07false100true score desc 2gaptrue5mapcontentxmltrue50object_type_i,object_type_i_lookup,coverage_period_mt,geographic_area_mt,geographic_coordinates_mt,author_role_mt,contributor_role_mt,org_id_mt,org_role_mt,supervisor_mt,supervisor_id_mi,supervisor_id_mi_lookup,fields_of_research_mi,fields_of_research_mi_lookup,display_type_i,display_type_i_lookup,seo_code_mi,seo_code_mi_lookup,copyright_i,license_i,license_i_lookup,oa_compliance_t,oa_notes_t,grant_id_t,funding_body_t,description_of_resource_t,software_required_t,project_description_t,keywords_mt,project_name_t,project_id_t,isdatasetof_mt,isdatasetof_mt_lookup,notes_t,date_dt,xsd_display_option_mi,xsd_display_option_mi_lookup,file_downloads_i,created_date_dt,updated_date_dt,research_program_mt,title_t,depositor_i,isderivationof_mt,assigned_user_id_mt,assigned_group_id_mi,assigned_group_id_mi_lookup,isdatacomponentof_mt,isannotationof_mt,author_id_mi,author_id_mi_lookup,alternative_title_mt,pid_t,publisher_t,author_mt,contributor_mt,contributor_id_mi,contributor_id_mi_lookup,refereed_i,series_t,journal_name_t,newspaper_t,conference_name_t,book_title_t,identifier_mt,edition_t,subject_mi,subject_mi_lookup,place_of_publication_t,start_page_t,end_page_t,chapter_number_t,issue_number_t,volume_number_t,conference_dates_t,conference_location_t,patent_number_t,country_of_issue_t,description_t,date_available_dt,language_mt,phonetic_title_t,language_of_title_mt,translated_title_t,phonetic_journal_name_t,translated_journal_name_t,phonetic_book_title_t,translated_book_title_t,phonetic_newspaper_t,file_attachment_name_mt,translated_newspaper_t,phonetic_conference_name_t,translated_conference_name_t,issn_mt,isbn_mt,isi_loc_t,prn_t,output_availability_t,na_explanation_t,sensitivity_explanation_t,file_attachment_content_mt,org_unit_name_t,org_name_t,report_number_t,sequence_i,genre_t,genre_type_t,formatted_title_t,formatted_abstract_t,parent_publication_t,convener_t,ismemberof_mt,ismemberof_mt_lookup,link_mt,link_description_mt,rights_t,views_i,scopus_id_t,thomson_citation_count_i,gs_citation_count_i,gs_cited_by_link_t,scopus_citation_count_i,status_i,status_i_lookup,first_author_in_document_derived_t,first_author_in_fez_derived_t,ands_collection_type_t,start_date_dt,end_date_dt,access_conditions_t,extent_t,contact_details_email_mt,contact_details_physical_mt,loc_subject_heading_mt,depositor_affiliation_i,surrounding_features_mt,condition_mt,style_mt,period_mt,category_mt,subcategory_mt,structural_systems_mt,adt_id_t,subtype_t,language_of_parent_title_t,proceedings_title_t,file_description_mt,herdc_code_i,herdc_code_i_lookup,herdc_status_i,herdc_status_i_lookup,institutional_status_i,institutional_status_i_lookup,herdc_notes_t,follow_up_flags_i,follow_up_flags_i_lookup,follow_up_flags_imu_i,follow_up_flags_imu_i_lookup,scopus_doc_type_t,scopus_doc_type_t_lookup,wok_doc_type_t,wok_doc_type_t_lookup,conference_id_i,total_chapters_t,publisher_id_i,translated_proceedings_title_t,native_script_title_t,roman_script_title_t,native_script_book_title_t,roman_script_book_title_t,native_script_journal_name_t,roman_script_journal_name_t,native_script_conference_name_t,roman_script_conference_name_t,total_pages_t,native_script_proceedings_title_t,roman_script_proceedings_title_t,language_of_book_title_mt,language_of_journal_name_mt,language_of_proceedings_title_mt,doi_t,author_count_t,collection_year_dt,location_mt,building_materials_mt,architectural_features_mt,interior_features_mt,sherpa_colour_t,ain_detail_t,rj_2010_rank_t,rj_2010_title_t,rj_2012_rank_t,rj_2012_title_t,rc_2010_rank_t,rc_2010_title_t,herdc_code_description_t,score,citation_t1true60 (financial markets AND display_type_i:423 AND status_i:(2)) 6display_type_idisplay_type_i_lookup_exactkeywords_mftdate_year_tauthor_id_miauthor_id_mi_lookup_exactauthor_mftjournal_name_t_ftsubject_misubject_mi_lookup_exactgenre_type_t_ftismemberof_mftismemberof_mt_lookup_exactsubtype_t_ftscopus_doc_type_t_ftscopus_doc_type_t_lookup_exact(_authlister_t:(1)) AND (status_i:(2)) 34232008-05-15T00:00:00Z4132008-05-16T05:06:20Z2015-10-31T04:33:10ZReview of D. MacKenzie, An Engine, not a Camera. How Financial Models Shape Marketsbibliuned:20078A review of Donald MacKenzie, An Engine, not a Camera. How Financial Models Shape the Markets, Cambridge (Mass.), MIT Press, 2006, 377 pp. Forthcoming in the Journal of