In this paper the authors model the monthly number of passengers flying with the Spanish airline Iberia from January 1985 to December 1992 and predict future values of the series up to October 1994. Those series are characterized by strong seasonal variations and by having an upward trend which...

In this paper, we study the effects caused by the presence of outliers on the identification and estimation of GARCH models. First, we derive the asymptotic biases of the sample autocorrelations of squared observations and their effects on some popular homoscedasticity tests when uncorrelated...

International financial integration effects on the Spanish stock market are studied, both for the conditional mean and conditional variance. New institutional regulations in Spain are taken into account and their efficiency consequences are addressed. Results suggest an increasing international...

We assemble a massive sample of 180,000 CVs of Brazilian academic researchers of all disciplines from the Lattes platform. From the CVs we gather information on key variables related to the researchers and their publications. We find males are more productive in terms of quantity of...

This study assesses the overall impact on credit of the financial regulatory reforms in Europe, Japan, and the United States. Long-term cost estimates are provided for Basel III capital and liquidity requirements, derivatives reforms, and higher taxes and fees. Overall, average lending rates in...

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model...