer, Michael (2012) Risk Management and Financial Derivatives: An Overview. [Working Paper or Technical Report] (Unpublished)

Bian, Guorui and McAleer, Michael and Wong, Wing-Keung (2012) Robust Estimation and Forecasting of the Capital Asset Pricing Model. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2012) Robust Ranking of Multivariate GARCH Models by Problem Dimension. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and Caporin, Massimiliano and McAleer, Michael (2012) Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [Working Paper or Technical Report] (Submitted)

Casals Carro, José and Sotoca López, Sonia and Jerez Méndez, Miguel (2012) Minimally Conditioned Likelihood for a Nonstationary State Space Model. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Maasoumi, Esfandiar and McAleer, Michael (2012) Robust Ranking of Journal Quality: An Application to Economics. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and González Serrano, Lydia and Jiménez Martín, Juan Ángel (2012) Currency Hedging Strategies Using Dynamic Multivariate GARCH. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Khamkaew, Thanchanok and McAleer, Michael (2012) Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia. [Working Paper or Technical Report] (Submitted)

Chang, Chia-Lin and McAleer, Michael (2012) What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance. [Working Paper or Technical Report] (Submitted)

Guerrero-Lemus, Ricardo and Marrero, Gustavo A. and Puch, Luis A. (2012) Costs for conventional and renewable fuels and electricity in the worldwide transport sector: a mean-variance portfolio approach. [Working Paper or Technical Report] (In Press)

Jaskowski, Marcin and McAleer, Michael (2012) Estimating Implied Recovery Rates from the Term Structure of CDS Spreads. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2011) How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics. [Working Paper or Technical Report] (Submitted)

Allen, David E. and Amram, Ron and McAleer, Michael (2011) Volatility Spillovers from the Chinese Stock Market to Economic Neighbours. [Working Paper or Technical Report] (Submitted)

Chang, Chia-Lin and McAleer, Michael and Tansuchat, Roengchai (2011) Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. [Working Paper or Technical Report] (Unpublished)

González-Serrano, Lydia and Jiménez-Martín, Juan-Ángel (2011) Currency Hedging Strategies Using Dynamic Multivariate GARCH. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Asymmetry and Long Memory in Volatility Modelling. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2011) Dynamic Conditional Correlations for Asymmetric Processes. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Lim, Christine (2011) Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. [Working Paper or Technical Report] (Unpublished)

Casarin, Roberto and Chang, Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2011) Citations and Impact of ISI Tourism and Hospitality Journals. [Working Paper or Technical Report] (Unpublished)

Santos, Paulo Araújo and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael (2011) Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates. [Working Paper or Technical Report] (Unpublished)

Franses, Philip Hans and Chang, Chia-Lin and McAleer, Michael (2011) Analyzing Fixed-event Forecast Revisions. [Working Paper or Technical Report] (Unpublished)

García Hiernaux, Alfredo and Guerrero, David (2011) Convergence and Cointegration. [Working Paper or Technical Report] (Unpublished)

Kuo, Hsiao-I and Chen, Chi-Chung and McAleer, Michael (2011) Estimating the Impact of Whaling on Global Whale Watching. [Working Paper or Technical Report] (Unpublished)

Chu, LanFen and McAleer, Michael and Chen, Chi-Chung (2011) How Volatile is ENSO? [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2011) How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience. [Working Paper or Technical Report] (Unpublished)

Chen, Cathy W. S. and Gerlach, Richard and Hwang, Bruce B. K. and McAleer, Michael (2011) Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range. [Working Paper or Technical Report] (Unpublished)

Ishida , Isao and McAleer, Michael and Oya, Kosuke (2011) Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Oxley, Les (2011) Great Expectatrics: Great Papers, Great Journals, Great Econometrics. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2011) Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. [Working Paper or Technical Report] (Unpublished)

Huang, Jian and Kobayashi, Masahito and McAleer, Michael (2011) Testing the Box-Cox Parameter for an Integrated Process. [Working Paper or Technical Report] (Unpublished)

Hammoudeh, Shawkat and Sarafrazi, Soodabeh and Chang, Chia-Lin and McAleer, Michael (2011) The Dynamics of Energy-Grain Prices with Open Interest. [Working Paper or Technical Report] (Unpublished)

Eransus, Francisco J. and Novales Cinca, Alfonso (2011) A statistical test for forecast evaluation under a discrete loss function. [Working Paper or Technical Report] (Unpublished)