Economic Methodology07272<a class="citation_author_name" title="Navegar por nombre de Autor de Teira Serrano, David" href="/fez/list/author/Teira Serrano, David/">Teira Serrano, David</a> . (<span class="citation_date">2008</span>) <a class="citation_title" title="Click para ver : Review of D. MacKenzie, An Engine, not a Camera. How Financial Models Shape Markets" href="/fez/view/bibliuned:20078">Review of D. MacKenzie, An Engine, not a Camera. How Financial Models Shape Markets</a>. RecordArtículo de revistaPublishedPerformativitysociology of financial marketsTeira Serrano, Davidbibliuned:20078engMacKenzie.pdfbibliuned:81bibliuned:Setopenairebibliuned:SetarticuloDepartamento Lógica, Historia, Filosofía de la Ciencia (UNED). ArtículosSet de openaireSet de artículohttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsTeira SerranoAcceso abierto1.689257934232020-07-06T00:00:00Z342023-12-12T15:25:51Z2024-02-16T12:55:42ZRethinking the Income Inequality and Financial Development Nexus. A Study of Nine OECD Countriesbibliuned:DptoEA-FECO-Articulos-Cruza-002Financial crises have devastating effects in terms of income inequality. The recent financial crisis has provoked that inequality within advanced countries has returned to the prevailing levels of a century ago. In this article we look at the relationship between financial development and income inequality from a comprehensive perspective. Our hypotheses state that not only financial depth through credit expansion or capital markets activity matter in terms of income inequality, but also the financial system resilience. We look at a group of OCDE developed countries during the period 2000-2015 and the results confirm that in terms of credit provision there is a point of until which income inequality improves, but beyond this threshold further financial deepening will lead to a reverse effect, in line with the "Too much finance hypothesis". The role of capital markets exerts a widening income inequality effect while financial system resilience helps in alleviating existing income inequality. We recommend regulators and policymakers to pay more attention to financial depth variables, the behaviour of financial intermediaries and the environment in which they operate.0672<a class="citation_author_name" title="Navegar por nombre de Autor de Cuesta, Marta de la" href="/fez/list/author/Cuesta, Marta de la/">Cuesta, Marta de la</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de Ruza, Cristina" href="/fez/list/author/Ruza, Cristina/">Ruza, Cristina</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Rodríguez, José Miguel" href="/fez/list/author/Rodríguez, José Miguel/">Rodríguez, José Miguel</a> . (<span class="citation_date">2020</span>) <a class="citation_title" title="Click para ver : Rethinking the Income Inequality and Financial Development Nexus. A Study of Nine OECD Countries" href="/fez/view/bibliuned:DptoEA-FECO-Articulos-Cruza-002">Rethinking the Income Inequality and Financial Development Nexus. A Study of Nine OECD Countries</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en Sustainability, está disponible en línea en el sitio web del editor: https://doi.org/10.3390/su12135449MDPICuesta, Marta de laRuza, CristinaRodríguez, José MiguelSustainabilitybibliuned:DptoEA-FECO-Articulos-Cruza-002http://e-spacio.uned.es/fez/view/bibliuned:DptoEA-FECO-Articulos-Cruza-0021312engRuza_Cristina_Rethinking_Inequality_and_Financial.pdfpresmd_Ruza_Cristina_Rethinking_Inequality_and_Financial.xml2071-1050bibliuned:DptoEA-FECO-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía Aplicada (UNED). ArtículosSet de artículoSet de openairehttps://creativecommons.org/licenses/by/4.0/Licencia Creative CommonsCuestaAcceso abiertohttps://doi.org/10.3390/su121354491.348467534232021-01-01T00:00:00Z92024-01-13T07:46:12Z2024-03-14T04:02:42ZIs there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial marketsbibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0006Stylized facts are statistical properties present in high frequency returns of financial assets. While some of them supposes that returns are not Gaussian, another, called time scaling, involves that decreasing the frequency of observation, the returns converge to normal distribution. This paper find evidence that the existence of scaling and outliers entails other stylized