We derive Lagrange Multiplier and Likelihood Ratio specifi cation tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange Multiplier-type tests into...

We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008-2009 fi nancial crisis. Since the restrictive mean reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations...

En este trabajo comparamos expansiones seminoparamétricas de la distribución Gamma con expansiones de Laguerre alternativas, demostrando que amplían sustancialmente el rango de momentos factibles de variables aleatorias positivas. Posteriormente, combinamos dichas expansiones con una versión...

Generalizamos el algoritmo EM espectral para modelos factoriales dinámicos de Fiorentini, Galesi y Sentana (2014) a modelos bifactoriales con factores tanto globales como regionales. Aprovechamos la raleza de las matrices de coefi cientes de manera que se puedan estimar dichos modelos por...

Realizamos dos contribuciones complementarias para estimar eficientemente modelos factoriales dinámicos: un algoritmo EM espectral y un procedimiento de inferencia indirecta iterada rapidísimo para modelos ARMA sin pérdida de eficiencia asintótica para cualquier número finito de...

Documentamos una subida y una caída del tipo de interés natural (r*) para varias economías avanzadas, que comienza a aumentar en la década de los sesenta y alcanza su punto álgido a finales de los años ochenta. Llegamos a esta conclusión después de demostrar que el modelo de Laubach y...

We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...

We derive closed-form expressions for the Jacobian of the matrix exponential function for both diagonalizable and defective matrices. The results are applied to two cases of interest in macroeconometrics: a continuous-time macro model and the parametrization of rotation matrices governing...

A linear structure is a family of matrices that satisfy a given set of linear restrictions, such as symmetry or diagonality. We add to the literature on linear structures by studying the family of matrices where all diagonal elements are zero, and discuss two econometric examples where these...

We propose generalized DWH specification tests which simultaneously compare three or more likelihood-based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for Garch models and in many empirically relevant macro and finance applications...