This paper introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using the binomial model as the distribution of the stock price we prove that these alternative measurements are more efficient than the...

This paper introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using the binomial model as the distribution of the stock price we prove that these alternative measurements are more efficient than the...

Using monthly data for the United States dollar – New Zealand dollar exchange rate, this paper revisits the forward premium puzzle and applies a discrete no-arbitrage affine model of the term structure of interest rates to obtain historical estimates of the time-varying foreign exchange risk...

This paper describes the structure of senior loan officer survey on bank lending practices applied by the Central Bank of Chile to the banking industry since April 2003. Additionally, a number of indicators from this survey are constructed to improve the understanding of the credit market....

Based on a new dataset obtained from survey data, we study household debt default behavior in Chile. Previous research in this area suggests financial and personal variables that can help estimate individual and group probabilities of default. We study mortgage and consumer default separately,...

Nelson and Siegel (1987) propose a parametric model for the yield curve. Since it is easy to estimate, it became popular among practitioners and Central Bank’s analysts. Diebold and Li (2006) provide a dynamic version of the Nelson-Siegel (DNS) model, showing that it performs well in outof-...

The Contingent Claim Analysis (CCA) is a useful tool for the risk analysis of listed companies. In this paper, we present the application of CCA to the department-store firms listed on the Chilean stock market. We obtain two main results: (1) the simplified version of distance to default...

In this paper I discuss about the estimation of Dynamic Panel Data model, showing that we can reduce the finite-sample bias of the Arellano-Bond estimator by truncation of the number of lags used in this estimator. We check our theoretical result in an empirical application using a panel of...