facts. Also, a methodology for identifying outliers is proposed and applied to both simulated series and 1300 market assets. Results indicate that all market returns have time scaling (between 2 and 28 days) and, in 95% of cases, daily outliers represent less than 6% of observations.0552<a class="citation_author_name" title="Navegar por nombre de Autor de González-Sánchez, Mariano" href="/fez/list/author/González-Sánchez, Mariano/">González-Sánchez, Mariano</a> . (<span class="citation_date">2021</span>) <a class="citation_title" title="Click para ver : Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0006">Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en Finance Research Letters, está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1016/j.frl.2020.101510ElsevierGonzález-Sánchez, Mariano1Finance Research Lettersbibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0006http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0006engGonzalez_Sanchez_Mariano_Is_There_a.pdfpresmd_Gonzalez_Sanchez_Mariano_Is_There_a.xml1544-6123bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsGonzález-SánchezAcceso abiertohttps://doi.org/10.1016/j.frl.2020.1015101.288173634232021-01-01T00:00:00Z42024-03-07T04:30:20Z2024-03-07T04:30:20ZThe influence of Google search index on stock markets: an analysis of causality in-mean and variancebibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0012Purpose – This empirical work studies the influence of investors’ Internet searches on financial markets. Design/methodology/approach – In this study, an asset pricing model with six factors is used, and autoregression, heteroscedasticity and moving average are taken into account to extract the independent shocks of each variable. Subsequently, a causality in-mean and in-variance analysis is performed to test the influence of Google searches on financial market variables, specifically, to test whether there is an influence on the idiosyncratic returns of financial assets. Findings – Unlike most of the literature, the results show that Google searches on the name of listed companies have little influence on the trend and volatility of asset returns. On the contrary, these searches are shown to have a significant influence on trading volumes in the following week. Practical implications –When analyzing specific effects, such as the influence of Internet searches, on financial markets, it is necessary that the model must include financial properties (asset valuation models) and statistical characteristics (stylized facts); otherwise, the empirical results could be inconsistent, since, among other issues, statistical findingsmaynot be robust given autocorrelation and heteroscedasticity, and if an asset valuationmodel is not considered, the specific effect analyzed could simply be an indirect effect of a risk factor excluded from the model. Originality/value – The empirical evidence shows that individual investors using Google have a significant influence on volume only so that institutional investors using other sources of information drive market prices. This means that potential investors should only be interested in the Internet searches index if their interest is focused on trading volume0192<a class="citation_author_name" title="Navegar por nombre de Autor de González-Sánchez, Mariano" href="/fez/list/author/González-Sánchez, Mariano/">González-Sánchez, Mariano</a> . (<span class="citation_date">2021</span>) <a class="citation_title" title="Click para ver : The influence of Google search index on stock markets: an analysis of causality in-mean and variance" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0012">The influence of Google search index on stock markets: an analysis of causality in-mean and variance</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en Review of Behavioral Finance, está disponible en línea en el sitio web del editor: Emerald Insight, https://doi.org/10.1108/RBF-01-2020-0011Emerald InsightGonzález-Sánchez, Mariano1Review of Behavioral Financebibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0012http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0012202226213engGonzalez_Sanchez_Mariano_Google_search.pdfpresmd_Gonzalez_Sanchez_Mariano_Google_search.xml1940-5979bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsGonzález-SánchezAcceso