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Franses, Philip Hans ; McAleer, Michael ; Legerstee, Rianne | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04Macroeconomic forecasts are frequently produced, widely published, intensively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been[...]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
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2010A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point [...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-05The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to[...]texto impreso
Cosculluela Martínez, Carolina ; Flores de Frutos, Rafael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2010This paper studies dynamic responses of employment and GDP growth to a permanent, uni-tary shock in the housing capital stock for the Spanish economy. It quantifies the importance of this variable in the boom experienced by the Spanish economy d[...]texto impreso
Divino, Jose Angelo ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-03-24The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is located in the Brazilian territory. The two biggest st[...]texto impreso
Chang, Chia-Lin ; Huang, Biing-Wen ; Chen, Meng-Gu ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-03-24The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment. In particular, there were significant impacts on dail[...]texto impreso
McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-09In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for fiv[...]texto impreso
Hammoudeh, Shawkat ; Liu, Tengdong ; Chang, Chia-Lin ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil pri[...]texto impreso
Camiña Centeno, Ester | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2010-12We consider a general class of two-sided matching markets, called many-to-one matching markets with money. For a special case of these markets, where each seller owns di¤erent objects, we prove that stable outcomes cannot be characterized by the[...]texto impreso
Jiménez-Martín, Juan-Ángel ; Novales Cinca, Alfonso | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-03-26This paper introduces state-uncertainty preferences into the Lucas (1982) economy,showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the e[...]texto impreso
Eransus, Francisco J. ; Novales Cinca, Alfonso | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function defined on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal test[...]texto impreso
Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-03Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of[...]texto impreso
Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to d[...]texto impreso
Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribu[...]
