Documentos del Instituto Complutense de Análisis Económico

from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
Contact information at EDIRC.
Series data maintained by ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

0920: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Juan-Angel Jimenez-Martin, Michael McAleer and Teodosio Pérez-Amaral

0919: What Happened to Risk Management During the 2008-09 Financial Crisis?

Juan-Angel Jimenez-Martin, Michael McAleer and Teodosio Pérez-Amaral

0918: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Juan Angel Jimenez Martin, Michael McAleer and Teodosio Pérez-Amaral

0917: State-Uncertainty preferences and the Risk Premium in the Exchange rate market

Juan Angel Jimenez Martin and Alfonso Novales

0913: Modelling Sustainable International Tourism Demand to the Brazilian Amazon

Jose Angelo Divino and Michael McAleer

0911: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Massimiliano Caporin and Michael McAleer

0910: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Michael McAleer

0909: A Scientific Classification of Volatility Models

Massimiliano Caporin and Michael McAleer

0908: State-Uncertainty preferences and the Risk Premium in the Exchange rate market

Juan Angel Jimenez Martin and Alfonso Novales

0907: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

Juan Angel Jimenez Martin, Michael McAleer and Teodosio Pérez-Amaral

0906: Modelling International Tourist Arrivals and Volatility: An Application to Taiwan

Chia-Lin Chang, Michael McAleer and Dan Slottje

0905: A Scientific Classification of Volatility Models

Massimiliano Caporin and Michael McAleer

0904: Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Massimiliano Caporin and Michael McAleer

0902: Forecasting linear dynamical systems using subspace methods

Alfredo Garcia Hiernaux

0901: Diagnostic checking using subspace methods

Alfredo Garcia Hiernaux

0604: Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal

Pilar Abad and Sonia Benito

0602: Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising

José Casals Carro, Miguel Jerez and Sonia Sotoca López

0413: Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate

Juan Angel Jiménez Martín and Rafael Flores de Frutos

0412: Macroeconomic and policy uncertainty and Exchange rate risk Premium

Juan Angel Jimenez Martin and Rodrigo Peruga Urrea

0411: The Fit of Dynamic Equilibrium Models of Exchange Rate

Juan Angel Jimenez Martin and Rafael Flores de Frutos

0410: Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment

Gustavo A. Marrero

0409: Characterizing the Optimal Composition of Government Expenditures

Rafaela Perez

0408: Global and local indeterminacy and optimal environmental public policies in an economy with public abatement activities

Rafaela Perez and Jesús Ruiz Andújar

0407: Infraestructuras de Transportes: Medición y Análisis de los Efectos Desbordamiento para los Sectores Productivos Españoles

Inmaculada Álvarez Ayuso and Maria Jesus Delgado Rodriguez

0406: Air Pollution Convergente and Economic Growth across European Countries

Francisco Álvarez, Gustavo A. Marrero and Luis A. Puch

0405: EU Polluting Emissions: an empirical analysis

Fernando Alvarez, M. Contestabile, C. Gómez, Gustavo A. Marrero and Luis A. Puch

0404: Entrada y Competencia en los Servicios de Telecomunicaciones

Israel J. Hernández and Elena Huergo

0403: The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets

Franck Portier and Luis A. Puch

0402: Corn Market Integration in Porfirian Mexico

Rafael Dobado González and Gustavo A. Marrero

0401: The public investment rule in a simple endogenous endogenous growth model with public capital: active or pasive?

Gustavo A. Marrero

0311: The short-run dynamics of optimal growth models with delays

Fabrice Collard, Omar Licandro and Luis A. Puch

0310: Vintage capital and the dynamics of the AK model

Raouf Boucekkine, Omar Licandro, Luis A. Puch and Fernando del Rio

0309: Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)

Teodosio Perez-Amaral, Giampiero M. Gallo and Halbert White

0308: Double Dividend in an Endogenous Growth Model With Pollution and Abatement

Esther Fernández, Rafaela Perez and Jesús Ruiz Andújar

0307: Environmental fiscal policies might be ineffective to control pollution

Esther Fernández, Rafaela Perez and Jesús Ruiz Andújar

0306: La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas

Juan Angel Jimenez Martin and Rodrigo Peruga Urrea

0305: Comparación de la Eficiencia Técnica de los Sectores Productivos Regionales: 1980-1995"

Maria Jesus Delgado Rodriguez and Inmaculada Álvarez Ayuso

0304: Contenido informativo de los cambios de Rating en el mercado de Valores Español

Pilar Abad and M. Dolores Robles Fernandez

0303: Taxing or subsidizing Factors' rents in a simple endogenous growth model with public capital

Gustavo A. Marrero and Alfonso Novales

0302: Growth and Welfare: Distorting versus Non-Distorting Taxes

Gustavo A. Marrero and Alfonso Novales

0301: Trade Shoks and Aggregate Fluctuations in an Oil-Exporting Economy

Francisco J. Sáez and Luis A. Puch

0228: Treasury actions: The Spanish format

Francisco Álvarez and Cristina Mazón

0227: The Role of Simulation Methods in Macroeconomics

Alfonso Novales

0226: Dynamic correlations and forecasting of term structure slopes in eurocurrency market

Alfonso Novales and Emilio Domínguez

0225: Can forward rates be used to improve interest rate forecasts?"

Alfonso Novales and Emilio Domínguez

0224: A factor model of term structure slopes in eurocurrency markets

Alfonso Novales and Emilio Domínguez

0223: Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market

Alfonso Novales and Juan Angel Lafuente

0222: An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets

Pilar Abad and Alfonso Novales

0221: The Forecasting Ability of Factor Models of the Term Structure of IRS Markets

Pilar Abad and Alfonso Novales

0220: Volatility Transmission acros the Term Structure of Swap Markets: International Evidence

Pilar Abad and Alfonso Novales