Browsing Documentos de Trabajo e Informes Técnicos by Author "Ferreira, Eva"
Now showing items 1-8 of 8
-
A Semiparametric Estimation of Liquidity Effects on Option Pricing
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 ... -
An empirical comparison of the performance of alternative option pricing models
Rubio Irigoyen, Gonzalo; Ferreira García, María Eva; Gago, Mónica; León, Angel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ... -
Analysis of Length of Time Spent in Chapter 11 Bankruptcy
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 ... -
Conditional beta pricing models: A nonparametric approach
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 ... -
Consumer Confidence and Yield Spreads in Europe
Ferreira García, María Eva; Martínez, María Isabel; Navarro, Eliseo; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-02)
This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business ... -
Nonparametric estimation of time varying parameters under shape restrictions
In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main ... -
Survival Analysis Using a Censored Semiparametric Regression Model
In this work we study the effect of several covariates X on a censored response variable T with unknown probability distribution. A semiparametric model is proposed to consider situations where the functional form of the ... -
Two-Stage Nonparametric Regression for Longitudinal Data
In the analysis of longitudinal data it is of main interest to investigate the existence of group and individual effects under correlated observations across time. In this paper, we develop a nonparametric two-step procedure ...