Documentos de Trabajo del ICAE

From Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
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1507: Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context

Víctor M. Adame-García, Fernando Fernández-Rodríguez and Simon Sosvilla-Rivero

1506: International Technology Diffusion of Joint and Cross-border Patents (Revised version)

Chia-Lin Chang, Michael McAleer and Ju-Ting Tang

1505: Price-Level Convergence in the Eurozone

Alfredo Garcia-Hiernaux and David Esteban Guerrero Burbano

1504: Frontiers in Time Series and Financial Econometrics: An Overview

Shiqing Ling, Michael McAleer and Howell Tong

1503: On the Invertibility of EGARCH(p,q)

Guillaume Gaetan Martinet and Michael McAleer

1502: The Impact of Jumps and Leverage in Forecasting Co-Volatility

Manabu Asai and Michael McAleer

1501: Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting

Chia-Lin Chang and Michael McAleer

1432: Hedge Fund Portfolio Diversification Strategies Across the GFC

David Allen, Michael McAleer, Shelton Peiris and Abhay K. Singh

1431: Econometric Analysis of Financial Derivatives: An Overview

Chia-Lin Chang and Michael McAleer

1430: Learning and coordinating in a multilayer network

Haydée Lugo and Maxi San Miguel

1429: A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Christian Hafner and Michael McAleer

1428: On the Invertibility of EGARCH

Guillaume Gaetan Martinet and Michael McAleer

1427: European Market Portfolio Diversification Strategies across the GFC

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

1426: Volatility Spillovers from Australia's major trading partners across the GFC

David Allen, Michael McAleer and Abhay K. Singh

1425: Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns

Belén Nieto, Alfonso Novales and Gonzalo Rubio

1424: A statistical test for forecast evaluation under a discrete loss function

Francisco Javier Eransus and Alfonso Novales

1423: The Risk-Return binomial after rating changes

Pilar Abad and M. Dolores Robles Fernandez

1422: Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions

Francisco Javier Eransus and Alfonso Novales

1421: Survival Analysis of Very Low Birth Weight Infant Mortality in Taiwan

Chia-Lin Chang, Wei-Chen Chen and Michael McAleer

1420: A Tourism Financial Conditions Index

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer

1419: Efficiency of the Services Sector: a Parametric Approach

Gisela Di Meglio and Stefano Visintin

1418: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay

Michael McAleer

1417: Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview

Shawkat Hammoudeh and Michael McAleer

1416: Asymmetric Realized Volatility Risk

David Allen, Michael McAleer and Marcel Scharth

1415: A One Line Derivation of EGARCH

Michael McAleer and Christian Hafner

1414: Guns, Economic Growth and Education during the second half of the Twentieth Century: Was Spain different?

José Jurado-Sánchez and Juan Jimenez-Martin

1413: Linking the problems of estimating and allocating unconditional capital

Alejandro Ferrer Pérez, José Casals Carro and Sonia Sotoca López

1412: Conditional coverage and its role in determining and assessing long-term capital requirements

Alejandro Ferrer Pérez, José Casals Carro and Sonia Sotoca López

1411: A new approach to the unconditional measurement of default risk

Alejandro Ferrer Pérez, José Casals Carro and Sonia Sotoca López

1410: Just How Good are the Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations

Chia-Lin Chang and Michael McAleer

1409: Risk Measurement and risk modelling using applications of Vine Copulas

David Allen, Michael McAleer and Abhay K. Singh

1408: A Stochastic Dominance Approach to Financial Risk Management Strategies

Chia-Lin Chang, Juan Jimenez-Martin, Esfandiar Maasoumi and Teodosio Pérez-Amaral

1407: Does R&D increase the profit contribution of intangible assets? An exploration of European and American automotive supplierss

Stefan Lutz

1406: Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences

Chia-Lin Chang and Michael McAleer

1405: Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

Manabu Asai and Michael McAleer

1404: Deliberation, Leadership and Information Aggregation

Javier Rivas and Carmelo Rodriguez-Alvarez

1403: Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations

Chia-Lin Chang and Michael McAleer

1402: Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series

David Allen, Michael McAleer and Abhay K. Singh

1401: A Tourism Conditions Index

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer

1341: Mean-variance portfolio methods for energy policy risk management

Gustavo Marrero, Luis Puch and Francisco Ramos-Real

1340: Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis

Pilar Abad Romero, Sonia Benito Muela, Miguel Angel Sánchez Granero and Carmen López

1339: The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations

Kazumitsu Nawata and Michael McAleer

1338: Age based preferences in paired kidney exchange

Antonio Nicolo' and Carmelo Rodriguez-Alvarez

1336: Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises

Massimiliano Caporin, Juan Jimenez-Martin and Lydia González-Serrano

1335: A Theory of Vintage Capital Investment and Energy Use

Antonia Díaz and Luis Puch

1334: Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc

Chia-Lin Chang and Michael McAleer

1333: A Capital Adequacy Buffer Model

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

1332: Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study

Alberto Fernández Muñoz de Morales

1331: Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

1330: The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer