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Details about Alfonso Novales

E-mail:
Homepage:https://www.ucm.es/fundamentos-analisis-economico2/novales-cinca,-alfonso
Workplace:Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa) (Department of Foundations of Economic Analysis II (Quantitative Economics)), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de Madrid (Complutense University of Madrid), (more information at EDIRC)
Instituto Complutense de Analisis Economico (ICAE) (UCM Institute for Economic Analysis), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de Madrid (Complutense University of Madrid), (more information at EDIRC)

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Last updated 2017-07-30. Update your information in the RePEc Author Service.

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Working Papers

2014

  1. A statistical test for forecast evaluation under a discrete loss function
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
  2. Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Quarterly Journal of Finance (QJF) (2015)
  3. Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2013

  1. Optimal time-consistent fiscal policy in an endogenous growth economy with public consumption and capital
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    See also Journal Article in Journal of Macroeconomics (2014)
  2. Optimal time-consistent fiscal policy under endogenous growth with elastic labour supply
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Economic Modelling (2014)

2011

  1. Variance Swaps and Intertemporal Asset Pricing
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  2. Why do variance swaps exist?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2009

  1. State-Uncertainty preferences and the Risk Premium in the Exchange rate market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Economic Modelling (2010)

2005

  1. A factor analysis of volatility across the term structure: the Spanish case
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2003

  1. Growth and Welfare: Distorting versus Non-Distorting Taxes
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2001) Downloads

    See also Journal Article in Journal of Macroeconomics (2005)
  2. Taxing or subsidizing Factors' rents in a simple endogenous growth model with public capital
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads

2002

  1. A factor model of term structure slopes in eurocurrency markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Applied Economics Letters (2002)
  2. An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2005)
  3. Can forward rates be used to improve interest rate forecasts?"
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    See also Journal Article in Applied Financial Economics (2002)
  4. Dynamic correlations and forecasting of term structure slopes in eurocurrency market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  5. Is it Worth Refining Linear Approximations to Non-Linear Rational Expectations Models?
    Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces Downloads View citations (2)
    See also Journal Article in Computational Economics (2004)
  6. Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Journal of Banking & Finance (2003)
  7. Risk Premia in the Term Structure of Swaps in Pesetas
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
  8. The Forecasting Ability of Factor Models of the Term Structure of IRS Markets
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
  9. The Role of Simulation Methods in Macroeconomics
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Spanish Economic Review (2000)
  10. Volatility Transmission acros the Term Structure of Swap Markets: International Evidence
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Applied Financial Economics (2004)

2001

  1. Dynamic Laffer Curves
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2002)

1997

  1. The Joint Dynamics of Spot and Forward Exchange Rates
    Working Papers, Banco de España

1986

  1. The role of adjusment costs in interest rate determination
    Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales Downloads

Journal Articles

2016

  1. Credit Risk Decomposition for Asset Allocation
    Journal of Financial Transformation, 2016, 43, 117-123

2015

  1. Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
    Quarterly Journal of Finance (QJF), 2015, 05, (04), 1-41 Downloads
    See also Working Paper (2014)

2014

  1. Optimal time-consistent fiscal policy in an endogenous growth economy with public consumption and capital
    Journal of Macroeconomics, 2014, 42, (C), 104-117 Downloads
    See also Working Paper (2013)
  2. Optimal time-consistent fiscal policy under endogenous growth with elastic labor supply
    Economic Modelling, 2014, 42, (C), 398-412 Downloads View citations (1)
    See also Working Paper (2013)
  3. Variance swaps, non-normality and macroeconomic and financial risks
    The Quarterly Review of Economics and Finance, 2014, 54, (2), 257-270 Downloads View citations (4)

2011

  1. Growth, income taxes and consumption aspirations
    Economics Letters, 2011, 113, (3), 221-224 Downloads
  2. The information content in a volatility index for Spain
    SERIEs: Journal of the Spanish Economic Association, 2011, 2, (2), 185-216 Downloads