Sari, Ramazan and Hammoudeh, Shawkat and Chang, Chia-Lin and McAleer, Michael (2011) Causality Between Market Liquidity and Depth for Energy and Grains. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Franses, Philip Hans and McAleer, Michael (2011) Evaluating Individual and Mean Non-Replicable Forecasts. [Working Paper or Technical Report] (Unpublished)

Franses, Philip Hans and McAleer, Michael and Legerstee, Rianne (2011) Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Modelling and Forecasting Noisy Realized Volatility. [Working Paper or Technical Report] (Submitted)

Hammoudeh, Shawkat and Liu, Tengdong and Chang, Chia-Lin and McAleer, Michael (2011) Risk Spillovers in Oil-Related CDS, Stock and Credit Markets. [Working Paper or Technical Report] (Unpublished)

Nieto, Belén and Novales Cinca, Alfonso and Rubio, Gonzalo (2011) Variance Swaps and Intertemporal Asset Pricing. [Working Paper or Technical Report] (Unpublished)

Nieto, Belén and Novales Cinca, Alfonso and Rubio, Gonzalo (2011) Why do variance swaps exist? [Working Paper or Technical Report] (Unpublished)

Cabrales, Antonio and Lugo, Haydée (2011) An impure public good model with lotteries in large groups. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Franses, Philip Hans and McAleer, Michael (2011) Are Forecast Updates Progressive? [Working Paper or Technical Report] (Unpublished)

Hammoudeh, Shawkat and Malik, Farooq and McAleer, Michael (2011) Risk Management of Precious Metals. [Working Paper or Technical Report] (Unpublished)

Chang , Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2011) International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord. [Working Paper or Technical Report] (Unpublished)

Abad Romero, Pilar and Díaz, Antonio and Robles-Fernandez, M. D. (2011) Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence. [Working Paper or Technical Report]

Abad Romero, Pilar and Diaz, Antonio and Robles-Fernandez, M. Dolores (2011) Determinants of trading activity after rating actions in the Corporate Debt Market. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Lim, Christine (2011) Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) The Rise and Fall of S&P500 Variance Futures. [Working Paper or Technical Report] (Submitted)

Chang, Chia-Lin and Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2011) The Rise and Fall of S&P500 Variance Futures. [Working Paper or Technical Report] (Submitted)

Camiña Centeno, Ester (2010) Some results on stability concepts for matching models. [Working Paper or Technical Report] (Unpublished)

Casals Carro, José and García Hiernaux, Alfredo and Jerez Méndez, Miguel (2010) From general State-Space to VARMAX models. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2010) GFC-Robust Risk Management Strategies under the Basel Accord. [Working Paper or Technical Report] (Unpublished)

Cosculluela Martínez, Carolina and Flores de Frutos, Rafael (2010) Housing investment in Spain: has it been the main engine of growth? [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. [Working Paper or Technical Report] (Unpublished)

Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2009) What Happened to Risk Management During the 2008-09 Financial Crisis? [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? [Working Paper or Technical Report] (Unpublished)

Jiménez Martín, Juan Ángel and Novales Cinca, Alfonso (2009) State-Uncertainty preferences and the Risk Premium in the Exchange rate market. [Working Paper or Technical Report] (Unpublished)

Wiphatthanananthakul, Chatayan and McAleer, Michael (2009) A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options. [Working Paper or Technical Report] (Unpublished)

Divino, Jose Angelo and McAleer, Michael (2009) Modelling Sustainable International Tourism Demand to the Brazilian Amazon. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and Huang, Biing-Wen and Chen, Meng-Gu and McAleer, Michael (2009) Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO. [Working Paper or Technical Report] (Unpublished)

Divino, Jose Angelo and McAleer, Michael (2009) Modelling the Growth and Volatility in Daily International Mass Tourism to Peru. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. [Working Paper or Technical Report] (Unpublished)

Jiménez Martín, Juan Ángel and McAleer, Michael and Pérez Amaral, Teodosio (2009) The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord. [Working Paper or Technical Report]

Caporin, Massimiliano and McAleer, Michael (2009) Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2009) A Scientific Classification of Volatility Models. [Working Paper or Technical Report] (Unpublished)

García Hiernaux, Alfredo (2009) Diagnostic checking using subspace methods. [Working Paper or Technical Report] (Unpublished)

Caporin, Massimiliano and McAleer, Michael (2009) Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models. [Working Paper or Technical Report] (Unpublished)

Chang, Chia-Lin and McAleer, Michael and Slottje, Dan (2009) Modelling International Tourist Arrivals and Volatility: An Application to Taiwan. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael (2009) The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. [Working Paper or Technical Report] (Unpublished)