abiertohttps://doi.org/10.1108/RBF-01-2020-00111.247420534232022-01-01T00:00:00Z302024-02-09T07:22:16Z2024-02-09T07:22:16ZDoes finance as usual work for circular economy transition? A financiers and SMEs qualitative approachbibliuned:DptoEA-FECO-Articulos-Mcuesta-0003Transitioning to a circular economy (CE) particularly challenges small- and medium-sized enterprises (SMEs), and a deeper understanding of CE financial barriers is needed. We draw on SME and financiers’ views to qualitatively study the risks associated with CE, how such risks limit access to financial resources and how financial institutions perceive those risks. We find that transitioning to a circular economy entails regulatory, cultural and market risks and that CE business success does not depend solely on SME resources or capabilities. Contributions include combining business model perspectives with transition theories and showing that new circular business models entail major reforms to political, regulatory, and market structures, including financial markets. From a practical perspective, to accelerate CE transition, we recommend reducing fragmentation, uncertainty and incoherence in regulation of the remodeling of information and risk assessment systems and new co-financing mechanisms and alternative instruments such as blended finance or “circular finance.”0332<a class="citation_author_name" title="Navegar por nombre de Autor de Cuesta-González, Marta de la" href="/fez/list/author/Cuesta-González, Marta de la/">Cuesta-González, Marta de la</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Morales-García, Manuel" href="/fez/list/author/Morales-García, Manuel/">Morales-García, Manuel</a> . (<span class="citation_date">2022</span>) <a class="citation_title" title="Click para ver : Does finance as usual work for circular economy transition? A financiers and SMEs qualitative approach" href="/fez/view/bibliuned:DptoEA-FECO-Articulos-Mcuesta-0003">Does finance as usual work for circular economy transition? A financiers and SMEs qualitative approach</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en IJournal of Environmental Planning and Management, está disponible en línea en el sitio web del editor: Taylor & Francis Group, https://doi.org/10.1080/09640568.2021.1972798Taylor & Francis GroupCuesta-González, Marta de laMorales-García, Manuel1Journal of Environmental Planning and Managementbibliuned:DptoEA-FECO-Articulos-Mcuesta-0003http://e-spacio.uned.es/fez/view/bibliuned:DptoEA-FECO-Articulos-Mcuesta-00031365engde_la_Cuesta_Gonzalez_Marta_Does_finance.pdfpresmd_de_la_Cuesta_Gonzalez_Marta_Does_finance.xml0964-0568, eISSN 1360-0559bibliuned:DptoEA-FECO-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía Aplicada (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsCuesta-GonzálezAcceso abiertohttps://doi.org/10.1080/09640568.2021.19727981.212781134232023-10-01T00:00:00Z242024-01-30T08:06:14Z2024-02-02T07:31:34ZA novel feature engineering approach for high-frequency financial databibliuned:557-Sdormido-0062Feature engineering for high-frequency financial data based on constructing dynamic data subsets, defined by time intervals in which high-frequency trends occur, is proposed. These intervals are obtained through time series segmentation. This methodology allows us to extract and analyze variables by intraday trends as well as to feed artificial intelligence models to forecast response variables in future trends. Furthermore, to show how to use this feature engineering, this methodology is applied to estimate high-frequency volatility, duration and direction linked to future intraday trends, developing multiclass classification models based on the machine learning method extreme gradient boosting. Experimentation was conducted using high-frequency financial data from the Brazil Stock Exchange, corresponding to 206 trading days related to 20 listed assets from this financial market.0382<a class="citation_author_name" title="Navegar por nombre de Autor de Mantilla, Pablo" href="/fez/list/author/Mantilla, Pablo/">Mantilla, Pablo</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Dormido Canto, Sebastián" href="/fez/list/author/Dormido Canto, Sebastián/">Dormido Canto, Sebastián</a> . (<span class="citation_date">2023</span>) <a class="citation_title" title="Click para ver : A novel feature engineering