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Local volatility changes in the black-scholes model
Bermin, Hans Peter; Kohatsu, Arturo - Department of Economics and Business, Universitat … - 1999
the classical Vega index, i.e. the price derivative with respect to the constant volatility, in the sense that we perturb … the volatility in different directions. This directional derivative, which we denote the local Vega index, will serve as … volatility. In the particular case where the interest rate and the volatility are constant and the perturbation is deterministic …
Persistent link: https://www.econbiz.de/10005772262
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An investigation of the relationship between job characteristics and the gender wage gap
Villar, Jaume Garcia; Hernández, Pedro J.; … - Department of Economics and Business, Universitat … - 2002
This paper re-examines gender wage differences, taking into account not only worker characteristics but also job characteristics. Consideration of a wide set of “job quality” indicators can explain a fraction of the wage gap that would otherwise be attributed to pure wage discrimination. In...
Persistent link: https://www.econbiz.de/10005827452
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Small-area estimation with spatial similarity
Longford, Nicholas - Department of Economics and Business, Universitat … - 2008
A class of composite estimators of small area quantities that exploit spatial (distancerelated) similarity is derived. It is based on a distribution-free model for the areas, but the estimators are aimed to have optimal design-based properties. Composition is applied also to estimate some of the...
Persistent link: https://www.econbiz.de/10005772214
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Exchange rate predictability
Rossi, Barbara - Department of Economics and Business, Universitat … - 2013
The main goal of this article is to provide an answer to the question: "Does anything forecast exchange rates, and if so, which variables?". It is well known that exchange rate fluctuations are very difficult to predict using economic models, and that a random walk forecasts exchange rates...
Persistent link: https://www.econbiz.de/10010849598
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How important are tobacco prices in the propensity to start and quit smoking? An analysis of smoking histories from the Spanish National Health Survey
Nicolás, Ángel López - Department of Economics and Business, Universitat … - 2001
This paper analyses the effect of tobacco prices on the propensity to start and quit smoking using a pool of the 1993, 1995 and 1997 editions of the Spanish National Health Surveys. The estimates for several parametric models of the hazard rate for starting and quitting suggest that i) The...
Persistent link: https://www.econbiz.de/10005704890
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How important are tobacco prices in the propensity to start and quit smoking? An analysis of smoking histories from the Spanish National Health Survey
Nicolás, Ángel López - Department of Economics and Business, Universitat … - 2001
This paper analyses the effect of tobacco prices on the propensity to start and quit smoking using a pool of the 1993, 1995 and 1997 editions of the Spanish National Health Surveys. The estimates for several parametric models of the hazard rate for starting and quitting suggest that i) The...
Persistent link: https://www.econbiz.de/10005771926
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¿Es posible reducir el gasto sanitario a través del subsidio a los seguros sanitarios privados? La doble cobertura sanitaria en Catalunya. Estimación de patrones de utilización de...
Nicolás, Ángel López; Villar, Jaume Garcia; López, … - Department of Economics and Business, Universitat … - 2000
The objective of this study consists in quantifying in money terms the potential reduction in usage of public health care outlets associated to the tenure of double (public plus private) insurance. In order to address the problem, a probabilistic model for visits to physicians is specified and...
Persistent link: https://www.econbiz.de/10005771936
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Estimating multi-country VAR models
Canova, Fabio; Ciccarelli, Matteo - Department of Economics and Business, Universitat … - 2002
This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...
Persistent link: https://www.econbiz.de/10005772031
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¿Es posible reducir el gasto sanitario a través del subsidio a los seguros sanitarios privados? La doble cobertura sanitaria en Catalunya. Estimación de patrones de utilización de...
Nicolás, Ángel López; Villar, Jaume Garcia; López, … - Department of Economics and Business, Universitat … - 2000
The objective of this study consists in quantifying in money terms the potential reduction in usage of public health care outlets associated to the tenure of double (public plus private) insurance. In order to address the problem, a probabilistic model for visits to physicians is specified and...
Persistent link: https://www.econbiz.de/10005772347
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Insurance with frequent trading
Penalva, José - Department of Economics and Business, Universitat … - 1997
This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities:...
Persistent link: https://www.econbiz.de/10005572638