{"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}
{"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}
{"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}
{"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}
{"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}
{"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}
{"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}
{"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}