approach for high-frequency financial data" href="/fez/view/bibliuned:557-Sdormido-0062">A novel feature engineering approach for high-frequency financial data</a>. RecordArtículo de revistaPublishedInformáticaLa versión registrada de este artículo, publicado por primera vez en Engineering Applications of Artificial Intelligence, está disponible en línea en el sitio web del editor: Elsevier https://doi.org/10.1016/j.engappai.2023.106705ElsevierMantilla, PabloDormido Canto, SebastiánEngineering Applications of Artificial Intelligencebibliuned:557-Sdormido-0062http://e-spacio.uned.es/fez/view/bibliuned:557-Sdormido-0062116125engn02_Dormido_Canto_Sebastian_A_Novel_Feature.pdfpresmd_n02_Dormido_Canto_Sebastian_A_Novel_Feature.xml0952-1976bibliuned:557bibliuned:Setarticulobibliuned:SetopenaireDepartamento de Informática y Automática (UNED). ArtículosSet de artículoSet de openairehttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.esLicencia Creative CommonsMantillaAcceso embargado10.1016/j.engappai.2023.1067051.143731134232023-06-04T00:00:00Z282023-12-19T07:07:04Z2024-01-31T13:14:41ZA comparison of market risk measures from a twofold perspective: accurate and loss functionbibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0006Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.0762<a class="citation_author_name" title="Navegar por nombre de Autor de Benito Muela, Sonia" href="/fez/list/author/Benito Muela, Sonia/">Benito Muela, Sonia</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de López Martin, Carmen" href="/fez/list/author/López Martin, Carmen/">López Martin, Carmen</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Arguedas-Sanz, Raquel" href="/fez/list/author/Arguedas-Sanz, Raquel/">Arguedas-Sanz, Raquel</a> . (<span class="citation_date">2023</span>) <a class="citation_title" title="Click para ver : A comparison of market risk measures from a twofold perspective: accurate and loss function" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0006">A comparison of market risk measures from a twofold perspective: accurate and loss function</a>. RecordArtículo de revistaPublishedEconomíaLa versión publicada de este artículo, publicado por primera vez en ACRN Journal of Finance and Risk Perspectives , está disponible en línea en el sitio web del editor: Elsevier https://doi.org/10.35944/jofrp.2022.11.1.005ElsevierBenito Muela, SoniaLópez Martin, CarmenArguedas-Sanz, RaquelACRN Journal of Finance and Risk Perspectivesbibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0006http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-00067910411engArguedas_Sanz_Raquel_Comparison_market_risk_.pdfpresmd_Arguedas_Sanz_Raquel_Comparison_market_risk_.xml2305-7394bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsBenito MuelaAcceso abiertohttps://doi.org/10.35944/jofrp.2022.11.1.0051.075726434232023-01-01T00:00:00Z112024-01-12T09:59:51Z2024-01-13T06:50:08ZWhere is the distribution tail threshold? A tale on tail and copulas in financial risk measurementbibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0001Estimating the market risk is conditioned by the fat tail of the distribution of returns. But the tail index depends on the threshold of this distribution fat tail. We propose a methodology based on the decomposition of the series into positive outliers, Gaussian central part and negative outliers and uses the latter to estimate this cutoff point. Additionally, from this decomposition, we estimate extreme dependence correlation matrix which is used in the measurement of portfolio risk. For a sample consisting of six assets (Bitcoin, Gold, Brent, Standard&Poor-500, Nasdaq and Real Estate index), we find that our methodology presents better results, in terms of normality and volatility of the tail index, than the Kolmogorov–Smirnov distance, and its unnecessary capital consumption is lower. Also, in the measurement of the risk of a portfolio, the results of our proposal improve those of a t-Student copula and allow us to estimate the extreme dependence and the corresponding indexes avoiding the implicit restrictions of the elliptic and Archimedean copulas.0432<a class="citation_author_name" title="Navegar por nombre de Autor de González-Sánchez, Mariano" href="/fez/list/author/González-Sánchez, Mariano/">González-Sánchez, Mariano</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Nave Pineda, Juan M." href="/fez/list/author/Nave Pineda, Juan M./">Nave Pineda, Juan M.