This paper compares alternative time-varying volatility models for daily stock-returns using data from Spanish equity index IBEX-35. Specifically, we have estimated a parametric family of models of generalized autoregressive heteroskedasticity (which nests the most popular symmetric and...

This paper proposes a test statistic for discriminating between two partly non linear regression models whose parametric components are non-nested. The statistic has the form of a J-test based on a parameter which artificially nests the null and alternative hypotheses. We study in detail the...

This work presents a theoretical framework to study if the motive for money-transfers within families is altruism or exchange. We propose models which explicitly incorporate transfers on education as an additional family transfer. Our models allows us to discriminate between the two possible...

Counterfactual decompositions allow researchers to analyze changes in wage distributions by discriminating between the effect of changes in population characteristics and the effect of changes in returns to these characteristics. Counterfactual distributions are derived here by recovering the...

The European Commission has identified two fundamental issues with the current model of taxation: namely the additional compliance costs borne by businesses that conduct cross-border trade when compared to those businesses that only trade domestically and the occurrence of VAT fraud. The...

This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to...

This article analyzes the way in which intemational stock markets transmit information around the world. We are able to decompose the influenced of one market on another one in two elements: the capability of one market to exercise influence on any other market and the sensitivity of every...