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Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach
(2011-09)
We propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along ...
A Semiparametric Estimation of Liquidity Effects on Option Pricing
(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 ...
Analysis of the relationship between International Immigration and Unemployement
(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 ...
Time-dependent outside option in an alternating offers bargaining model
(1997)
In this work I consider an alternating offers bargaining model in which a time-dependent outside option is introduced. The purpose of this work is to analyze relationships between S.P.E. utility pairs induced by such a ...
A time varying coefficient model for panel data: Foreign Direct Investment in European OECD countries
(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 ...
Optimal Environmental Taxation When Goods and Contamination are Durable
(1999-11)
[EN] This paper analyzes the effects of optimal taxation on a polluting monopolist who produces a durable good and cannot precommit to future sale prices. The government establishes the taxes that maximize social welfare, ...
Lagrangean decomposition for large-scale two-stage stochastic mixed 0-1 problems
(2010-07)
In this paper we study solution methods for solving the dual problem corresponding to the Lagrangean Decomposition of two stage stochastic mixed 0-1 models. We represent the two stage stochastic mixed 0-1 problem by a ...
Commitment Power in a Non-Stationary Durable-Good Market
(2001-05)
This paper derives and evaluates the decisions of a durable good monopolist in a context where demand for the services of the durable good changes over time. It shows that, if the size of the market decreases over time, ...
Análisis descriptivo de la población ocupada en la CAPV (1993-1999)
(2003)
El presente trabajo realiza el análisis descriptivo de la población ocupada en la economía de la CAPV, en el período 1993-1999. Dicho análisis se lleva a cabo con el objeto de comparar la población ocupada con estudios ...
A two-stage stochastic integer programming approach
(2005)
We present an algorithmic approach for solving two-stage stochastic mixed 0-1 problems. The first stage constraints of the Deterministic Equivalent Model have 0--1 variables and continuous variables. The approach uses the ...