The identification of asymmetric conditional heteroscedasticity is often based on samplecross-correlations between past and squared observations. In this paper we analyse theeffects of outliers on these cross-correlations and, consequently, on the identification ofasymmetric volatilities. We...

Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis, and psychology, just to mention a few examples. In many cases, the data employed to estimate such estimations are time series that may exhibit stochastic nonstationary...

This paper introduces a Bayesian approach in econophysics literature about financial bubbles in order to estimate the most probable time for a financial crash to occur. To this end, we propose using noninformative prior distributions to obtain posterior distributions. Since these distributions...

Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis and psychology, just to mention a few examples. In many cases, the data employed to estimate such specifications are time series that may exhibit stochastic...

Las decisiones de otorgamiento de crédito son cruciales en la administración de riesgos. Las instituciones financieras han desarrollado y usado modelos de credit scoring para estandarizar y automatizar las decisiones de crédito, sin embargo, no es común encontrar metodologías para...

This paper focus on the problems faced in the empirical investigation of the relation between the level and volatility of inflation. Monthly inflation series seem to be affected by both the presence of outliers and conditional heteroscedasticity.

COSMO-based process simulations with Aspen Plus/Aspen HYSYS are used, for the first time, to a priori estimate the thermodynamic performance of ammonia absorption refrigeration cycles using ionic liquids as absorbents. This allows not only broadening the criteria set used to select/design ionic...

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...