45 resultados para Realized volatility
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[ES] Este artículo de introducción al número especial sobre innovación de la revista Cuadernos de Gestión consta de dos apartados bien diferenciados. En el primero, se recogen algunas ideas que pueden ser útiles para los lectores que se aproximan al tema de la innovación y observan una gran variedad conceptual. En concreto, se ha tratado de explicar de una manera más o menos exhaustiva el concepto de Open Innovation (OI). La OI surge del reconocimiento de que la empresa no puede innovar de manera aislada, y, por lo tanto, necesita siempre adquirir las ideas y los recursos del entorno exterior.
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[ES]En este artículo se realiza un repaso por la organización de la justicia (corpus, instancias...)en el territorio del Señorío de Vizcaya (País Vasco) en la Edad Media.
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Revisions of US macroeconomic data are not white-noise. They are persistent, correlated with real-time data, and with high variability (around 80% of volatility observed in US real-time data). Their business cycle effects are examined in an estimated DSGE model extended with both real-time and final data. After implementing a Bayesian estimation approach, the role of both habit formation and price indexation fall significantly in the extended model. The results show how revision shocks of both output and inflation are expansionary because they occur when real-time published data are too low and the Fed reacts by cutting interest rates. Consumption revisions, by contrast, are countercyclical as consumption habits mirror the observed reduction in real-time consumption. In turn, revisions of the three variables explain 9.3% of changes of output in its long-run variance decomposition.
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This paper considers a time varying parameter extension of the Ruge-Murcia (2003, 2004) model to explore whether some of the variation in parameter estimates seen in the literature could arise from this source. A time varying value for the unemployment volatility parameter can be motivated through several means including variation in the slope of the Phillips curve or variation in the preferences of the monetary authority.We show that allowing time variation for the coefficient on the unemployment volatility parameter improves the model fit and it helps to provide an explanation of inflation bias based on asymmetric central banker preferences, which is consistent across subsamples.
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The paper investigates whether the growing GDP share of the services sector can contribute to explain the great moderation in the US. We identify and analyze three oil price shocks and use a SVAR analysis to measure their economic impact on the US economy at both the aggregate and the sectoral level. We find mixed support for the explanation of the great moderation in terms of shrinking oil shock volatilities and observe that increases (decreases) in oil shock volatilities are contrasted by a weakening (strengthening) in their transmission mechanism. Across sectors, services are the least affected by any oil shock. As the contribution of services to the GDP volatility increases over time, we conclude that a composition effect contributed to moderate the conditional volatility to oil shocks of the US GDP.
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Using a model of an optimizing monetary authority which has preferences that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical evidence that the authority has asymmetric preferences for unemployment. We extend this model to weigh inflation and output and show that the empirical evidence using these series also supports an asymmetric preference hypothesis, only in our case, preferences are asymmetric for output. We also find evidence that the monetary authority targets potential output rather than some higher output level as would be the case in an extended Barro and Gordon (1983) model.
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[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.
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Mª José García Soler ( editora).Anejos de VELEIA. Serie Minor nº 17
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[ES]Los cambios sociodemográficos y el aumento de la esperanza de vida han dado lugar a un aumento de algunas enfermedades, incluyendo la enfermedad de Alzheimer. La enfermedad de Alzheimer no sólo afecta a la persona que padece dicha enfermedad, sino que también repercute en la familia. Los cuidadores familiares son los que, de manera mayoritaria, se hacen cargo de la atención de estos pacientes con un compromiso de 24 horas, con lo que implica hacer cambios en sus estilos de vida. Los objetivos de este estudio son describir las características socio-demográficas, determinar la sobrecarga de los cuidadores informales y evaluar la calidad de sueño de los cuidadores. Se realizará un estudio transversal que incluirá a 40 cuidadores de enfermos de Alzheimer, seleccionados por un muestreo no probabilístico de selección por cuotas. Los participantes serán los cuidadores informales de pacientes con la enfermedad de Alzheimer que estén en el estadío III o IV de dicha enfermedad. Nuestra variable dependiente será el sueño y como variable independiente la sobrecarga. El estudio se realizará en la asociación de familiares de Alzheimer de Bilbao (A.F.A - Bizkaia), dónde se captará a la muestra de estudio y donde se procederá a aplicar los cuestionarios pertinentes para dicho estudio. Para participar en el estudio es necesario que firmen el consentimiento informado. Los instrumentos que se utilizarán son el cuestionario de Pittsburg que evalúa la calidad de sueño y la escala de carga de Zarit. Para el análisis de datos se utilizará el programa SPSS 15.0. Palabras clave: enfermedad de Alzheimer, cuidadores, cuidadores familiares, demencia, sobrecarga, sueño.
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This paper explores the benefits of including age-structure in the control rule (HCR) when decision makers regard their (age-structured) models as approximations. We find that introducing age structure into the HCR reduces both the volatility of the spawning biomass and the yield. Although at a fairly imprecise level the benefits are lower, there are still major advantages for actual assessment precision of the case study. Moreover, we find that when age-structure is included in the HCR the relative ranking of different policies in terms of variance in biomass and yield does not differ. These results are shown both theoretically and numerically by applying the model to the Southern Hake fishery.
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35 p.
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Reconocimiento-NoComercial-SinObraDerivada 3.0 España (CC BY-NC-ND 3.0 ES)
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[EUS] Gizartean dauden adimen gaitasun handiko haurrak antzematea ez da erraza. Hori dela eta, ikasle hauen ezaugarriak antzematea izan da lan honen muina. Egile eta teoria ezberdinetan oinarrituta, bi ekarpen didaktiko aurrera eraman dira. Ikasle hauek eta hauen ezaugarriak ezagutzera ematen dituen dokumentala burutu da, non kolektibo honen inguruan sinesten diren mitoak eta uste okerrak desmitifikatzen diren. Lanaren bigarren ekarpena, haurrak identifikatzerako orduan familia eta irakasleentzako lagungarriak izango diren behaketa- tresnen zerrenda izan da, edozein ingurunean egonda ere haur hauek antzematen lagunduko duena.
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4 p.
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36 p.