</a> . (<span class="citation_date">2023</span>) <a class="citation_title" title="Click para ver : Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0001">Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en International Review of Financial Analysis, está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1016/j.irfa.2023.102512ElsevierGonzález-Sánchez, MarianoNave Pineda, Juan M.International Review of Financial Analysisbibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0001http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-000186engGonzalez_Sanchez_Mariano_distribution_tail.pdfpresmd_Gonzalez_Sanchez_Mariano_distribution_tail.xml1057-5219bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsGonzález-SánchezAcceso abiertohttps://doi.org/10.1016/j.irfa.2023.1025120.962130234232017-12-01T00:00:00Z72024-02-01T12:10:05Z2024-02-01T12:10:05ZAn application of extreme value theory in estimating liquidity riskbibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimations of market risk by adding the VaR of the spread to the risk price. The parametric model is the standard approach used to estimate liquidity risk. As this approach does not generate reliable VaR estimates, we propose estimating liquidity risk using more sophisticated models based on extreme value theory (EVT). We find that the approach based on conditional extreme value theory outperforms the standard approach in terms of accurate VaR estimates and the market risk capital requirements of the Basel Capital Accord.0402<a class="citation_author_name" title="Navegar por nombre de Autor de Benito Muela, Sonia" href="/fez/list/author/Benito Muela, Sonia/">Benito Muela, Sonia</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de López Martín, Carmen" href="/fez/list/author/López Martín, Carmen/">López Martín, Carmen</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Arguedas-Sanz, Raquel" href="/fez/list/author/Arguedas-Sanz, Raquel/">Arguedas-Sanz, Raquel</a> . (<span class="citation_date">2017</span>) <a class="citation_title" title="Click para ver : An application of extreme value theory in estimating liquidity risk" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014">An application of extreme value theory in estimating liquidity risk</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en European Research on Management and Business Economics, está disponible en línea en el sitio web del editor: Elsevier https://doi.org/10.1016/j.iedeen.2017.05.001ElsevierBenito Muela, SoniaLópez Martín, CarmenArguedas-Sanz, RaquelEuropean Research on Management and Business Economicsbibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014157164323engAeguedas_Sanz_Application_extreme.pdfpresmd_Aeguedas_Sanz_Application_extreme.xml2444-8842bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.esLicencia Creative CommonsBenito MuelaAcceso abierto10.1016/j.iedeen.2017.05.0010.9326353734232022-01-01T00:00:00Z62024-01-13T06:47:55Z2024-01-13T06:47:55ZFactorial asset pricing models using statistical anomaliesbibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0004Although up to seven factors market, size, earnings, profitability, investment, momentum, and quality are used to explain asset returns mainly due to anomalies, there is no consensus in the financial literature on the suitability of the factors to include in asset pricing models. Empirical research has found that investors’ responses to market movements up and down are not symmetric. We show a new type of anomaly, statistical anomalies, resulting from decomposing asset returns into three independent time series: positive outliers (the good), negative outliers (the bad), and the remainder or Gaussian returns (the usual). Using a sample consisting of 49 equalweighted US industrial portfolios with daily and monthly frequencies from 1969 to 2020, we find evidence that the good-usual-bad factor model exhibits fewer anomalies, better explanatory power, and greater robustness than the “magnificent seven” factors model. Our results are relevant to investors trading at less than monthly frequencies.0382<a class="citation_author_name" title="Navegar por nombre de Autor de González-Sánchez, Mariano" href="/fez/list/author/González-Sánchez, Mariano/">González-Sánchez, Mariano</a> . (<span