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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) ...
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 ...
Finite sample behavior of two step estimators in selection models
(1999-04)
The problem of specification errors in sample selection models has received considerable attention both theoretically and empirically. However, very few is known about the finite sample behavior of two step estimators. In ...
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 ...
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 ...
A Note on Wavelet Correlation and Cointegration
(2013-11)
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series.
However, correlation and cointegration are ...
Seasonal Stability Tests in gretl. An Application to International Tourism Data
(2013-09)
The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small ...
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 ...
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 ...
On downloading and using COIN-OR for solving linear/integer optimization problems
(2010)
The aim of this technical report is to present some detailed explanations in order to help to use the open source software for optimization COIN-OR. In particular, we describe how to download, install and use the corresponding ...