2010

  1. State-uncertainty preferences and the risk premium in the exchange rate market
    Economic Modelling, 2010, 27, (5), 1043-1053 Downloads View citations (2)
    See also Working Paper (2009)

2009

  1. Liquidity and hedging effectiveness under futures mispricing: International evidence
    Journal of Futures Markets, 2009, 29, (11), 1050-1066 Downloads View citations (4)

2007

  1. Income taxes, public investment and welfare in a growing economy
    Journal of Economic Dynamics and Control, 2007, 31, (10), 3348-3369 Downloads View citations (11)

2005

  1. An error correction factor model of term structure slopes in international swap markets
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (3), 229-254 Downloads View citations (1)
    See also Working Paper (2002)
  2. Comments on: "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination"
    International Journal of Forecasting, 2005, 21, (4), 775-780 Downloads View citations (1)
  3. Growth and welfare: Distorting versus non-distorting taxes
    Journal of Macroeconomics, 2005, 27, (3), 403-433 Downloads View citations (13)
    See also Working Paper (2003)

2004

  1. Indeterminacy under non-separability of public consumption and leisure in the utility function
    Economic Modelling, 2004, 21, (3), 409-428 Downloads View citations (15)
  2. Is It Worth Refining Linear Approximations to Non-Linear Rational Expectations Models?
    Computational Economics, 2004, 23, (4), 343-377 Downloads View citations (1)
    See also Working Paper (2002)
  3. Volatility transmission across the term structure of swap markets: international evidence
    Applied Financial Economics, 2004, 14, (14), 1045-1058 Downloads View citations (5)
    See also Working Paper (2002)

2003

  1. Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market
    Journal of Banking & Finance, 2003, 27, (6), 1053-1078 Downloads View citations (10)
    See also Working Paper (2002)

2002

  1. A factor model of term structure slopes in Eurocurrency markets
    Applied Economics Letters, 2002, 9, (9), 585-593 Downloads View citations (2)
    See also Working Paper (2002)
  2. Can forward rates be used to improve interest rate forecasts?
    Applied Financial Economics, 2002, 12, (7), 493-504 Downloads View citations (3)
    See also Working Paper (2002)
  3. Dynamic Laffer curves
    Journal of Economic Dynamics and Control, 2002, 27, (2), 181-206 Downloads View citations (46)
    See also Working Paper (2001)

2001

  1. The role of simulation methods in Macroeconomics
    Spanish Economic Review, 2000, 2, (3), 155-181 Downloads
    See also Working Paper (2002)

2000

  1. Testing the expectations hypothesis in Eurodeposits
    Journal of International Money and Finance, 2000, 19, (5), 713-736 Downloads View citations (30)

1997

  1. Forecasting with periodic models A comparison with time invariant coefficient models
    International Journal of Forecasting, 1997, 13, (3), 393-405 Downloads View citations (9)

1992

  1. Equilibrium interest-rate determination under adjustment costs
    Journal of Economic Dynamics and Control, 1992, 16, (1), 1-25 Downloads View citations (3)

1990

  1. Empleo, capital humano y participación femenina en España
    Investigaciones Economicas, 1990, 14, (3), 457-478 Downloads View citations (2)
  2. Solving Nonlinear Rational Expectations Models: A Stochastic Equilibrium Model of Interest Rates
    Econometrica, 1990, 58, (1), 93-111 Downloads View citations (15)

Software Items

2007

  1. Excel files and MATLAB programs for endogenous growth models
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
  2. Excel files and MATLAB programs for growth in monetary economies
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
  3. Excel files and MATLAB programs for neoclassical growth model
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
  4. Excel files and MATLAB programs for numerical solution methods
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
  5. Excel files and MATLAB programs for optimal growth
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
  6. Excel files for dynamics responses and simple simulations
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads

1998

  1. Solving Non-linear Rational Expectations Models By Eigenvalue-Eigenvector Decompositions
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads View citations (20)
 
Page updated 2017-11-17