class="citation_date">2022</span>) <a class="citation_title" title="Click para ver : Factorial asset pricing models using statistical anomalies" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0004">Factorial asset pricing models using statistical anomalies</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en Research in International Business and Finance, está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1016/j.ribaf.2021.101595ElsevierGonzález-Sánchez, Mariano1Research in International Business and Financebibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0004http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-000460engGonzalez_Sanchez_Mariano_factorial_asset_.pdfpresmd_Gonzalez_Sanchez_Mariano_factorial_asset_.xml0275-5319bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsGonzález-SánchezAcceso abiertohttps://doi.org/10.1016/j.ribaf.2021.1015950.8665190334232017-07-01T00:00:00Z3382017-06-23T19:54:03Z2017-06-23T19:54:03ZAplicaciones de la segmentación jerárquica en medición y evaluación de programas educativos. Ejemplos con un programa de educación financierabibliuned:EducacionXXI-2017-20-2-5045En este trabajo se propone el uso en medición y evaluación educativa de las técnicas de segmentación jerárquica o árboles de decisión, utilizados ya extensamente en otros campos, fundamentalmente en marketing, como técnica de estudio de mercado05872<a class="citation_author_name" title="Navegar por nombre de Autor de Blanco-Blanco, Ángeles" href="/fez/list/author/Blanco-Blanco, Ángeles/">Blanco-Blanco, Ángeles</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de Asensio Muñoz, Inmaculada" href="/fez/list/author/Asensio Muñoz, Inmaculada/">Asensio Muñoz, Inmaculada</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de Carpintero Molina, Elvira" href="/fez/list/author/Carpintero Molina, Elvira/">Carpintero Molina, Elvira</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de Ruiz de Miguel, Covadonga" href="/fez/list/author/Ruiz de Miguel, Covadonga/">Ruiz de Miguel, Covadonga</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Expósito Casas, Eva" href="/fez/list/author/Expósito Casas, Eva/">Expósito Casas, Eva</a> . (<span class="citation_date">2017</span>) <a class="citation_title" title="Click para ver : Aplicaciones de la segmentación jerárquica en medición y evaluación de programas educativos. Ejemplos con un programa de educación financiera" href="/fez/view/bibliuned:EducacionXXI-2017-20-2-5045">Aplicaciones de la segmentación jerárquica en medición y evaluación de programas educativos. Ejemplos con un programa de educación financiera</a>. RecordArtículo de revistaPublishedEducaciónUniversidad Nacional de Educación a Distancia (España), Facultad de EducaciónBlanco-Blanco, ÁngelesAsensio Muñoz, InmaculadaCarpintero Molina, ElviraRuiz de Miguel, CovadongaExpósito Casas, EvaEducación XXI: revista de la Facultad de Educaciónbibliuned:EducacionXXI-2017-20-2-5045http://e-spacio.uned.es/fez/view/bibliuned:EducacionXXI-2017-20-2-5045235257220spaApplications of hierarchical segmentation in measurement and evaluation of educational programs. Examples with a financial education programAplicaciones_segmentacion.pdfpresmd_Aplicaciones_segmentacion.xml1139-613X, EISSN: 2174-5374bibliuned:EducacionXXI-2017-20-2bibliuned:Setarticulobibliuned:SetopenaireEducación XX1 : revista de la Facultad de Educación. Año 2017, n. 20-2Set de artículoSet de openairehttp://creativecommons.org/licenses/by-nc/4.0Licencia Creative CommonsBlanco-BlancoAcceso abierto10.5944/educxx1.190390.7803545634232021-01-01T00:00:00Z42024-03-07T04:56:30Z2024-03-07T04:56:30ZIFRS adoption and unconditional conservatism: an accrual-based analysisbibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0013Purpose In this paper we analyse the effect on unconditional conservatism of the mandatory adoption of International Financial Reporting Standards (IFRS) by the European listed firms in January 2005. Under the hypothesis that accounting regulation influences the accounting conservatism, we use a non-market-based measure of unconditional conservatism – the accrual-based measure proposed by Givoly and Hayn (2000) – to test this effect, controlling for the other determinants of the unconditional conservatism found in the accounting literature.0232<a