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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1001: GFC-Robust Risk Management Strategies under the Basel Accord

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

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

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

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

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

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

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

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

Juan Jimenez-Martin and Alfonso Novales

0916: A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Chatayan Wiphatthanananthakul and Michael McAleer

0915: Modelling the Growth and Volatility in Daily International Mass Tourism to Peru

Jose Angelo Divino and Michael McAleer

0914: Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

Chia-Lin Chang, Michael McAleer, Biing-Wen Huang and Meng-Gu Chen

0913: Modelling Sustainable International Tourism Demand to the Brazilian Amazon

Jose Angelo Divino and Michael McAleer

0912: The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord

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

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

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

Juan 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 Daniel 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

0903: Diagnostic checking using subspace methods

Alfredo Garcia-Hiernaux

0902: Forecasting linear dynamical systems 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

0603: Modelling an forecasting time series sampled at different frequencies

José Casals Carro, Miguel Jerez and Sonia Sotoca López

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

0601: Medición y Determinantes de la Brecha Tecnológica en España

Leonel Cerno and Teodosio Pérez-Amaral

0513: It’s a Small Small Welfare Cost of Fluctuations

Franck Portier and Luis Puch

0512: Unit Roots and Cointegrating Matrix Estimation using Subspace Methods

Alfredo Garcia-Hiernaux, Miguel Jerez and José Casals

0511: Using The Nelson and Siegel Model of The term Structure in Value at Risk Estimation

Pilar Abad and Sonia Muela

0510: Factores comunes en la ETTI española. Un análisis de corto y largo plazo

Sonia Muela

0509: Revisiting the optimal stationary public investment policy in endogenous growth economies

Gustavo Marrero

0508: Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations

Juan Jimenez-Martin and M. Dolores Robles Fernandez

0507: Risk tasking behaviour and ownership in the banking industry: the Spanish evidence

Teresa garcía Marco and M. Dolores Robles-Fernández

0506: Demand for Internet Access and Use in Spain

Leonel Cerno and Teodosio Pérez-Amaral

0505: Risk and returns around bond rating changes: New evidence from the Spanish Stock Market

Pilar Abad Romero and M. Dolores Robles Fernandez

0504: Fast estimation methods for time series models in state-space form

Alfredo Garcia-Hiernaux, José Casals Carro and Miguel Jerez

0503: Deteccióon de Raíces Unitarias y Cointegración mediante Métodos de Subespacios

Alfredo Garcia-Hiernaux, Miguel Jerez and José Casals

0502: A factor analysis of volatility across the term structure: the Spanish case

Sonia Benito and Alfonso Novales

0501: Econometric modeling of business Telecommunications demand using Retina and Finite Mixtues

Massimiliano Marinucci and Teodosio Pérez-Amaral

0413: Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate

Juan Jimenez-Martin and Rafael Flores de Frutos

0412: Macroeconomic and policy uncertainty and Exchange rate risk Premium

Juan Jimenez-Martin and Rodrigo Peruga Urrea

0411: The Fit of Dynamic Equilibrium Models of Exchange Rate

Juan Jimenez-Martin and Rafael Flores de Frutos

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

Gustavo 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 Jesus Ruiz

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

Inmaculada Álvarez and Maria Jesus Delgado Rodriguez

0406: Air Pollution Convergente and Economic Growth across European Countries

Francisco Alvarez Gonzalez, Gustavo Marrero and Luis Puch

0405: EU Polluting Emissions: an empirical analysis

Francisco Alvarez Gonzalez, M. Contestabile, C. Gómez, Gustavo Marrero and Luis 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 Puch

0402: Corn Market Integration in Porfirian Mexico

Rafael Dobado González and Gustavo Marrero

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

Gustavo Marrero

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

Fabrice Collard, Omar Licandro and Luis Puch

0310: Vintage capital and the dynamics of the AK model

Raouf Boucekkine, Omar Licandro, Luis Puch and Fernando del Río