This paper studies inference performance of Instrumental Variables Estimators in situations where error terms are heteroskedastic and there are many instruments. In particular, performance of a estimator proposed by Hausman, Newey, Woutersen, Chao, and Swanson (2007) with the robust version of...

This paper introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using the binomial model as the distribution of the stock price we prove that these alternative measurements are more efficient than the...

In this paper we provide a closed-form expression for one of the most popular index in Technical Analysis: the Relative Strength Index (RSI). Given that we show how the standard binomial model for the stock price can be used to predict RSI. The algorithm is as simple as to code a standard...

The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact...

This paper analyses the evidence about the bank-lending channel in Chile during the period 1990- 2002 using data from both the banking sector and the corporate sector. First, we estimate a panel data of banks to identify shifts in the loan supply curve in response to changes in monetary policy....

In this paper we model banking risk exposure in a non-linear VAR framework. We included banking aggregates such as write-offs, provisions expenses, and total loans. Overall fitting of the model is good for chilean data. In and out sample forecasts are better than a simple ARIMA model. Given this...

In this article we provide an executive survey of methods for missing data. We note that standard methods reduce the sample variances meanwhile bayesian methods keep track of the uncertainty associated with missing information. We discuss these methods in an empirical application using a...