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Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998En este trabajo se deriva un algoritmo rápido para evaluar la función de verosimilitud exacta de procesos VARMAX periódicos. Su eficiencia computacional se consigue combinando una formulación de dimensión mínima en espacio de los estados, en for[...]texto impreso
Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2000We describe a simple procedure for decomposing a vector of time series into trend, cycle, seasonal and irregular components. Contrary to common practice, we do not assume these components to be orthogonal conditional on their past. However, the [...]texto impreso
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We address credit capital cyclicality from a different point of view with the objective of defining alternative measures of long-term capital solvency. We first define the conditional coverage vector, which results from keeping capital constant [...]texto impreso
Ferrer Pérez, Alejandro ; Casals Carro, José ; Sotoca López, Sonia | 2014-06We define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we s[...]texto impreso
Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decom[...]texto impreso
We address the problem of determining the unconditional capital required by a credit portfolio using Monte Carlo simulation. By elaborating on a tractable analytical framework, we propose a new efficient simulation algorithm that overweights rec[...]texto impreso
En este artículo se proponen dos soluciones para independizar los resultados del criterio de estimación recursiva estándar de la influencia de condiciones iniciales arbitrarias. La primera solución consiste en utilizar un algoritmo recursivo cor[...]texto impreso
Terceiro Lomba, Jaime ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Decanato | 1993En este artículo se demuestra que la estimación recursiva de un modelo de regresión con restricciones lineales puede llevarse aplicando el estimador estándar (por mínimos cuadrados recursivos) a partir de unas condiciones iniciales adecuadas. La[...]texto impreso
Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1999We propose two fast and stable methods to compute the likelihood of econometric models in state-space form, allowing for unit roots. The first one exploits the properties of the Kalman filter when applied to models in steady-state innovations fo[...]texto impreso
Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998In this work we derive a relationship between tbe exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result witbh a conventional smoother we obtain a new algoritbm with exact initial[...]texto impreso
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This paper explores the influence of innovation on the probability of survival of two hundred top British firms founded throughout the nineteenth and twentieth centuries. To this end, we have collected the firms’ significant innovations and clas[...]texto impreso
This paper explores the influence of innovation on the probability of survival of two hundred top British firms founded throughout the nineteenth and twentieth centuries. To this end, we have collected the firms’ significant innovations and clas[...]texto impreso
Ferrer Pérez, Alejandro ; Casals Carro, José ; Sotoca López, Sonia | 2014-06This paper addresses two problems related to determining the unconditional capital required by a credit portfolio: Estimating it using Monte Carlo simulation and allocating it among the different risk units that form the portfolio. By elaboratin[...]
