DES - Capítulos de Monografías
http://hdl.handle.net/10016/2375
2016-12-11T07:59:56ZA Time Series Disaggregated Model to Forecast GDP in the Eurozone
http://hdl.handle.net/10016/3340
A Time Series Disaggregated Model to Forecast GDP in the Eurozone
Mínguez, Román; Espasa, Antoni
This extract is taken from the author's original manuscript and has not been edited. The definitive, published, version of record is available here: http://www.palgrave.com/products/title.aspx?pid=276548
2007-01-01T00:00:00ZAn overview of probabilistic and time series models in finance
http://hdl.handle.net/10016/4906
An overview of probabilistic and time series models in finance
Ruiz, Esther
In this paper, we partially review probabilistic and time series models in finance. Both discrete and continuous .time models are described. The characterization of the No- Arbitrage paradigm is extensively studied in several financial market contexts. As the probabilistic models become more and more complex to be realistic, the Econometrics needed to estimate them are more difficult. Consequently, there is still much research to be done on the link between probabilistic and time series models.
2005-01-01T00:00:00ZMultivariate Stochastic Variance Models
http://hdl.handle.net/10016/4783
Multivariate Stochastic Variance Models
Harvey, Andrew; Ruiz, Esther; Shephard, Neil
Changes in variance, or volatility, over time can be modeled using the approach based on autoregressive conditional heteroscedasticity. Another approach is to model variance as an unobserved stochastic process. Although it is not easy to obtain the exact likelihood function for such stochastic variance models, they tie in closely with developments in finance theory and have certain statistical attractions. This article sets up a multivariate model, discusses its statistical treatment, and shows how it can be modified to capture common movements in volatility in a very natural way. The model is then fitted to daily observations on exchange rates.
Publicado además en: The Review of Economic Studies, 1994, vol. 61, n. 2, p. 247-264; Publicado además en: Recent developments in Time Series, 2003, vol. 2, pp. 134-152; Publicado además en: Selected Readings for Stochastic Volatility, 2005, p. 156-176, ISBN10: 0199257191, ISBN13: 9780199257195
1995-01-01T00:00:00ZThe spectral estimation of simultaneous equation systems with lagged endogenous variables
http://hdl.handle.net/10016/3333
The spectral estimation of simultaneous equation systems with lagged endogenous variables
Espasa, Antoni
1988-01-01T00:00:00Z