E-PrintsUCM
(43.405 recursos)
This site is a university repository providing access to the publication output of the institution. The site interface is available in English or Spanish.
Tipo = Documento de trabajo o Informe técnico
Mostrando recursos 1 - 20 de 836
1.
What Do Experts Know About Forecasting Journal Quality?
A Comparison with ISI Research Impact in Finance - Chang, Chia-Lin; McAleer, Michael
Experts possess knowledge and information that are not publicly available. The paper is concerned with forecasting academic journal quality and research impact using a survey of international experts from a national project on ranking academic finance journals in Taiwan. A comparison is made with publicly available bibliometric data, namely the Thomson Reuters ISI Web of Science citations database (hereafter ISI) for the Business - Finance (hereafter Finance) category. The paper analyses the leading international journals in Finance using expert scores and quantifiable Research Assessment Measures (RAMs), and highlights the similarities and differences in the expert scores and alternative RAMs, where...
3.
Fondos de inversión alternativos (Hedge Funds) crisis y regulación, verdades y mentiras - Sánchez-Calero Guilarte, Juan; Tapia Hermida, Alberto Javier
Los “hedge funds” han sido en gran medida responsables de la crisis financiera global que, desde el año 2007, asola los mercados desarrollados. Por ello, los Estados se han ocupado de regularlos para evitar el riesgo sistémico que pueden inducir en los respectivos mercados financieros. En este trabajo, nos ocupamos de la regulación de los Fondos de Inversión Alternativos en el Derecho comunitario europeo y de las Instituciones de Inversión Colectiva de Inversión Libre en el Derecho español. También analizamos cómo se controla la influencia de los FIA en los mercados financieros y en las sociedades -cotizadas y no cotizadas-...
4.
La acción individual de responsabilidad en el seno del concurso de acreedores: viabilidad y consecuencias - Fradejas Rueda, Olga María
en el presente trabajo se trata de dilucidar si es viable el ejercicio de la acción individual de responsabilidad del art. 241 LSC en el seno de un concurso de acreedores, así como de cuáles serían las consecuencias que derivarían de su ejercicio. ABSTRACT: This paper focuses on the possibility of the use of the manager’s liability (art. 241 LSC) in the context of an insolvency proceeding, and, if so, its consequences.
5.
Inflation expectations in Spain: The Spanish PwC Survey - Ramos-Herrera, Maria del Carmen; Sosvilla-Rivero, Simón
We examine the predictive ability, the consistency properties and the possible driving forces of inflation expectations, using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. When analysing the headline inflation rate, our results suggest that the PwC panel has some forecasting ability for time horizons from 3 to 9, improving when it comes to predict the core inflation rate. Nevertheless, the results indicate that predictions made by survey participants are neither unbiased nor efficient predictors of future inflation rates, regardless of the measures of inflation used. As for the consistency properties of the inflation...
6.
Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility - Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; McAleer, Michael
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint
unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price while the volatility of
global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods.
7.
Sky Quality Meter cross-calibration for the NixNox project - Zamorano Calvo, Jaime; Ruiz Carmona, Roque
Twelve SQM-L night sky photometers have been calibrated to determine their internal precision and differences in response. Amateur astronomers around Spain, under the supervision of the Spanish Astronomical Society (SEA, Sociedad Española de Astronomía), will use these photometers to locate and characterize sites with dark skies well suited to perform astronomical observations (NixNox Project). A simple experimental setup has been built to obtain zero offsets for each photometer in order to correct all the observations.
8.
A Fractionally Integrated Wishart Stochastic Volatility Model - Asai, Manabu; McAleer, Michael
There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time
fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV model in order to obtain a closed form
expression of moments. We conduct a two-step procedure, namely estimating the parameter of fractional integration via log-periodgram regression in the rst step, and
estimating the remaining parameters via the generalized method of moments in the second step. Monte Carlo results for the procedure shows reasonable performances in nite samples. The empirical results for the bivariate data of...
9.
La movilidad, sello distintivo del Espacio Europeo de Educación Superior - Sanz Gil, José Javier
Si bien en los últimos años, en el conjunto de la Unión Europea, se ha producido un aumento en el número de estudiantes que participan en los programas de movilidad, su número aún se considera insuficiente. De esta manera el objetivo del presente artículo es averiguar la percepción de los estudiantes respecto a la movilidad.
En general, los estudiantes consideran importante la movilidad, pero se encuentran con algunos obstáculos difíciles de superar para realizar una estancia en el extranjero, tales como son el idioma o la necesidad de financiación adicional para dicho periodo. Así pues, los resultados de este estudio sugieren...
10.
Financial Dependence Analysis: Applications of Vine Copulae - Allen, David E.; Ashraf, Mohammad.A.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.
This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs of securities. Vine copulas offer greater flexibility and permit the modelling of complex dependency patterns using the rich variety of bivariate copulas which can be arranged and analysed in a tree structure to facilitate the analysis of multiple dependencies. We apply Regular Vine copula analysis to a sample of stocks comprising the Dow Jones Index to...
11.
Effects of taxation on European multi-nationals’ financing and profits - Lutz, Stefan
Important determinants of multinational firms’ choice of location include, besides resource cost and infrastructure, the taxation regime through its effects on international pricing and profits.
This paper investigates the effects of tax rates on firms’ profits and financing decisions by analyzing a panel of several hundred thousand European firms for the years 1985 to 2010.
