We examine the empirical predictions of a real option-pricing model using a large sample of data on mergers and acquisitions in the U.S. banking sector. We provide estimates for the option value that the target bank has in waiting for a higher bid instead of accepting an initial tender offer. We...

El objetivo de este trabajo es modelar la evolución de los indicadores de incapacidad temporal. Disponer de modelos capaces de aproximar cuál será la evolución temporal de los indicadores económicos de baja laboral resulta clave por múltiples aspectos. Por un lado, permite tomar medidas de...

In this paper we have demonstrated the implications of incorrectly normalising the parameters of a reduced rank regression model to achieve global identification, and presented a method for estimating this model without using the ordering restrictions imposed in previous Bayesian and frequentist...

A Bayesian approach to option pricing is presented, in which posterior inference about the underlying returns process is conducted implicitly, via observed option prices. A range of models which allow for conditional leptokurtosis, skewness and time-varying volatility in returns, are considered,...

Modelling the incidence of self-employment has traditionally proved problematic. Whilst the individual supply side characteristics of the self-employed are well documented, the literature has largely neglected (or misspecified) demand side aspects. In this paper we present results from an...

This paper poses a multivariate test for contagion that distinguishes between vulnerability, positive and negative contagion. The model proides a time series of contagion with which the existence, severity and significance of crisis periods can be endogenously determined. Eleven stock markets...

This paper analyzes data for a random sample drawn from the Dutch population who reveal their capacity to provide and sustain social capital by their propensity to invest and reward investments by means of an economic experiment. We have three main results. First, we find that heterogeneity in...

This paper questions if an increase in consumption of durable goods -such as electric appliances, associated in the media with an emerging middle class- could have aided the incumbent party to retain the Mexican presidency in 2006 -again, associated in the media with the backing of the economic...

In the context of limited dependence at large lags, Andrews (2002) showed the magnitudes of the error in rejection probabilities of the symmetric two-sided block bootstrap t, Wald and J tests. Andrews (2004) introduced the block-block bootstrap and proved that it obtained better asymptotic...

In this paper I present a time series analysis based on a metrical approach. I use a definition of distance which depends on the sample correlation coefficient among bonds. The dataset consists on daily returns of US treasury bonds. By mean of a Linkage-Algorithm bonds are classified according...