García Hiernaux, Alfredo (2009) Forecasting linear dynamical systems using subspace methods. [Working Paper or Technical Report] (Unpublished)

McAleer, Michael and Jiménez Martín, Juan Ángel and Pérez Amaral, Teodosio (2009) What Happened to Risk Management During the 2008-09 Financial Crisis? [Working Paper or Technical Report] (Unpublished)

Casals Carro, José and Jerez Méndez, Miguel and Sotoca López, Sonia (2006) Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising. [Working Paper or Technical Report]

Cerno, Leonel and Pérez Amaral, Teodosio (2006) Medición y determinantes de la brecha tecnológica en España. [Working Paper or Technical Report]

Casals Carro, José and Jerez Méndez, Miguel and Sotoca López, Sonia (2006) Modelling an forecasting time series sampled at different frequencies. [Working Paper or Technical Report]

Abad Romero, Pilar and Benito Muela, Sonia (2006) Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal. [Working Paper or Technical Report]

Benito, Sonia and Novales Cinca, Alfonso (2005) A factor analysis of volatility across the term structure: the Spanish case. [Working Paper or Technical Report]

Marinucci, Massimiliano and Pérez Amaral, Teodosio (2005) Econometric modeling of business Telecommunications demand using Retina and Finite Mixtues. [Working Paper or Technical Report]

Cerno, Leonel and Pérez Amaral, Teodosio (2005) Demand for Internet access and use in Spain. [Working Paper or Technical Report]

García Hiernaux, Alfredo and Jerez Méndez, Miguel and Casals Carro, José (2005) Detección de raíces unitarias y cointegración mediante métodos de subespacios. [Working Paper or Technical Report]

Benito Muela, Sonia (2005) Factores comunes en la ETTI española: un análisis de corto y largo plazo. [Working Paper or Technical Report]

Hiernaux, Alfredo G. and Casals Carro, José and Jerez Méndez, Miguel (2005) Fast estimation methods for time series models in state-space form. [Working Paper or Technical Report]

Portier, Franck and Puch González, Luis A. (2005) It’s a small small welfare cost of fluctuations. [Working Paper or Technical Report]

Jiménez Martín, Juan Ángel and Robles Fernández, María Dolores (2005) Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations. [Working Paper or Technical Report]

Marrero, Gustavo A. (2005) Revisiting the optimal stationary public investment policy in endogenous growth economies. [Working Paper or Technical Report]

Abad Romero, Pilar and Robles Fernández, María Dolores (2005) Risk and returns around bond rating changes: New evidence from the Spanish Stock Market. [Working Paper or Technical Report]

García Marco , Teresa and Robles Fernández, María Dolores (2005) Risk tasking behaviour and ownership in the banking industry: the Spanish evidence. [Working Paper or Technical Report]

Hiernaux, Alfredo G. and Jerez Méndez, Miguel and Casals Carro, José (2005) Unit roots and cointegrating matrix estimation using subspace methods. [Working Paper or Technical Report]

Abad Romero, Pilar and Benito Muela, Sonia (2005) Using The Nelson and Siegel Model of The term Structure in Value at Risk Estimation. [Working Paper or Technical Report]

Álvarez, Francisco and Marrero, Gustavo A. and Puch, Luis A. (2004) Air pollution convergente and economic growth across european countries. [Working Paper or Technical Report]

Pérez Sánchez, Rafaela María (2004) Characterizing the optimal composition of government expenditures. [Working Paper or Technical Report]

Marrero, Gustavo A. (2004) Component versus tradicional models to forecast quarterly national account aggregates: a Monte Carlo experiment. [Working Paper or Technical Report]

Dobado González, Rafael and Marrero, Gustavo A. (2004) Corn market integration in porfirian Mexico. [Working Paper or Technical Report]

Álvarez, Francisco and Contestabile, M. and Gómez, C. and Marrero, Gustavo A. and Puch, Luis A. (2004) EU polluting emissions: an empirical analysis. [Working Paper or Technical Report]

Muñoz Hernández, Israel J. and Huergo Orejas, Elena (2004) Entrada y competencia en los servicios de telecomunicaciones. [Working Paper or Technical Report]

Pérez Sánchez, Rafaela María and Ruiz Andújar, Jesús (2004) Global and local indeterminacy and optimal environmental public policies in an economy with public abatement activities. [Working Paper or Technical Report]

Jiménez Martín, Juan Ángel and Peruga Urrea, Rodrigo (2004) Macroeconomic and policy uncertainty and exchange rate risk premium. [Working Paper or Technical Report]

