Browsing Biltoki by Subject "MATHEMATICAL AND QUANTITATIVE METHODS"
Now showing items 120 of 51

A Fundamental Contradiction in Keynes' Conception of Income
(200302)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 LopezHernandez procedure: New nonhierarchical algorithms in classification of data
(200003)[EN] In this short note, we make a critique about the procedure developed in the Inductive Algorithm in the Objects of LopezHernandez (1997). It is well known that the determination of maximal cliques in a graph is an ... 
A note on the implementation of the BFCMSMIP algorithm in C++ by using COINOR as an optimization engine
(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
(201311)In a recent paper LeongHuang:2010 {Journal of Applied Statistics 37, 215–233} proposed a waveletcorrelationbased approach to test for cointegration between two time series. However, correlation and cointegration are ... 
A Semiparametric Estimation of Liquidity Effects on Option Pricing
(199909)This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bidask 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
(200704)The present article reexamines some of the issues regarding the KnowledgeCapital Model that encompasses both horizontal and vertical Foreign Direct Investment described in detail in the literature. The empirical support ... 
Absorbing Sets in Coalitional Systems
(200112)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
(200101)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
(200010)[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
(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 misspecified models
(200002)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
(200704)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
(200906)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
(200005)[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
(2010)We propose a twostage 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 ... 
ConsumptionLeisure Tradeoffs and Persistency in Business Cycles
(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
(201102)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
(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 19702004. Recently developed tests ... 
La Educación Ocupacional y la Salida del Paro en España
(199910)[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
(200701)The paper investigates both linear and nonlinear causality between electricity consumption and economic growth in Spain for the period 19712005. We use the methodology of Toda and Yamamoto (1995) and Dolado and Lütkepohl ...