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Is a Small Monte Carlo Analysis a Good Analysis? Checking the Size, Power and Consistency of a Simulation-Based Test 

Díaz-Emparanza Herrero, Ignacio (Springer, 2002)
In this paper we study the relationship between the number of replications and the accuracy of the estimated quantiles of a distribution obtained by simulation. A method for testing hypotheses on the quantiles of a ...
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The Weekend-Dividend Effect in the Spanish Market 

Gardeazabal, Javier; Regúlez Castillo, Marta (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-06)
In this paper we develop an econometric test of a corollary of the irrelevance of the dividend policy principle, namely, that the rescheduling of dividends does not affect the market valuation of the firm. In particular, ...
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An empirical comparison of the performance of alternative option pricing models 

Rubio Irigoyen, Gonzalo; Ferreira García, María Eva; Gago, Mónica; León, Angel (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 ...
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Quesnay and Leontief on Capital and Income 

Ormazabal Sánchez, Kepa Mirena (2002-03)
I analyze Quesnay's explanation of the "Tableau Economique" of 1766 in order to show that he made a clear distinction between capital and income. In holding this distinction, Quesnay rejected the nowadays currently accepted ...
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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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Adam Smith on Capital and Income 

Ormazabal Sánchez, Kepa Mirena (2002-02)
In this paper I critically analyze Smith's thesis in book I, chapter 6 of the "Wealth of Nations" that the replacement of the capital goods consumed in production becomes fully income. I argue that Smith’s argument is ...
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Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models 

Arteche González, Jesús María (2002-04)
This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local ...
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Dornbusch and Fischer on Capital and Income 

Ormazabal Sánchez, Kepa Mirena (2002-05)
In this paper I critically analyze the relationship that professors Dornbusch and Fischer establish among the concepts of GNP, NNP and aggregate income. In principle, aggregate income is NNP; indeed, the whole point of ...
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Multivariate Data Imputation using Trees 

Bárcena Ruiz, María Jesús; Tusell Palmer, Fernando Jorge (2002)
We address the problem of completing two files with records containing a fully observed common subset of variables. The tecnique investigated involves the use of regression and/or classification trees. An extension of ...

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AuthorOrmazabal Sánchez, Kepa Mirena (3)Arteche González, Jesús María (1)Bárcena Ruiz, María Jesús (1)Díaz-Emparanza Herrero, Ignacio (1)... View MoreDepartamento (cas.)Economía aplicada III (Econometría y Estadística) (9)Fundamentos del análisis económico I (3)Fundamentos del análisis económico II (3)Departamento (eus.)
Ekonomia aplikatua III (ekonometria eta estatistika) (9)
Ekonomia analisiaren oinarriak I (3)Ekonomia analisiaren oinarriak II (3)SubjectMATHEMATICAL AND QUANTITATIVE METHODS (5)ECONOMICS, ECONOMETRICS AND FINANCE (2)FINANCIAL ECONOMICS (2)MACROECONOMICS AND MONETARY ECONOMICS (2)... View MoreDate Issued
2002 (9)
Language(ISO)
eng (9)

DSpace software copyright © 2002-2015  DuraSpace
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