Now showing items 1-6 of 6
Nonparametric estimation betas in the Market Model
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of ...
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 ...
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 ...
Predicting Betas: Two new methods
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 ...
Switching Equilibria: The Present Value Model for Stock Prices Revisited
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 ...
Analysis of Length of Time Spent in Chapter 11 Bankruptcy
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 ...