Jiménez Martín, Juan Ángel and Flores de Frutos, Rafael (2004) Seasonal fluctuations and dynamic equilibrium models of exchange rate. [Working Paper or Technical Report]

Jiménez Martín, Juan Ángel and Flores de Frutos, Rafael (2004) The fit of dynamic equilibrium models of exchange rate. [Working Paper or Technical Report]

Portier, Franck and Puch González, Luis Antonio (2004) The welfare cost of business cycles in an economy with nonclearing markets. [Working Paper or Technical Report]

Pérez Amaral, Teodosio and Gallo, Giampiero M. and White, Halbert (2003) A flexible tool for model building: the relevant transformation of the imputs network approach. [Working Paper or Technical Report]

Delgado Rodríguez, María Jesús and Álvarez Ayuso, Inmaculada (2003) Comparación de la eficiencia técnica de los sectores productivos regionales: 1980-1995. [Working Paper or Technical Report]

Abad Romero, Pilar and Robles Fernández, María Dolores (2003) Contenido informativo de los cambios de rating en el mercado de valores español. [Working Paper or Technical Report]

Fernández Casillas, Mª Esther and Pérez Sánchez, Rafaela María and Ruiz Andújar, Jesús (2003) Environmental fiscal polices might be ineffective to control pollution. [Working Paper or Technical Report]

Marrero, Gustavo A. and Novales Cinca, Alfonso (2003) Growth and welfare: distorting versus non-distorting taxes. [Working Paper or Technical Report]

Jiménez Martín, Juan Ángel and Peruga Urrea, Rodrigo (2003) La transición al euro y la prima de riesgo en el mercado de divisas. [Working Paper or Technical Report]

Marrero, Gustavo A. and Novales Cinca, Alfonso (2003) Taxing or subsidizing factors' rents in a simple endogenous growth model with public capital. [Working Paper or Technical Report]

Marrero, Gustavo A. (2003) The public investment rule in a simple endogenous endogenous growth model with public capital: active or pasive? [Working Paper or Technical Report]

Marrero, Gustavo A. (2003) The public investment rule in a simple endogenous endogenous growth model with public capital: active or pasive? [Working Paper or Technical Report]

Collard, Fabrice and Licandro, Omar and Puch, Luis A. (2003) The short-run dynamics of optimal growyh models with delays. [Working Paper or Technical Report]

Sáez, Francisco J. and Puch, Luis A. (2003) Trade shoks and aggregate fluctuations in an oil-exporting economy. [Working Paper or Technical Report] (Unpublished)

Boucekkine, Raouf and Licandro, Omar and Puch, Luis A. and Rio, Fernando del (2003) Vintage capital and the dynamics of the AK model. [Working Paper or Technical Report]

Caballero Fernández, Rafael and Cerdá Tena, Emilio and Muñoz Martos, María del Mar and Rey, Lourdes (2002) Analysis and comparisons of some solution concepts for stochastic programming problems. [Working Paper or Technical Report]

Fernández Casillas, Mª Esther and Pérez Sánchez, Rafaela María and Ruiz Andújar, Jesús (2002) Dynamic laffer curve in an endogenous growth model with pollution. [Working Paper or Technical Report]

Caballero Fernández, Rafael and Cerdá Tena, Emilio and Muñoz Martos, María del Mar and Rey, Lourdes (2002) Stochastic approach versus multiobjective approach for obtaining efficient solutions in stochastic multiobjective programming problems. [Working Paper or Technical Report]

Lafuente Luengo, Juan Ángel and Ruiz Andújar, Jesús (2002) The New Market effect on return and volatility of Spanish sector indexes. [Working Paper or Technical Report]

Aguilar Barceló, José G. (2002) A dynamic model of final service competition in fixed electronic communications under a capacity interconnection regime. [Working Paper or Technical Report]

Bujosa Brun, Andrés and Bujosa Brun, Marcos and García Ferrer , Antonio (2002) A note on the pseudo-spectra and the pseudo-covariance generating functions of ARMA processes. [Working Paper or Technical Report]

Stancu-Minasian, I.M. and Caballero, R. and Cerdá Tena, Emilio and Muñoz, María del Mar (2002) Duality in fractional programming involving locally arcwise connected and related functions. [Working Paper or Technical Report]

Nieto, Luisa and Robles Fernández, María Dolores and Fernández, Angeles (2002) Linear and nonlinear intraday dynamics between the Eurostoxx-50 and its futures contract. [Working Paper or Technical Report]

Fernández Casillas, Mª Esther (2002) Política monetaria óptima en un modelo con intermediación financiera. [Working Paper or Technical Report]

