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Unemployment rates and population changes in Spain 

Echevarría Olave, Cruz Ángel; Eguía Peña, María Begoña (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper discusses the long run effect of changes in the age distribution of Spanish population on the unemployment rate, disaggregated by sex and age segments in the light of cointegration theory given the non stationarity ...
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A factor model of seasonality in stock returns 

Gardeazabal, Javier; Regúlez Castillo, Marta (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Most empirical evidence on stock market seasonality is based on the Dummy Variable Approach (DVA). Typically, the DVA leaves too much variability of stock returns unexplained and inference usually leads to weak or null ...
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Skill premium effects on fertility and female labor force supply 

Iza Padilla, María Amaya; Ferrero Martínez, Dolores (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
In the last twenty years the United States has seen a positive relationship between female labor supply and total fertility rates, which differs from the pattern observed over the preceding years. We construct a general ...
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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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A Non-Parametric Dimension Test of the Term Structure 

Gil Bazo, Javier; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure ...
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The Optimality of the Common Fisheries Policy: the Northern Stock of Hake 

Gutiérrez Huerta, María José; Da Rocha, José María (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
We evaluate the management of the Northern Stock of Hake during 1986-2001. A stochastic bioeconomic model is calibrated to match the main features of this fishing ground. We show how catches, biomass stock and profits ...
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Autorregresive conditional volatility, skewness and kurtosis 

León, Angel; Rubio Irigoyen, Gonzalo; Serna, Gregorio (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ...
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Understanding the ex-ante cost of liquidity in the limit order book: A note 

Martínez Sedano, Miguel Ángel; Rubio Irigoyen, Gonzalo; Tapia, Mikel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-01)
This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity ...
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Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market 

Rubio Irigoyen, Gonzalo; Martínez Sedano, Miguel Ángel; Nieto, Belén (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this ...
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Smiling under stochastic volatility 

León, Angel; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result ...
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AuthorVázquez Pérez, Jesús (7)Gutiérrez Huerta, María José (6)Rubio Irigoyen, Gonzalo (6)Gardeazabal, Javier (4)... View MoreDepartamento (cas.)Fundamentos del análisis económico II (28)Economía aplicada III (Econometría y Estadística) (2)Economía aplicada V (1)Departamento (eus.)Ekonomia analisiaren oinarriak II (28)Ekonomia aplikatua III (ekonometria eta estatistika) (2)Ekonomia aplikatua V (1)Subject
ECONOMICS, ECONOMETRICS AND FINANCE (28)
MACROECONOMICS AND MONETARY ECONOMICS (9)FINANCIAL ECONOMICS (6)LABOR AND DEMOGRAPHIC ECONOMICS (6)... View MoreDate Issued
2002 (28)
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eng (28)

DSpace software copyright © 2002-2015  DuraSpace
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