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Documentos de Trabajo del ICAE

From Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
Contact information at EDIRC.

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1935: Heterogeneous Effect of a Non-contributory Pension. Evidence from Bolivia Downloads
Miguel Angel Borrella-Mas, Mariano Bosch and Marcello Sartarelli
1934: La política industrial del Siglo XXI Downloads
Miguel Sebastián
1933: A critical approachto basic income: costs and incentives. An approximation to the case of Spain (Análisis crítico de la renta básica: costes e incentivos. Aplicación al caso español) Downloads
José María Casado and Miguel Sebastián
1932: News-driven housing booms: Spain vs. Germany Downloads
Laurentiu Guinea, Luis Puch and Jesús Ruiz
1931: A term structure model under cyclical fluctuations in interest rates Downloads
Manuel Moreno, Alfonso Novales and Federico Platania
1930: Splitting credit risk into systemic, sectorial and idiosyncratic components Downloads
Álvaro Chamizo and Alfonso Novales
1929: Long-term swings and seasonality in energy markets Downloads
Manuel Moreno, Alfonso Novales and Federico Platania
1928: Market risk when hedging a global credit portfolio Downloads
Álvaro Chamizo and Alfonso Novales
1927: Looking through systemic credit risk: determinants, stress testing and market value Downloads
Álvaro Chamizo and Alfonso Novales
1926: Volatility specifications versus probability distributions in VaR forecasting Downloads
Laura Garcia-Jorcano and Alfonso Novales
1925: Forward-looking asset correlations in the estimation of economic capital Downloads
Álvaro Chamizo, Alexandre Fonollosa and Alfonso Novales
1924: Backtesting Extreme Value Theory models of expected shortfall Downloads
Alfonso Novales and Laura Garcia-Jorcano
1923: A dominance approach for comparing the performance of VaR forecasting models Downloads
Laura Garcia-Jorcano and Alfonso Novales
1922: Does the pension system’s income statement really matter? A proposal for an NDC scheme with disability and minimum pension benefits Downloads
Anne M. Garvey, Manuel Ventura-Marco and Carlos Vidal-Melia
1921: Re-examining the debt-growth nexus: A grouped fixed-effect approach Downloads
Marta Gómez-Puig, Simon Sosvilla-Rivero and Inmaculada Martínez-Zarzoso
1920: Improving the representativeness of a simple random sample: an optimization model and its application to the Continuous Sample of Working Lives Downloads
Vicente Núñez-Antón, Juan Manuel Pérez-Salamero González, Marta Regúlez-Castillo and Carlos Vidal-Melia
1919: Adoption of e-commerce by individuals and digital divide: Evidence from Spain Downloads
Angel Valarezo Unda, Rafael López and Teodosio Pérez-Amaral
1918: What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model Downloads
Michael McAleer
1917: What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model Downloads
Michael McAleer
1916: Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany Downloads
David Allen and Michael McAleer
1915: Size, Internationalization and University Rankings: Evaluating and predicting Times Higher Education (THE) data for Japan Downloads
Michael McAleer, Tamotsu Nakamura and Clinton Watkins
1914: Risk analysis of energy in Vietnam Downloads
Duc Vo, Ngoc Phu Tran, Tam Nguyen-Thanh Duong and Michael McAleer
1913: Rent seeking for export licenses: Application to the Vietnam rice market Downloads
Tan Vu, Duc Vo and Michael McAleer
1912: The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures Downloads
Manabu Asai, Rangan Gupta and Michael McAleer
1911: Modelling the relationship between crude oil and agricultural commodity prices Downloads
Duc Vo, Tan Vu, Anh Vo and Michael McAleer
1910: Energy consumption and economic growth: Evidence from Vietnam Downloads
Minh Nguyen, Bui Ngoc, Duc Vo and Michael McAleer
1909: Corporate Financial Distress of Industry Level Listings in an Emerging Market Downloads
Duc Vo, Binh Vo-Ninh Pham, Trung Vu-Thanh Pham and Michael McAleer
1908: CO2 emissions, energy consumption and economic growth: Evidence from the Trans-Pacific Partnership Downloads
Duc Vo, Minh Nguyen, Anh Vo and Michael McAleer
1907: Central Bank Intervention, Bubbles and Risk in Walrasian Financial Markets Downloads
Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila and Michael McAleer
1906: Size, Internationalization and University Rankings: Evaluating Times Higher Education (THE) Data for Japan Downloads
Michael McAleer, Tamotsu Nakamura and Clinton Watkins
1905: Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018 Downloads
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
1904: Financial credit risk evaluation based on core enterprise supply chains Downloads
WeiMing Mou, Wing-Keung Wong and Michael McAleer
1903: Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018 Downloads
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
1902: Drawbacks in the 3-factor approach of Fama and French Downloads
David Allen and Michael McAleer
1901: Financial inclusion and macroeconomic stability in emerging and frontier markets Downloads
Anh Vo, Loan Thi-Hong Van, Duc Vo and Michael McAleer
1828: Continuous vs Discrete Time Modelling in Growth and Business Cycle Theory Downloads
Omar Licandro, Luis Puch and Jesús Ruiz
1827: Asymptotic Theory for Rotated Multivariate GARCH Models Downloads
Manabu Asai, Chia-Lin Chang, Michael McAleer and Laurent Pauwels
1826: Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK Downloads
Chia-Lin Chang, Tai-Lin Hsieh and Michael McAleer
1825: Long Run Returns Predictability and Volatility with Moving Averages Downloads
Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila and Michael McAleer
1824: Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks Downloads
Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila and Michael McAleer
1823: “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment Downloads
David Allen and Michael McAleer
1822: Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates Downloads
Manabu Asai, Shelton Peiris, Michael McAleer and David Allen
1821: Spurious Cross-Sectional Dependence in Credit Spread Changes Downloads
Marcin Jaskowski and Michael McAleer
1820: Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT) Downloads
Sonia Benito Muela, Carmen López-Martín and Ángeles Navarro Mª
1819: Disentangling permanent and transitory monetary shocks with a non-linear Taylor rule Downloads
Juan Angel Lafuente, Rafaela Perez and J. Ruiz
1818: A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies Downloads
David Allen, Michael McAleer and Abhay K. Singh
1817: Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather Downloads
David Allen, Michael McAleer and David McHardy Reid
1816: Actuarial accounting for a notional defined contribution scheme combining retirement and longterm care benefits Downloads
Carlos Vidal-Melia, Manuel Ventura-Marco and Juan Manuel Pérez-Salamero González
1815: Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs Downloads
Chia-Lin Chang, Michael McAleer and Yu-Ann Wang
1814: Asymmetric Risk Impacts of Chinese Tourists to Taiwan Downloads
Jukka Ilomäki, Hannu Laurila and Michael McAleer
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