Fernández Casillas, Mª Esther (2002) ¿Es óptimo pagar intereses por los activos de caja? [Working Paper or Technical Report]

Novales Cinca, Alfonso and Abad Romero, Pilar (2002) The forecasting ability of factor models of the term structure of IRS markets. [Working Paper or Technical Report]

Fernández Serrano , José Luis and Robles Fernández, María Dolores (2002) Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario. [Working Paper or Technical Report]

Bujosa Brun, Marcos and García Ferrer , Antonio and Young, Peter (2002) An ARMA representation of unobserved component models under generalized random walk specifications: new algorithms and examples. [Working Paper or Technical Report]

Novales Cinca, Alfonso and Abad Romero, Pilar (2002) An error correction factor model of term structure slopes in international swaps markets. [Working Paper or Technical Report]

Novales Cinca, Alfonso and Abad Romero, Pilar (2002) Risk premia in the term structure of swaps in pesetas. [Working Paper or Technical Report]

Novales Cinca, Alfonso and Domínguez, Emilio (2002) A factor model of term structure slopes in eurocurrency markets. [Working Paper or Technical Report]

Pérez Amaral, Teodosio and Gallo, Giampiero M. and White, Halbert (2002) A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach. [Working Paper or Technical Report]

Domínguez, Emilio and Novales Cinca, Alfonso (2002) Can forward rates be used to improve interest rate forecasts? [Working Paper or Technical Report]

Domínguez, Emilio and Novales Cinca, Alfonso (2002) Dynamic correlations and forecasting of term structure slopes in eurocurrency market. [Working Paper or Technical Report]

Ruiz Andújar, Jesús (2002) Experimentos de política fiscal por el lado de la oferta en un modelo monetario de crecimiento endógeno. [Working Paper or Technical Report]

Delgado Rodríguez , María Jesús and Álvarez Ayuso, Inmaculada (2002) Medición de la eficiencia técnica para los Países de la UE-15. [Working Paper or Technical Report]

Novales Cinca, Alfonso and Lafuente Luengo, Juan Ángel (2002) Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market. [Working Paper or Technical Report]

Manzano, Baltasar and Ruiz Andújar, Jesús (2002) Política fiscal óptima: el estado de la cuestión. [Working Paper or Technical Report]

Novales Cinca, Alfonso (2002) The role of simulation methods in macroeconomics. [Working Paper or Technical Report]

Lafuente Luengo, Juan Ángel and Ruiz Andújar, Jesús (2002) Time-Varying forward bias and the volatility of risk premium: a monetary explanation. [Working Paper or Technical Report]

Pérez Sánchez, Rafaela María (2002) Un modelo de Uso Eficiente de las Infraestructuras Públicas. [Working Paper or Technical Report]

Mazón Calpena, Cristina and Pereira, Pedro (2001) Electronic commerce, consumer search and retailing cost reduction. [Working Paper or Technical Report]

Delgado Rodríguez, María Jesús and Álvarez Ayuso, Inmaculada (2001) The effect of public infrastructure on private activity : evidence from the Spanish regions. [Working Paper or Technical Report]

Álvarez González, Francisco and Deissenberg, Christophe (2001) Cheating for the common good in a macroeconomic policy game. [Working Paper or Technical Report]

Marrero, Gustavo A. (2001) Coordinating short-and long-run public investment rules. [Working Paper or Technical Report]

Díaz, Antonia and Puch, Luis A. and Guilló, María D. (2001) Costly capital reallocation and energy use. [Working Paper or Technical Report]

Novales Cinca, Alfonso and Ruiz Andújar, Jesús (2001) Dynamic Laffer curves. [Working Paper or Technical Report]

Marrero, Gustavo A. and Novales Cinca, Alfonso (2001) Growth and welfare : distorting or non-distorting taxes. [Working Paper or Technical Report]

Ruiz Andújar, Jesús and Fernández Casillas, María Esther (2001) Indeterminación y función de utilidad no separable en consumo público y ocio. [Working Paper or Technical Report]

Licandro, Omar and Puch, Luis A. and Ruiz Tamarit, J. Ramón (2001) Optimal growth under endogenous depreciation, capital utilization and maintenance costs. [Working Paper or Technical Report] (Unpublished)

Fernández Serrano , José Luis and Robles Fernández, María Dolores (2001) Structural breaks and interest rates forecast : a sequential approach. [Working Paper or Technical Report]

Fernández Casillas, María Esther and Ruiz Andújar, Jesús (2001) Time-to-build, growth and welfare. [Working Paper or Technical Report]

This list was generated on Thu Apr 24 02:12:06 2014 CEST.