A5004018901- Market Dynamics and Volatility
- Financial Risk and Volatility Modeling
- Monetary Policy and Economic Impact
- Advanced Research in Science and Engineering
- Energy Load and Power Forecasting
- Multiple Myeloma Research and Treatments
- Stochastic processes and financial applications
- Electric Power System Optimization
- Risk and Portfolio Optimization
- Urban, Neighborhood, and Segregation Studies
- Names, Identity, and Discrimination Research
- Complex Systems and Time Series Analysis
- Housing Market and Economics
- Stock Market Forecasting Methods
- Amyloidosis: Diagnosis, Treatment, Outcomes
- Demographic Trends and Gender Preferences
- Peptidase Inhibition and Analysis
- Workplace Violence and Bullying
- Advanced Statistical Methods and Models
- Monoclonal and Polyclonal Antibodies Research
- Energy, Environment, and Transportation Policies
- Workplace Health and Well-being
- Bullying, Victimization, and Aggression
- Stalking, Cyberstalking, and Harassment
- HER2/EGFR in Cancer Research
University of Alicante
2012-2024
University of Westminster
2023
Institut d'Anàlisi Econòmica
2008
Tinbergen Institute
2007
Vrije Universiteit Amsterdam
2007
Universidad Carlos III de Madrid
2006
Fundación Pethema
1998
Universidad de Salamanca
1995-1996
AbstractNovel periodic extensions of dynamic long-memory regression models with autoregressive conditional heteroscedastic errors are considered for the analysis daily electricity spot prices. The parameters model mean and variance specifications estimated simultaneously by method approximate maximum likelihood. methods implemented time series 1,200–4,400 price observations in four European power markets. Apart from persistence, heteroscedasticity, extreme prices, a novel empirical finding...
This article shows that the relationship between kurtosis, persistence of shocks to volatility, and first-order autocorrelation squares is different in GARCH ARSV models. difference can explain why, when these models are fitted same series, estimated usually higher than models, and, why gaussian seem be adequate, whereas often require leptokurtic conditional distributions. We also show introducing asymmetric response volatility positive negative returns does not change conclusions. These...
Abstract. This paper analyses how outliers affect the identification of conditional heteroscedasticity and estimation generalized autoregressive conditionally heteroscedastic (GARCH) models. First, we derive asymptotic biases sample autocorrelations squared observations generated by stationary processes show that properties some homoscedasticity tests can be distorted. Second, obtain finite ordinary least squares (OLS) estimator ARCH( p ) The results are extended to (GLS), maximum likelihood...
In this study the incidence of DNA aneuploidy in a large series untreated multiple myeloma (MM) patients was assessed order to determine its clinical and prognostic significance. A total 156 MM were included study. measurements performed all cases at diagnosis using two different flow cytometry methods: (1) propidium iodide (PI) staining on isolated nuclei, (2) CD38/PI double whole cells. The ploidy status correlated with most relevant haematological disease characteristics. From analysed,...
The aim of this study was to analyse the expression NK‐associated antigens in both peripheral blood and bone marrow lymphocytes from a large series newly diagnosed multiple myeloma patients. 112 patients with untreated (MM) were included study. 36 sex‐ age‐matched healthy volunteers used as controls for (PB) studies 14 (BM) studies. Simultaneous stainings CD3/CD56, CD2/CD16 CD8/CD57 monoclonal antibodies systematically performed PB CD3/CD56 BM order their relationship clinical biological...
We conduct a field experiment to show that discrimination in the rental market represents significant obstacle for residential mobility of immigrants and contributes ethnic segregation observed large cities. employ Internet platform identify vacant apartments different areas two largest Spanish cities, Madrid Barcelona. send emails showing interest signal applicants’ ethnicity by using native foreign-sounding names. find that, line with previous studies, face differential treatment when...
The objective of this article is to analyse empirically the problem mobbing in Spain. Based on fifth Spanish survey working conditions, we find that during 2003, around 5% workers declared being mobbed at their workplace. Some personal, job characteristics and conditions are found be significant explaining probability a victim. Finally, differences variables affecting such depending victim's gender.
Abstract This paper analyzes the performance of multiple steps estimators vector autoregressive multivariate conditional correlation GARCH models by means Monte Carlo experiments. We show that if innovations are Gaussian, estimating parameters in is a reasonable alternative to maximization full likelihood function. Our results also suggest for sample sizes usually encountered financial econometrics, differences between volatility and estimates obtained with more efficient estimator...
Purpose The purpose of the paper is to evaluate effect mobbing in workers’ health. Design/methodology/approach Using a dataset Spanish workers from VI Survey on Working Conditions, authors identify mobbed and not use two different health indicators: worker's perception that work affects health, presence bad symptoms. analyze incidence both indicators then estimate an econometric model explain probability suffering terms set job characteristics. deal with potential endogeneity mobbing....
This article studies the relationship between prices of fuel and EU Allowances (EUA) for carbon emissions during Phase 3 European Union Emissions Trading System. We find that forward EUA, coal, gas Brent oil are jointly determined in equilibrium. The existence such a long-run entails permanent-transitory decomposition series EUA reveals short- long-term causal influence market shaping joint dynamics prices. result complements literature suggests driven by Interestingly, we do not an...
In this paper we estimate the skewness of unconditional distribution energy returns and test its statistical significance. We compare performance traditional robust tests for with those based on implied in a TGARCH model Gram-Charlier (TGARCH-GC) innovations. also analyze implications TGARCH-GC tail risk through evaluation Value-at-Risk (VaR) expected shortfall (ES) accuracy. Our results show that crude oil (Brent WTI) Gasoline are negatively skewed, while do not find evidence skewed other...
AbstractThis article studies the services exchanged in a particular Spanish time bank. Using data from users and transactions, we analyse users' profile as well determinants of providing receiving different services. Our results show that representative user is female, not married, middle aged, highly educated unemployed. We also find differences personal characteristics driving supply demand services.Keywords: bankingcommunity currencyinformal economyprobit modelsJEL Classification:...
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 outliers these and, consequently, volatilities. We show that, as expected, one isolated big outlier biases towards zero hence could hide true leverage effect. Unlike, presence two or more consecutive lead to detecting spurious asymmetries wrong sign. also address problem robust estimation by extending some...