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Quadratic Arch Models.

Sentana, E. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1995

Persistent link: https://www.econbiz.de/10005776176

Monitoring,Liquidation,and Security Design.

Repullo, R.; Suarez, J. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1995

Persistent link: https://www.econbiz.de/10005776177

Testing the CCAPM on Spanish Data: A New Approach.

Rubio, E.M. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1996

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population...

Persistent link: https://www.econbiz.de/10005776182

Analytic Derivatives and the Computation of Garch Estimates.

Fiorentini, G.; Calzolari, G.; Panattoni, L. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1995

Persistent link: https://www.econbiz.de/10005776187

Entrepreneurial Moral Hazard and Bank Monitoring: A Model of the Credit Channel.

Repullo, R.; Suarez, J. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1996

This paper considers a model of firms' financing based on the existence of a moral hazard problem in the choice of investment projects by a heterogeneous population of entrepreneurs. Two alternative ways of funding these projects, called unmonitored (or market) and monitored (or bank) lending,...

Persistent link: https://www.econbiz.de/10005625747

Unemployment Duration, Benefit Duration, and the Business Cycle

Bover, O.; Arellano, M.; Bentolila, S. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

discrete hazard models indicate that receipt of unemployment benefits significantly reduces the hazard of leaving unemployment. …

Persistent link: https://www.econbiz.de/10005625760

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model

Sentana, E.; Fiorentini, G. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

We investigate several important inference issues for factor models with dynamic heteroskedasticity in the common … factors. First, we show that such models are identified if we take into account the time-variation in the variances of the … factors. Our results also apply to dynamic versions of the APT, dynamic factor models, and vector autoregressions. Secondly …

Persistent link: https://www.econbiz.de/10005625772

Least Squares Predictions and Mean-Variance Analysis

Sentana, E. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

In an economy with one riskless and one risky asset, we compare the Sharpe ratios of investment funds that allow: i) timing strategies which forecast the market using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...

Persistent link: https://www.econbiz.de/10005475098

A Quantitative Analysis of Swedish Fertility Dynamics: 1751-1990

Eckstein, Z.; Mira, P.; Wolpin, K.I. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

This paper analyzes the relationship between age-specific fertility, mortality and real wages in Sweden during the demographic transition. We take an overlapping generations model of life cycle fertility and fit it to actual Swedish time-series data over the past two and a half centuries. The...

Persistent link: https://www.econbiz.de/10005475100

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality.

Fiorentini, G.; Sentana, E.; Calzolari, G. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2000

regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for …

Persistent link: https://www.econbiz.de/10005475104