In this work we study the effect of several covariates X on a censored response variable T with unknown probability distribution. A semiparametric model is proposed to consider situations where the functional form of the effect of one or more covariates is unknown. We provide its estimation...

This paper investigates original issuers of high yield bonds in Chapter 11 bankruptcy to determine which factors affect the length of time spent in Chapter 11. In order to do this analysis we propose a flexible new duration model, the censored partial regression model. This model allows us to...

In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main contributions. First, the resulting estimator is shown to belong to the class...

We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances are estimated nonparametrically for each asset and period using the...

This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the Symmetrized Nearest Neighbors (SNN) estimator rather than the traditional...

The problem of specification errors in sample selection models has received considerable attention both theoretically and empirically. However, very few is known about the finite sample behavior of two step estimators. In this paper we investigate by simulations both bias and finite sample...

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business cycles. This new evidence complements the well known results regarding...

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.

[EN] This paper analyzes the timing of wage bargaining in a unionized market, assuming that workers are organized in independent unions. In equilibrium, when unions decide the timing of the negotiations, we obtain a staggered wage setting. When firms decide the timing of the negotiations, we...