Browsing by Author "Iglesias, Emma M."
Now showing items 1-17 of 17
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Asymptotic inference for a sign-double autoregressive (SDAR) model of order one.
Iglesias, Emma M. (Taylor and Francis, 2025)[Abstract]: We propose an extension of the double autoregressive (DAR) model: the sign-double autoregressive (SDAR) model, in the spirit of the GJR-GARCH model (also named the sign-ARCH model). Our model shares the important ... -
Asymptotic normality of the MLE in the level-effect ARCH model
Dahl, Christian M.; Iglesias, Emma M. (Springer Nature, 2021)[Abstract]:We establish consistency and asymptotic normality of the maximum likelihood estimator in the level-effect ARCH model of Chan et al. (J Financ 47(3):1209–1227, 1992). Furthermore, it is shown by simulations that ... -
Banking, Currency, Stock Market and Debt Crises in Spain, 1950-1995
Maixé Altés, Joan Carles; Iglesias, Emma M. (Taylor & Francis, 2018)[Abstract]: What type of crisis is generated when debt increases? We extend the literature by framework by introducing currency and stock market crises in the analysis. We apply our proposal to the case of Spain, since ... -
Bienestar subjetivo, renta y bienes relacionales: los determinantes de la felicidad en España
Iglesias, Emma M.; Pena-López, Atilano; Sánchez Santos, José Manuel (CSIC, 2013)[Resumen:] En el presente trabajo se analizan los determinantes de la felicidad, entendida esta como satisfacción subjetiva revelada. El principal objetivo tiene un doble componente: por un lado, se trata de contrastar la ... -
Brent and WTI oil prices volatility during major crises and Covid-19
Iglesias, Emma M.; Rivera-Alonso, David (Elsevier, 2022)[Abstract] We provide novel evidence of two different types of volatility-patterns of oil spot prices that are generated depending on which is the predominant trigger: a) spikes of volatility (which are highly erratic) ... -
Capital humano, desigualdad y crecimiento económico en América Latina
Brito Gaona, Luis Felipe; Iglesias, Emma M. (2021-06-30)[Resumen]: Macarena Suanes y Oriol Roca estudiaron los principales determinantes de la desigualdad y el crecimiento economico en America-Latina entre 1980 y 2009, y encontraron que uno de los principales fue la inversion ... -
Determinantes de la inversión privada en los países de la Alianza del Pacífico
Brito Gaona, Luis Felipe; Iglesias, Emma M. (Grupo Editorial Espacios GEES, 2018)Este artículo busca evidencia empírica acerca de si un aumento de los impuestos, del gasto público y en general, un estado muy intervencionista estimula o desestimula la inversión privada en los países que conforman la ... -
Evolution over time of the determinants of preferences for redistribution and the support for the welfare state
Iglesias, Emma M.; Pena-López, Atilano; Sánchez Santos, José Manuel (Taylor & Francis (Routledge):, 2013)[Abstract:] The objective of this article is to analyse the determinants of preferences for redistribution in Spain both at an aggregate and regional level. Using country level data, we put to the test the Alesina and ... -
Further Results on Pseudo-Maximun Likelihood Estimation and Testing the Constant Elasticity of Variance Continuous Time Model
Iglesias, Emma M.; Phillips, Garry D.A. (John Wiley & Sons, 2019)[Abstract]: Constant elasticity volatility processes have been shown to be useful, for example, to encompass a number of existing models that have closed-form likelihood functions. In this article, we extend the existing ... -
Identifying the impact of the business cycle on drug-related harms in European countries
Casal, Bruno; Iglesias, Emma M.; Rivera, Berta; Currais Nunes, Luis; Costa Storti, Claudia (Elsevier, 2023)[Abstract] Background: The evidence resulting from the analysis of the association between economic fluctuations and their impact on the substance use is mixed and inconclusive. Effects can be pro-cyclical (drug-related ... -
Inversión privada, gasto público e impuestos en la Unión Europea
Brito Gaona, Luis Felipe; Iglesias, Emma M. (Universidad Pablo Olavide, 2018)[Abstract] Using the same model that Caballero-Urdiales et al. (2012) and Brito Gaona and Iglesias (2017) applied to Latin-American countries, we extend their analysis to the European Union (EU) in order to analyze the ... -
Inversión privada, gasto público y presión tributaria en Ecuador
Brito Gaona, Luis Felipe; Iglesias, Emma M. (Universidades de Andalucía, 2021)[Resumen]: Este trabajo analiza empíricamente los determinantes de la inversión privada en las 24 provincias de Ecuador en el periodo 2007-2014. Dado que nuestro análisis es a nivel provincial y no podemos usar el tipo de ... -
Is the Chinese Crude Oil Spot Price a Good Hedging Tool for Other Crude Oil Prices, and in Special for the Main Russian Oil Benchmarks and During International Sanctions?
Rivera-Alonso, David; Iglesias, Emma M. (Elsevier, 2024)[Abstract] In order to deal with risk management for policy makers and potential and current investors, green bond, bitcoin and several precious metals have been proposed as safe heavens and hedges for WTI and BRENT. We ... -
Price and income elasticity of natural gas demand in Europe and the effects of lockdowns due to Covid-19
Erias Rodríguez, Antonio; Iglesias, Emma M. (Elsevier, 2022)[Abstract] We analyse a panel of 25 European-countries to provide novel estimates of monthly own-price, cross-price, and income elasticities of natural-gas-demand from 2005 to 2020. We find that: first, there is an European ... -
The daily price and income elasticity of natural gas demand in Europe
Erias Rodríguez, Antonio; Iglesias, Emma M. (Elsevier, 2022)[Abstract] Data from 15 European countries is analysed to provide novel estimates of daily own-price, cross-price and income elasticities of natural-gas-demand from 2016 to 2020. The results show that: first, there is a ... -
The Influence of Extreme events such as Brexit and Covid-19 on Equity Markets
Iglesias, Emma M. (Elsevier, 2022)[Abstract]: In this article first, we show that the result that the PIIGS group had the largest negative unadjusted andabnormal returns on the day following the Brexit Referendum is robust to taking into account jointly ... -
The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressivein- Mean Models
Dahl, Christian M.; Iglesias, Emma M. (Oxford, 2022)[Abstract] We extend the results in Borkovec (2000), Basrak, David, and Mikosch (2002a), Lange (2011), and Francq and Zakoı¨an (2015) by describing the tail behavior when a risk premium component is added in the mean ...
