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Browsing Master's Degree in Economics and Finance by Title
Now showing items 14-33 of 52
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(2017)This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with ...
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(2019)In this paper, we characterize a variety of financial markets as partially correlated networks of stock returns via the implementation of the joint sparse regression estimation techniques of Peng et al. (2009). We find ...
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(2024-07-18)In this literature review, we focus on the role of expectations in shaping macroeconomic outcomes, covering both theory and empirical applications. We review the historical evolution of expectations models, from the Keynesian ...
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(2023-06-11)We are the first to construct a general model for forecasting redenomination risk by using the difference in a country’s EUR-denominated CDS spreads compared to Germany. The goal of this work is to further close this gap ...
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(2017)We investigate a possible gender gap in returns to education using data from the World Bank’ STEP program for seven developing and emerging countries. We control for cognitive skills, non-cognitive skills and parental ...
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(2021-07-23)In line with the growing governmental efforts to reduce the gender income gap, in 2016 a retirement pension supplement for mothers of two or more children was introduced in Spain. Through an Oaxaca-Blinder decomposition ...
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(2017)This paper investigates whether and how geographical distance matters for bank lending within and between countries in the European Union. We estimate gravity-type regressions in various specifications, incorporating ...
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(2022)When deciding for themselves whether to keep or delegate a decision-making right, individuals often fail to delegate even when doing so would yield a higher expected return. However, beyond the individual decision-making ...
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(2022-06)The purpose of this project is to calibrate the Hull-White model using data on at-the-money payer swaptions and Artificial Neural Networks (ANN) for 100 different combinations of expiries (T0) and tenors (Tn – T0). The ...
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(2022-06)This paper studies the impact of investing preference frictions between ESG and traditional investors on stock price volatility. As these shareholder groups embody heterogeneous preferences, the resulting between-group ...
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(2020)We offer a novel approach to investigate the extent to which the expansion of the sharing economy is responsible for increases in long-term rents and prices on the housing market. Using a panel of quarterly data on newly ...
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(2022)Our study uses an arguably exogenous supply chain shock generated by the March 2021 blockage of the Suez Canal to analyze contributions to import price inflation and transport method substitution. Using a quasi-experimental ...
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(2020)Using firm-level data from Spain, we investigate robot abandonment, a phenomenon neglected by the literature, and find that a substantial proportion of robot adoption is non-permanent. We also find that (i) firms are most ...
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(2024-07)Inequality stands as one of the most crucial determinants of socio-economic wellbeing and political stability. Empirical evidence shows a widespread surge in inequality across numerous countries worldwide over the past ...
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(2019)After five decades of sustained growth, the Irish housing market experienced a precipitous crash in the aftermath of the Global Financial Crisis in 2007. Our paper examines the short- and long-run dynamics between rental ...
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(2019)We study the effects of the #BlackLivesMatter movement on the law abiding behavior of African-Americans. First, we derive a conceptual framework to illustrate changes in risk perceptions across different races. Second, we ...
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(2022-07)The following paper examines the downgrading in job status that immigrant workers suffer when settling in a new country. We consider the massive Venezuelan exodus and the impacts this shock had on the job outcomes of ...
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(2017)We investigate the effects of intellectual property products capital in the evolution of the labor share for five European countries. Using post-revision national accounts data, we construct a benchmark labor share with ...
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(2024-06)It has been well documented in the literature that the inclusion of realized measures into GARCH models can lead to both statistical and economic gains through improved forecasting performance. In this paper, we employ the ...
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(2020)In this paper, we combine several Multi-Armed bandit algorithms with methodologies from finance literature and apply it to portfolio choice problem. Our results show that when we combine bandit algorithms with methodologies ...
Now showing items 14-33 of 52
