Now showing items 1-10 of 10

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      A Semiparametric Estimation of Liquidity Effects on Option Pricing 

      Ferreira García, María Eva; Gago, Mónica; Rubio Irigoyen, Gonzalo (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 ...
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      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 ...
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      Conditional beta pricing models: A nonparametric approach 

      Ferreira García, María Eva; Gil Bazo, Javier; Orbe Mandaluniz, Susan (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 ...
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      Nonparametric estimation betas in the Market Model 

      Esteban González, María Victoria; Orbe Mandaluniz, Susan (2006)
      In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of ...
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      Predicting Betas: Two new methods 

      Esteban González, María Victoria; Tusell Palmer, Fernando Jorge (2009)
      Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct ...
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      Switching Equilibria: The Present Value Model for Stock Prices Revisited 

      Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (2002-07)
      This paper analyzes the different dynamic features displayed by alternative RE equilibria and how these features change for small perturbations of the dividend process parameters. Using historical US data and structural ...
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      Time-Varying Beta Estimators in the Mexican Emerging Market 

      Nieto Domenech, Belén; Orbe Mandaluniz, Susan; Zárraga Alonso, Ainhoa (2011)
      This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study ...
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      Uncertainty and Real Options. Investment and Development of Fishing Resources (I) 

      Murillas Maza, Arantza (2000-01)
      [EN] The valuation of development opportunity of a fishery is made particularly difficult by the high degree of uncertainty attaching to the price of the fishing resource. The net-present-value and other discounted cash-flows ...
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      Uncertainty and Real Options. Investment and Development of Fishing Resources (II) 

      Murillas Maza, Arantza (2000-01)
      [EN] The irreversibility of the investment expenditures in a fishery and the high degree of uncertainty attaching to the price of the fishing resources make the evaluation of investment opportunity in a fishery particularly ...
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      Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets 

      Fernández Macho, Francisco Javier (2011-06)
      Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number ...