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Uncertainty and Real Options. Investment and Development of Fishing Resources (II)
(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 ...
Uncertainty and Real Options. Investment and Development of Fishing Resources (I)
(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 ...
Switching Equilibria: The Present Value Model for Stock Prices Revisited
(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 ...
Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
(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 ...
An empirical comparison of the performance of alternative option pricing models
(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 ...
Consumer Confidence and Yield Spreads in Europe
(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 ...
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 ...
Conditional beta pricing models: A nonparametric approach
(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 ...
Predicting Betas: Two new methods
(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 ...
Analysis of Length of Time Spent in Chapter 11 Bankruptcy
(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 ...