Spanish Economic Review最新文献

筛选
英文 中文
A semiparametric estimation of liquidity effects on option pricing 流动性对期权定价影响的半参数估计
Spanish Economic Review Pub Date : 2003-03-01 DOI: 10.2139/ssrn.234574
E. Ferreira, M. Gago, Gonzalo Rubio
{"title":"A semiparametric estimation of liquidity effects on option pricing","authors":"E. Ferreira, M. Gago, Gonzalo Rubio","doi":"10.2139/ssrn.234574","DOIUrl":"https://doi.org/10.2139/ssrn.234574","url":null,"abstract":"Abstract. This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. A nonparametric volatility function with liquidity costs as an explanatory variable is estimated using the Symmetrized Nearest Neighbors (SNN) estimator rather than the traditional kernel estimator. The SNN estimator is particularly suitable for the characteristics of option data in financial markets. Moreover, we propose a natural extension of the univariate bandwidth parameter optimal estimation to the multivariate case. A statistical design to test competing option pricing models which takes into account the lack of independence between them is also presented. The in-sample performance of the model turns out to be statistically favorable relative to the competing model without liquidity. Also, an additional experiment is performed within sample, but with just a subsample of options not employed in the nonparametric estimation of the implied volatility function being priced. The results are also favorable to our semiparametic theoretical option pricing model with liquidity. However, the out-of-sample performance is quite disappointing regardless of what option pricing model is employed in the estimation.","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115668862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Treasury auctions in Spain: a linear approach 西班牙国债拍卖:线性方式
Spanish Economic Review Pub Date : 2003-03-01 DOI: 10.1007/S101080300061
F. Álvarez, C. Mazón, E. Cerdá
{"title":"Treasury auctions in Spain: a linear approach","authors":"F. Álvarez, C. Mazón, E. Cerdá","doi":"10.1007/S101080300061","DOIUrl":"https://doi.org/10.1007/S101080300061","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122182746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Temporary employment and segmentation in the Spanish labour market: An empirical analysis through the study of wage differentials 西班牙劳动力市场的临时就业和分割:通过工资差异研究的实证分析
Spanish Economic Review Pub Date : 2002-12-01 DOI: 10.2139/ssrn.363820
María A.Davia, Virginia Hernanz
{"title":"Temporary employment and segmentation in the Spanish labour market: An empirical analysis through the study of wage differentials","authors":"María A.Davia, Virginia Hernanz","doi":"10.2139/ssrn.363820","DOIUrl":"https://doi.org/10.2139/ssrn.363820","url":null,"abstract":"Abstract.We aim to add empirical evidence to the already studied field of wage differentials between temporary and permanent workers in Spain. Our goal is to find out which determinants of wage differentials are relevant when explaining such differences. Furthermore, the endogeneity of such feature (the type of contract) is controlled for. The same exercise is done with two data sets: the ECHP and the Structure of Earnings Survey. Results show that wage differentials between temporary and permanent workers are explained by the differences in the distribution of personal and job characteristics in both groups, but not by differences in the rewards for those characteristics. These results remain mostly unchanged during the second part of the 1990’s, using information from five waves of the ECHP, and are robust to different changes in the econometric specification.","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125094756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 97
Inequality foundations of concentration measures: An application to the Hannah-Kay indices 集中测度的不平等基础:在汉纳-凯指数中的应用
Spanish Economic Review Pub Date : 2002-11-29 DOI: 10.1007/S101080200053
O. Bajo, R. Salas
{"title":"Inequality foundations of concentration measures: An application to the Hannah-Kay indices","authors":"O. Bajo, R. Salas","doi":"10.1007/S101080200053","DOIUrl":"https://doi.org/10.1007/S101080200053","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123529701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 44
Environmental taxes and strategic delegation 环境税和战略授权
Spanish Economic Review Pub Date : 2002-11-29 DOI: 10.1007/S101080200052
Juan Carlos Bárcena-Ruiz, María Begoña Garzón
{"title":"Environmental taxes and strategic delegation","authors":"Juan Carlos Bárcena-Ruiz, María Begoña Garzón","doi":"10.1007/S101080200052","DOIUrl":"https://doi.org/10.1007/S101080200052","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133040955","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 32
Renegotiation in agency contracts, menus vs. simple contracts 代理合同中的重新谈判,菜单与简单合同
Spanish Economic Review Pub Date : 2002-11-29 DOI: 10.1007/S101080200050
Nicolas Boccard
{"title":"Renegotiation in agency contracts, menus vs. simple contracts","authors":"Nicolas Boccard","doi":"10.1007/S101080200050","DOIUrl":"https://doi.org/10.1007/S101080200050","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121837339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Causes and consequences of exports' channel integration 出口渠道整合的前因后果
Spanish Economic Review Pub Date : 2002-11-29 DOI: 10.1007/S101080200056
F. Merino, V. Salas
{"title":"Causes and consequences of exports' channel integration","authors":"F. Merino, V. Salas","doi":"10.1007/S101080200056","DOIUrl":"https://doi.org/10.1007/S101080200056","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126298789","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Forward contracts and competition 远期合同与竞争
Spanish Economic Review Pub Date : 2002-11-29 DOI: 10.1007/S101080200054
M. Antelo, Lluís Bru
{"title":"Forward contracts and competition","authors":"M. Antelo, Lluís Bru","doi":"10.1007/S101080200054","DOIUrl":"https://doi.org/10.1007/S101080200054","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115722858","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
A Pearson's test for symmetry with an application to the Spanish business cycle 对西班牙商业周期的对称性进行皮尔逊检验
Spanish Economic Review Pub Date : 2002-09-09 DOI: 10.1007/S101080200048
J. Belaire-Franch, D. Contreras
{"title":"A Pearson's test for symmetry with an application to the Spanish business cycle","authors":"J. Belaire-Franch, D. Contreras","doi":"10.1007/S101080200048","DOIUrl":"https://doi.org/10.1007/S101080200048","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130511627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
On the role of money in a business cycle model of a small open economy: The case of Spain 论货币在小型开放经济体商业周期模型中的作用:以西班牙为例
Spanish Economic Review Pub Date : 2002-09-09 DOI: 10.1007/S101080200049
E. Giménez, J. Martin-Moreno
{"title":"On the role of money in a business cycle model of a small open economy: The case of Spain","authors":"E. Giménez, J. Martin-Moreno","doi":"10.1007/S101080200049","DOIUrl":"https://doi.org/10.1007/S101080200049","url":null,"abstract":"","PeriodicalId":344961,"journal":{"name":"Spanish Economic Review","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132764856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信