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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
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
García Hiernaux, Alfredo ; Jerez Méndez, Miguel ; Casals Carro, José | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005En este trabajo se propone un nuevo procedimiento para detectar raíces unitarias basado en métodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales [...]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
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
Hiernaux, Alfredo G. ; Casals Carro, José ; Jerez Méndez, Miguel | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final[...]texto impreso
Casals Carro, José ; García Hiernaux, Alfredo ; Jerez Méndez, Miguel | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2010-10Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specically adequate for certain [...]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
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[...]texto impreso
Terceiro Lomba, Jaime ; Casals Carro, José ; Jerez Méndez, Miguel ; Serrano García, Gregorio R. ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2000Software reliability is a wide issue, depending not only on the use of stable implementations of well-reputed algorithms, but also on software design aspects. This philosophy is implemented in E4, a MATLAB Toolbox which uses state-space methods [...]texto impreso
Casals Carro, José ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1996-09En este trabajo se derivan las expresiones exactas de la media y varianza condicional del estado inicial de un modelo en espacio de los estados con inputs estocásticos, generalizando los resultados teóricos obtenidos por De Jong y Chu-Chun-Lin ([...]texto impreso
Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | 2012-03Computing the gaussian likelihood for a nonstationary state-space model is a difficult problem which has been tackled by the literature using two main strategies: data transformation and diffuse likelihood. The data transformation approach is c[...]
