A Semiparametric Estimation of Liquidity Effects on Option Pricing

This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the Symmetrized Nearest Neighbors (SNN) estimator rather than the traditional kernel estimator. Moreover, special care is taken in obtaining the smoothing parameter. The in-sample performance of the model turns out to be statistically favorable relative to a competing model without liquidity. However, the out-of-sample performance of both models is quite disappointing despite the fact that we are not to reject the stability of risk-neutral densities estimated over different quarters during our sample period.multivariate kernel regression, bandwidth selection, symmetrized nearest neighbors, volatility smile, option pricing

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.option pricing, conditional volatility, SNN Nonparametric estimator

El control del financiamiento de los partidos en Argentina. Qué cambió con la nueva ley?

En el presente documento analizamos los alcances, limitaciones y consecuencias de la nueva ley de financiamiento de los partidos políticos y las campañas electorales (Ley 25.600). Para ello, nos preguntamos cuáles son las características principales del sistema legal vigente en Argentina en materia de financiamiento de partidos y campañas. Luego formulamos un balance provisorio de la experiencia de aplicación de estas nuevas normas con motivo de la elección presidencial del 2003. Por último, partiendo del supuesto de que la transparencia opera como principio rector e informador de la tarea de control y supervisión del financiamiento de la política formulamos algunas sugerencias sobre reformas a introducir en el sistema de control y supervisión.

Consumer Confidence and Yield Spreads in Europe

This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business cycles. This new evidence complements the well known results regarding the usefulness of the slope of the term structure of interest rates to predict real economic conditions and, in particular, recessions by using a direct measure of expectations. A linear combination of European yield spreads explains a surprising 93.7% of the variability of the Economic Sentiment Indicator. Yield spreads seem to be a key determinant of consumer confidence in Europe.consumer confidence, yield spreads, expected real activity, economic sentiment indicator

Analysis of Required Investigations of Work-Related Musculoskeletal Disorders in Spain

Musculoskeletal disorders (MSD) are the most common source of occupational health problems in Western countries. In Spain, musculoskeletal disorders (MSDs) can be reported either as accidents or occupational diseases. When reported as an occupational disease, a full diagnosis is performed, as the compensation system needs the approval of the social security authority and a mandatory investigation has to be performed. Although many methods are available for investigating the causes of occupational accidents, occupational diseases have not been analysed with the same depth, and there is a lack of investigation methods. This paper aims to analyse the role of 43 occupational investigations of causes of musculoskeletal diseases in the prevention cycle. This study is based on the occupational investigations performed by workplaces’ occupational health and safety specialists when musculoskeletal diseases are reported. The analysis of the data involves descriptive statistics and the Φ coeffcient. Based on administrative data, 68 workplaces employing 15,260 workers were surveyed and 41 workplaces with 13,201 workers submitted valid questionnaires to be analysed. The most frequent cause of reported musculoskeletal disease, in terms of primary risk, is repetitive movement. The only proposed measure with a significant association to the exposure by repetitive movements is job rotation (alternating workers between tasks within a job or between activities as a means to vary different levels of exposure). The investigation of occupational diseases has been useful in most of the cases for proposing preventive measures. Most of the workplaces surveyed have performed investigations and adopted preventive measures, but the managers of some workplaces were not aware of any disease notification regarding their workers when surveyed. More research is needed to provide tools for this important task

The Democrat-Republican growth gap paradox

Economic performance has been historically better under Democrat presidents compared to Republican ones. This gap has not yet been fully explained appealing to better management or luck. In fact, the economic cycles under one group of administrations or the other are quite similar. Blinder and Watson (2016) provide the best attempt so far at solving the paradox, but can explain only half of the gap. Drawing from them, and using a different method to account for the initial conditions of each presidential term, we are able to show that the phase of the economic cycle at the different elections are correlated to the party of the president. We also find ample evidence suggesting that there is a subtle causality: when the unemployment is high, the probability of a person voting for a Democrat president increases, thus causing Democrats being elected more often at the end of a recession and the beginning of a recovery. This, and not the difference in competence dealing with the economic cycles, is enough to close the gap.Ferreira: Department of Economics, Universidad Carlos III de Madrid. The author thanks financial support by Spanish Ministerio de Economía, Industria y Competitividad project ECO2015-66383-P

A Semiparametric Estimation of Liquidity Effects on Option Pricing

This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the Symmetrized Nearest Neighbors (SNN) estimator rather than the traditional kernel estimator. Moreover, special care is taken in obtaining the smoothing parameter. The in-sample performance of the model turns out to be statistically favorable relative to a competing model without liquidity. However, the out-of-sample performance of both models is quite disappointing despite the fact that we are not to reject the stability of risk-neutral densities estimated over different quarters during our sample period.Eva Ferreira and Gonzalo Rubio acknowledge the financial support provided by Dirección Interministerial Científica y Técnica (DGICYT) grants PB95-0346 and PB97-0621 respectively

El control del financiamiento de los partidos en Argentina: ¿qué cambió con la nueva ley?

Con el telón de fondo de una de las crisis políticas más importantes de larecuperada democracia argentina, y cuando el sentir de la sociedad hacia lospolíticos se reflejaba fielmente en el lema «¡Qué se vayan todos!», a mediados de 2002, el Congreso sancionó la nueva ley de financiamiento de lospartidos políticos y las campañas electorales (Ley Nº 25.600)

La rendición de cuentas partidarias

La rendición de cuentas es uno de los pilares que sostienen cualquierrelación de representación, sea ésta privada o pública. El concepto seemparenta con la responsabilidad de quien administra en nombre de otros y, por lo tanto, está sujeto a un control de sus actos. Rendición de cuentas,responsabilidad y control son elementos centrales de las democraciasmodernas basadas en la idea de representación