Results indicate that taxation has a negative effect on overall firm profits but not on returns on shareholder funds. This is consistent with the observed positive effect of corporate taxation rates on the gearing ratio, i.e. the higher corporate tax rates in a particular jurisdiction the...
12.
Recent Developments in Financial Economics and Econometrics:
An Overview - Chang, Chia-Lin; Allen, David E.; McAleer, Michael
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics
and Econometrics”. The breadth of coverage is substantial, and includes original research and comprehensive review papers on theoretical, empirical and numerical topics in Financial Economics and Econometrics by leading researchers in finance, financial economics, financial econometrics and financial statistics. The purpose of this special issue on “Recent Developments in Financial Economics and econometrics” is to highlight several novel and...
13.
Proyecto Docente de las asignaturas de Antropología filosófica I y II - Fuentes Ortega, Juan Bautista
Se trata del texto del Proyecto Docente de las asignaturas de Antropología filosófica I y II con el que su autor opositó y obtuvo una cátedra de Filosofía de la Facultad de Filosofía de la UCM, y en donde se presenta, de un modo comprimido pero global y comprensivo, el plantemiento filosófico del autor sobre las que se estima que constituyen las principales cuestiones de la Antropología filosófica de nuestros días.
14.
Leverage and Feedback Eects on Multifactor Wishart
Stochastic Volatility for Option Pricing - Asai, Manabu; McAleer, Michael
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback eects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper also suggests estimating the AMWSV model by the generalized method of moments using information not only of stock prices but also of realized volatilities and covolatilities. The empirical results for the bivariate data of the NASDAQ 100 and S&P
500 indices show that the general AMWSV model is preferred among several nested models.
15.
Una aproximación a la problemática jurídica de los productos derivados: en especial, las permutas financieras de tipos de interés - Martínez Rosado, Javier
El presente trabajo pretende explicar, con un lenguaje sencillo, qué es un producto derivado, cuáles son los principales problemas que han planteado desde el punto de vista jurídico y qué soluciones están dando nuestros jueces y tribunales a dichos problemas, tanto desde el punto de vista civil como concursal. ABSTRACT: This paper aims to explain, in simple language, what is a derivative product, what are the main problems that have arisen from the legal point of view and the solutions that our judges and courts are giving to them, from the point of view of both civil and bankruptcy issues.
16.
Is Small Beautiful? Size Effects of Volatility Spillovers
for Firm Performance and Exchange Rates in Tourism - Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael
This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the volatility specification. Daily data from 1 July 2008 to 29 June 2012 for 999 firms are used, which covers the Global Financial Crisis. The empirical findings indicate that there are size effects on volatility spillovers from the exchange rate to firm performance. Specifically, the risk for firm size has different effects from the three leading tourism sources to Taiwan, namely USA, Japan, and China....
17.
Búsqueda de estadística judicial - Martín Rojo, Francisco Javier
Se trata de una presentación sobre búsqueda y tratamiento de estadísticas judiciales en España. Normalmente se manejan datos, pero realmente no es demasiado intuitivo el acceso a los mismos o, en ocasiones, no se encuentran aglutinados en una misma base de datos o fuente.
Por ello, de manera esquemática pero concisa, se recogen en el presente documento algunas de las bases de datos con estadísticas judiciales más relevantes en España, estableciendo accesos directos en la propia presentación así como los pasos a seguir para manejar la herramienta PC- AXIS que pone a disposición el CGPJ en su página web.
Se...
18.
El nuevo reto del sector de la aviación: el mercado de emisiones, análisis de algunos problemas - Fernández Torres, Isabel
El presente trabajo analiza el nuevo régimen jurídico del mercado europeo de derechos de emisión de gases de efecto invernadero aplicable al sector de la aviación determinado por las Directivas 2008/101/CE y 2009/29/CE así como por la Ley 13/2010. El sistema especial de comercio de derechos de emisión en el sector de la aviación instaurado por la Directiva 2008/101/CE tiene como finalidad última alcanzar los objetivos de reducción de las emisiones asumidos por la Unión Europea en el Protocolo de Kyoto. El artículo se centra en el análisis de ese nuevo marco regulatorio así como en el sistema de asignación...
19.
Estimating Implied Recovery Rates from the Term Structure
of CDS Spreads - Jaskowski, Marcin; McAleer, Michael
Credit risk models should reect the observation that the relevant value of collateral is generally not the
average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for
the lender is its secondary market value in bad states of nature, where marginal utilities are high. Although the
negative correlation between recovery rates and default probabilities is well documented, the majority of pricing
models does not allow for correlation between the two. In this paper, we propose a relatively parsimonious
reduced-form continuous time model that estimates expected recovery rates and default probabilities from the
term structure of CDS...
20.
Volatility Spillovers from the US to Australia and China across the GFC - Allen, David E.; McAleer, Michael; Powell, R. J.; Singh, A. K.
This paper features an analysis of volatility spillover eects from the US market, represented by
the S&P500 index to the Australian capital market as represented by the Australian S&P200 for
a period running from 12th September 2002 to 9th September 2012. This captures the impact of
the Global Financial Crisis (GFC). The GARCH analysis features an exploration of whether there
are any spillover eects in the mean equations as well as in the variance equations. We adopt a
bi-mean equation to model the conditional mean in the Australian markets plus an ARMA model
to capture volatility spillovers from the US. We also apply a Markov Switching...
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