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VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA

Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003

In this paper I analyze the relative performance of Gaussian and Student-t GARCH and FIGARCH type models for volatility and Value-at-Risk forecasting of daily stock-returns using data from the Spanish equity index IBEX-35. The in-sample analysis shows that the Student-t FIAPARCH process provides...

Persistent link: https://www.econbiz.de/10005731355

FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE

Serrano, Antonio Rubia; Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003

Long-range persistence in volatility is widely modelled and forecasted in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not...

Persistent link: https://www.econbiz.de/10005731402

THE LONG MEMORY STORY OF REAL INTEREST RATES. CAN IT BE SUPPORTED?

Paya, Ivan; Duarte, Agustín; Venetis, Ioannis A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the US. However, we pose empirical questions on certain time series requirements that emerge from...

Persistent link: https://www.econbiz.de/10005731448

- DESIGUALDAD Y CONVERGENCIA EN EL ÁREA DE LA OCDE

Ivars, Matilde Mas; Gisbert, Francisco José Goerlich - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998

variables that arehabitually considered in the analysis of inequality and convergence: per capita income and labor productivity …

Persistent link: https://www.econbiz.de/10005515867

Actividad tecnológica y crecimiento económico en las regiones españolas

Albert, Mercedes Gumbau; Villarroya, Joaquín Maudos - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2001

This paper analyses the importance of R&D activities in the explanation of productivitydifferences among the Spanish regions over the period 1986-96. With this aim, we measure the effectof the own technological innovation and the spillovers effects. The analysis is based on the estimationof a...

Persistent link: https://www.econbiz.de/10005515875

SPATIAL STABILITY

Mossay, Pascal - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004

We consider a continuous spatial economy consisting of pure exchange local economies. Agents are allowed to change their location over time as a response to spatial utility differentials. These spatial adjustments toward higher utility neighborhoods lead the spatial economy to converge to a...

Persistent link: https://www.econbiz.de/10005812849

EL STOCK DE CAPITAL PRODUCTIVO DE LA ECONOMÍA ESPAÑOLA. 1900-1990

Cubel, Antonio; Palafox, Jordi - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2002

-war period and the remarkable expansion ofthe stock of capital of the Sixties and the process of convergence that has taken …

Persistent link: https://www.econbiz.de/10005731126

- DESIGUALDAD Y CONVERGENCIA

Ivars, Matilde Mas; Gisbert, Francisco José Goerlich - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1999

estimation of convergence equations. The criticisms are aimed in two directions - at the quality of the data and at the standard …

Persistent link: https://www.econbiz.de/10005731141

- EFICIENCY AND PRODUCTIVITY SPECIALIZATION: THE SPANISH REGIONS

Villarroya, Joaquín Maudos; Monsálvez, José Manuel Pastor - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998

, the break-down of labor productivity convergence shows the increasing importance over time of composition efficiency as a … source of convergence, being even more important than capital accumulation and technical progress from the mid-1970s …. Nevertheless, intra-sector efficiency gains was a significant source of convergence for the whole period analysed. Este trabajo …

Persistent link: https://www.econbiz.de/10005731143

IS THE SPEED OF CONVERGENCE A GOOD PROXY FOR THE TRANSITIONAL GROWTH PATH?

Papageorgiou, Chris; Sebastián, Fidel Pérez - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

capital, whereas the other does not. We show that focusing on the speed of convergence to discriminate between the two models … speed of convergence predicted by the model much less sensitive to exogenous shocks. This last result offers theoretical … support to the similar convergence speeds estimated by the literature in different samples. …

Persistent link: https://www.econbiz.de/10005731349