The present article reexamines some of the issues regarding the benchmarking of patents using the NBER data base on U.S. patents by generalizing a parametric citation model and by estimating it using GAM methodology. The main conclusion is that the estimated effects differ considerably from...

The present article reexamines some of the issues regarding the Knowledge-Capital Model that encompasses both horizontal and vertical Foreign Direct Investment described in detail in the literature. The empirical support for this model is however a mixture. This article proposes a new way of...

The present article reexamines some of the issues regarding the benchmarking of patents using the NBER data base on U.S. patents by generalizing a parametric citation model and by estimating it using Generalized Additive Models (GAM) methodology. The main conclusion is that the estimated effects...

In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the Capital Asset Pricing Model (CAPM) estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of the proxy for betas. A data-driven method is...

In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main contributions. First, the resulting estimator is shown to belong to the class...

In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of the proxy for betas. A data driven method is proposed for selecting the...

This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the Mexican stock market grouped into six...

We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances are estimated nonparametrically for each asset and period using the...

We propose a two-stage procedure to estimate conditional beta pricing models that allows for flexibility in the dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each asset and period using the time-series of previous data....