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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1329: Volatility Smirk as an Externality of Agency Conict and Growing Debt

Marcin Jaskowski and Michael McAleer

1328: Market Integration Dynamics and Asymptotic Price Convergence in Distribution

Alfredo Garcia-Hiernaux, David Guerrero and Michael McAleer

1327: International Technology Diffusion of Joint and Cross-border Patents

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

1326: Realized volatility risk

David Allen, Michael McAleer and Marcel Scharth

1325: Herding, Information Cascades and Volatility Spillovers in Futures Markets

Michael McAleer and Kim Radalj

1324: Optimal time-consistent fiscal policy under endogenous growth with elastic labour supply

Alfonso Novales, Rafaela Perez and Jesus Ruiz

1323: Optimal time-consistent fiscal policy in an endogenous growth economy with public consumption and capital

Alfonso Novales, Rafaela Perez and Jesus Ruiz

1322: Risk Modelling and Management: An Overview

Chia-Lin Chang, David Allen, Michael McAleer, Ju-Ting Tang and Teodosio Pérez-Amaral

1321: Ten Things You Should Know About the Dynamic Conditional Correlation Representation

Massimiliano Caporin and Michael McAleer

1319: The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market

Adrian Fernandez-Perez, Fernando Fernández-Rodríguez and Simon Sosvilla-Rivero

1318: Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

Michael McAleer, John Suen and Wing-Keung Wong

1317: Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

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

1316: Modelling and Simulation: An Overview

Michael McAleer, Les Oxley and Felix Chan

1315: R&D, IP, and firm profits in the automotive supplier industry

Stefan Lutz

1314: Analyzing Fixed-event Forecast Revisions

Chia-Lin Chang, Bert de Bruijn, Philip Hans Franses and Michael McAleer

1313: Mathematical framework for pseudo-spectra of linear stochastic difference equations

Andrés Bujosa Brun, Marcos Bujosa and Antonio García-Ferrer

1312: Ten Things You Should Know About DCC

Massimiliano Caporin and Michael McAleer

1311: Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market

Pilar Abad, M. Dolores Robles Fernandez and Gare Cuervo

1310: Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence

Chia-Lin Chang, Michael McAleer and Les Oxley

1309: What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance

Chia-Lin Chang and Michael McAleer

1308: Inflation expectations in Spain: The Spanish PwC Survey

María del Carmen Ramos-Herrera and Simon Sosvilla-Rivero

1307: A Fractionally Integrated Wishart Stochastic Volatility Model

Manabu Asai and Michael McAleer

1306: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Ping-Yu Chen, Chia-Lin Chang, Chi-Chung Chen and Michael McAleer

1305: Financial Dependence Analysis: Applications of Vine Copulae

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

1304: Effects of taxation on European multi-nationals’ financing and profits

Stefan Lutz

1303: Recent Developments in Financial Economics and Econometrics: An Overview

Chia-Lin Chang, David Allen and Michael McAleer

1302: Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing

Manabu Asai and Michael McAleer

1301: Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

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

1230: Volatility Spillovers from the US to Australia and China across the GFC

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

1229: Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan

Lan-Fen Chu, Michael McAleer and Szu-Hua Wang

1228: Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Marcin Jaskowski and Michael McAleer

1227: Statistical Modelling of Extreme Rainfall in Taiwan

Lan-Fen Chu, Michael McAleer and Ching-Chung Chang

1226: Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

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

1225: Simultaneous determination of market value and risk premium in the valuation of firms

Stefan Lutz

1224: The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions

David Allen, Abhay K Singh, Robert Powell, Michael McAleer, James Taylor and Lyn Thomas

1223: Customer Service Quality and Incomplete Information in Mobile Telecommunications: A Game Theoretical Approach to Consumer Protection

Rafael López Zorzano, Teodosio Pérez-Amaral, Teresa Garín-Muñoz and Covadonga Gijón Tascón

1222: (How) Do research and administrative duties affect university professors’ teaching?

Aurora García-Gallego, Nikolaos Georgantzís, Joan Martín-Montaner and Teodosio Pérez-Amaral

1221: Satisfaction and protection of individual mobile telecommunications consumers

Covadonga Gijón Tascón, Teresa Garín-Muñoz and Teodosio Pérez-Amaral

1220: How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?

Lan-Fen Chu, Michael McAleer and Chi-Chung Chen

1219: A non-parametric and entropy based analysis of the relationship between the VIX and S&P500

David Allen, A. Kramadibrata, Michael McAleer, Robert Powell and A. K. Singh

1218: Costs for conventional and renewable fuels and electricity in the worldwide transport sector: a mean-variance portfolio approach

Ricardo Guerrero-Lemus, Gustavo Marrero and Luis Puch

1217: Credit rating agencies and unsystematic risk: Is there a linkage?

Pilar Abad and M. Dolores Robles Fernandez

1216: Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents

Chia-Lin Chang, Sung-Po Chen and Michael McAleer

1215: Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence

Chia-Lin Chang, Michael McAleer and Les Oxley

1214: Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments

Philip Hans Franses, Michael McAleer and Rianne Legerstee

1213: Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China

Zhidong Bai, Hua Li, Michael McAleer and Wing-Keung Wong

1212: Ranking Journal Quality by Harmonic Mean of Ranks: An Application to ISI Statistics & Probability

Chia-Lin Chang and Michael McAleer

1211: Asymmetric Adjustments in the Ethanol and Grains Markets

Chia-Lin Chang, Li-Hsueh Chen, Shawkat Hammoudeh and Michael McAleer

1210: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

1209: Robust Estimation and Forecasting of the Capital Asset Pricing Model

Guorui Bian, Michael McAleer and Wing-Keung Wong