BackBrowsing Biltoki by Subject "MATHEMATICAL AND QUANTITATIVE METHODS"
Now showing items 1-20 of 51
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A Fundamental Contradiction in Keynes' Conception of Income
Ormazabal Sánchez, Kepa Mirena
(2003-02)
I contend that Keynes provides two contradictory definitions of aggregate income. According to the first definition, which is the dominant in Keynes as well as the standard in current Macroeconomics, the full value of ... -
A note on Lopez-Hernandez procedure: New non-hierarchical algorithms in classification of data
Garín Martín, María Araceli (2000-03)
[EN] In this short note, we make a critique about the procedure developed in the Inductive Algorithm in the Objects of Lopez-Hernandez (1997). It is well known that the determination of maximal cliques in a graph is an ... -
A note on the implementation of the BFC-MSMIP algorithm in C++ by using COIN-OR as an optimization engine
; Garín Martín, María Araceli; Merino Maestre, María ; Pérez Sainz de Rozas, Gloria (2010)
The aim of this technical report is to present some detailed explanations in order to help to understand and use the algorithm Branch and Fix Coordination for solving MultiStage Mixed Integer Problems (BFC- MSMIP). We have ... -
A Note on Wavelet Correlation and Cointegration
Fernández Macho, Francisco Javier (2013-11)
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are ... -
A Semiparametric Estimation of Liquidity Effects on Option Pricing
Ferreira García, María Eva; ; (1999-09)
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ... -
A time varying coefficient model for panel data: Foreign Direct Investment in European OECD countries
Mariel Chladkova, Petr; ; Rodríguez González, Carlos (2007-04)
The present article reexamines some of the issues regarding the Knowledge-Capital Model that encompasses both horizontal and vertical Foreign Direct Investment described in detail in the literature. The empirical support ... -
Absorbing Sets in Coalitional Systems
Iñarra García, María Elena; Kuipers, Jerome; Olaizola Ortega, María Norma (2001-12)
The purpose of this paper is twofold: First, to present an approach and a solution for analyzing the stability of coalition structures: We define a coalitional system (a set and a binary relation on that set) that explains ... -
Analysis of Length of Time Spent in Chapter 11 Bankruptcy
Orbe Lizundia, Jesús María; Ferreira García, María Eva ; Núñez Antón, Vicente Alfredo (2001-01)
This paper investigates original issuers of high yield bonds in Chapter 11 bankruptcy to determine which factors affect the length of time spent in Chapter 11. In order to do this analysis we propose a flexible new duration ... -
Analysis of the relationship between International Immigration and Unemployement
Díaz-Emparanza Herrero, Ignacio; (2000-10)
[EN] The relationship between the unemployment and the international immigration is getting interest while the differences between poor and rich countries are stressed. The poor countries offer cheap work force to occupy ... -
Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets
Ciarreta Antuñano, Aitor; Zárraga Alonso, Ainhoa (2012)
This paper models the mean and volatility spillovers of prices within the integrated Iberian and the interconnected Spanish and French electricity markets. Using the constant (CCC) and dynamic conditional correlation (DCC) ... -
Bayesian learning in mis-specified models
(2000-02)A central unanswered question in economic theory is that of price formation in disequilibrium. This paper lays down the methodological groundwork for a model that has been suggested as an answer to this question (Arrow, ... -
Benchmarking of patents: An application of GAM methodology
Mariel Chladkova, Petr; (2007-04)
The present article reexamines some of the issues regarding the benchmarking of patents using the NBER data base on U.S. patents by generalizing a parametric citation model and by estimating it using GAM methodology. The ... -
Choice experiment study on the willingness to pay to improve
Abdullah, Sabah; Mariel Chladkova, Petr (2009-06)
Modern forms of energy are an important vehicle towards poverty alleviation in rural areas of developing countries. Most developing countries’ households heavily rely on wood fuel which impact their health and social–economic ... -
Comparative Study of Alternatives Analysis of Incomplete Disjunctive Tables
Zárraga Castro, María Amaya; Goitisolo Lezama, Beatriz (2000-05)
[EN] Multiple Correspondence Analysis (MCA) studies the relationship between several categorical variables defined with respect to a certain population. However, one of the main sources of information are those surveys in ... -
Conditional beta pricing models: A nonparametric approach
Ferreira García, María Eva; Gil Bazo, Javier; (2010)
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ... -
Consumption-Leisure Trade-offs and Persistency in Business Cycles
Barañano Mentxaka, Ilaski; Moral Zuazo, María Paz (2007)
This paper studies whether nonseparabilities between consumption and leisure may help to explain the observed persistence in GNP growth. We consider an extended version of Lucas' (1988) human capital investment model that ... -
Doubly fractional models for dynamic heteroskedastic cycles
; Arteche González, Jesús María (2011-02)
Strong persistence is a common phenomenon that has been documented not only in the levels but also in the volatility of many time series. The class of doubly fractional models is extended to include the possibility of long ... -
Economic Growth and Electricity Consumption in 12 European Countries: A Causality Analysis Using Panel Data
Ciarreta Antuñano, Aitor; Zárraga Alonso, Ainhoa (2008)
We apply recent panel methodology to investigate the relationship between electricity consumption and real GDP for a set of 12 European Union countries using annual data for the period 1970-2004. Recently developed tests ... -
La Educación Ocupacional y la Salida del Paro en España
(1999-10)[EN] This paper considers the estimation of the effect of vocational education on the probability of employment using Spanish data from the linked Active Population Survey (EPA) since 1992 to 1997. After allowing for ... -
Electricity consumption and economic growth: evidence from Spain
Ciarreta Antuñano, Aitor; Zárraga Alonso, Ainhoa (2007-01)
The paper investigates both linear and nonlinear causality between electricity consumption and economic growth in Spain for the period 1971-2005. We use the methodology of Toda and Yamamoto (1995) and Dolado and Lütkepohl ...