Seminario 18/11: Jesús Vázquez (U. País Vasco)-The bond term premium in an estimated DSGE model with real-time learning


ABSTRACT: Adaptive learning (AL) takes over other features needed to generate a sizable term premium under rational expectations. Indeed, a time-varying term premium emerges in a first-order approximation of a DSGE model under AL. We estimate a real-time AL model that builds on Slobodyan and Wouters (2012a). Our extension disentangles the expectations hypothesis of the term structure (EH)…

Seminario 17/07: Mª José Gutierrez (U. País Vasco) – Harvesting Control Rules that deal with Scientific Uncertainty


Abstract: By using robustness methods we design HCRs that explicitly include scientific uncertainty. Under scientific uncertainty –when the perceived model can be generated by a nearby operating model– robust HCRs are designed assuming that the (inferred) operating model is more persistent than the perceived model. As a result, a robust HCR has a steeper ratio…

Seminario 17/06: – Carlos Escudero (U. Autónoma de Madrid) – Sobre negociar con información privilegiada y ecuaciones diferenciales estocásticas


Abstract Un problema clásico en el campo de la matemática financiera es el encontrar carteras de inversiones óptimas en el caso de que varias inversiones sean posibles. Si el inversor tiene información privilegiada, al menos dos cosas mejoran. La primera, obviamente, sus probabilidades de obtener beneficio. La segunda, el perfil de las matemáticas necesarias para…

Seminario 15/09: T. Ñíguez Grau (U. Westminster) – The expansion of moments density


Abstract This paper introduces a novel semi-nonparametric (SNP) distribution that we name Expansion of Moments (ME hereafter). The innovation of this density lies in its polynomials given by the difference between the n-th power of the variable and the n-th moment of the parametric density used as basis. We show that the ME keeps the…

Seminario 15/04: Y. Blasco Martel (U. de Barcelona) – Exitos y fracasos: la red social del Banco de Barcelona 1844-1920


Abstract El Banco de Barcelona se creó en 1844 alrededor de un grupo de individuos que, hacia mediados de la década de 1850, tenían establecida una amplia red social conformada a través de las inversiones del grupo en las principales sociedades anónimas de la época ((Badia-Miró, Blasco-Martel, Lozano, & Soler, 2013) y (Badia-Miro, Blasco-Martel, Lozano,…

Seminario 14/26: M.A.CARNERO (UA) – Identification of asymmetric conditional heteroskedasticity in the presence of outliers


ABSTRACT: The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities. We show that, as expected, one isolated big outlier biases the sample cross-correlations towards zero and hence could hide true leverage…

Seminario 14/24: S. Álvarez (UMU) – Voluntary early exercise and performance-vested option grants: an analysis of the incentive effects.


ABSTRACT: Classical option pricing models are not well suited to the valuation of executive stock options (ESOs) and their incentive effects. The special characteristics of ESOs make standard methods difficult to apply to these options. The Wu-Lin model is a completely analytical expression based on the common feature of attaching performance targets to option vesting….

Seminario 14/22 – Enrique SENTANA (CEMFI): Is a normal copula the right copula?


Abstract   Nowadays copulas are extensively used in economic and finance applications, with the Gaussian copula being very popular despite ruling out non-linear dependence, particularly in the lower tail. We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against Generalised Hyperbolic alternatives, which include the symmetric and asymmetric Student t, and Hermite polynomial expansions. We…