Now showing items 1-6 of 6

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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 of time varying parameters under shape restrictions 

      Orbe Mandaluniz, Susan; Ferreira García, María Eva; Rodríguez Poo, Juan M. (2001-01)
      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 ...
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      Survival Analysis Using a Censored Semiparametric Regression Model 

      Orbe Lizundia, Jesús María; Ferreira García, María Eva; Núñez Antón, Vicente Alfredo (2000-04)
      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 ...
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      Two-Stage Nonparametric Regression for Longitudinal Data 

      Ferreira García, María Eva; Núñez Antón, Vicente Alfredo; Rodríguez Poo, Juan M. (1999-01)
      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 ...