We propose a two-stage procedure to estimate conditional beta pricing models that allows for flexibility in the dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each asset and period using the time-series of previous data....

We propose a new procedure to estimate and test conditional beta pricing models which allows for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). The method can be seen as a nonparametric version of the two-pass approach commonly employed in...

This work has been presented in: V Conference AERNA, Faro (Portugal), 30 May 2012-1 June 2012 and IV Workshop on Valuation Methods in Agro-food and Environmental Economics, Castelldefels (Barcelona, Spain), 12 July 2012-13 July 2012.

This paper examines the various tests commonly used to select random parameters in choice modelling. The most common procedures for selecting random parameters are: the Lagrange Multiplier test as proposed by McFadden and Train (2000), the t-statistic of the deviation of the random parameter and...

Modern forms of energy are an important vehicle towards poverty alleviation in rural areas of developing countries. Most developing countries٠households heavily rely on wood fuel which impact their health and socialӥconomic status. To ease such a dependency, other modern forms of energy,...

In this paper, we present a new theoretical representation of the Consumer Satisfaction Index (CSI) based on Structural Equation Modelling (SEM). We use panel data collected by an automotive magazine to apply our approach and assess the applicability in the field of marketing by formulating a...

There is a growing body of literature acknowledging that respondents to DCE often use simplifying strategies, like ignoring one or several attributes to provide with their choices. Two main approaches have appeared to analyse the impact of attribute non-attendance on welfare estimates: the...

One of the main problems that public institutions face in the management of protected areas, such as the European Natura 2000 network, is how to design and implement sustainable management plans accounting both for the social cost and benefits of conserving these sites. This paper provides with...