class="citation_author_name" title="Navegar por nombre de Autor de Fullana, Olga" href="/fez/list/author/Fullana, Olga/">Fullana, Olga</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de González-Sánchez, Mariano" href="/fez/list/author/González-Sánchez, Mariano/">González-Sánchez, Mariano</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Toscano, David" href="/fez/list/author/Toscano, David/">Toscano, David</a> . (<span class="citation_date">2021</span>) <a class="citation_title" title="Click para ver : IFRS adoption and unconditional conservatism: an accrual-based analysis" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0013">IFRS adoption and unconditional conservatism: an accrual-based analysis</a>. RecordArtículo de revistaPublishedEconomíaLa versión registrada de este artículo, publicado por primera vez en International Journal of Accounting and Information Management, está disponible en línea en el sitio web del editor: Emerald, https://doi.org/10.1108/IJAIM-05-2021-0093EmeraldFullana, OlgaGonzález-Sánchez, MarianoToscano, David1International Journal of Accounting and Information Managementbibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0013http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0013848866529engGonzalez_Sanchez_Mariano_IFRS_unconditional.pdfpresmd_Gonzalez_Sanchez_Mariano_IFRS_unconditional.xml1834-7649bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsFullanaAcceso abiertohttps://doi.org/10.1108/IJAIM-05-2021-00930.7803545634232023-04-10T00:00:00Z252023-11-30T06:08:29Z2023-11-30T06:08:29ZClimate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 indexbibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0003This paper assesses whether a climate factor is relevant to measure default risk in a sample of main companies listed on the STOXX Europe 600 exchange from 2010 to 2020. The starting point is a factorial panel datamodel which is subsequently modified to capture the climate impact through different functional forms.We find that relevant differences in default risk exist before and after the Paris Agreement. Our analysis also indicates that this difference cannot be explained by means of traditional financial factors. Finally, we further show that a climate change risk and opportunities label is a significant factor in evaluating credit risk, both prior to and post-Paris agreement. These results are important to the extent that they suggest that companies’ market performance itself allows to measure differences in credit risk between companies and to link them with climate risk factors. This approach may be useful as a complement or in combination with the traditional use of exogenous climate factors that have been widely used in the literature in this field.0792<a class="citation_author_name" title="Navegar por nombre de Autor de Ramos-García, Daniel" href="/fez/list/author/Ramos-García, Daniel/">Ramos-García, Daniel</a>, <a class="citation_author_name" title="Navegar por nombre de Autor de López-Martín, Carmen" href="/fez/list/author/López-Martín, Carmen/">López-Martín, Carmen</a> y <a class="citation_author_name" title="Navegar por nombre de Autor de Arguedas-Sanz, Raquel" href="/fez/list/author/Arguedas-Sanz, Raquel/">Arguedas-Sanz, Raquel</a> . (<span class="citation_date">2023</span>) <a class="citation_title" title="Click para ver : Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index" href="/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0003">Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index</a>. RecordArtículo de revistaPublishedEconomíaLa versión publicada de este artículo, publicado por primera vez en Empirical Economics, está disponible en línea en el sitio web del editor: Springer, https://doi.org/10.1007/s00181-023-02416-8SpringerRamos-García, DanielLópez-Martín, CarmenArguedas-Sanz, RaquelEmpirical Economicsbibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0003http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-000320912114565engArguedas_Sanz_Raquel_Climate_transition_risk.pdfpresmd_Arguedas_Sanz_Raquel_Climate_transition_risk.xml1435-8921bibliuned:DptoEEC-FCEE-Articulosbibliuned:Setarticulobibliuned:SetopenaireDepartamento de Economía de la Empresa y Contabilidad (UNED). ArtículosSet de artículoSet de openairehttp://creativecommons.org/licenses/by-nc-nd/4.0Licencia Creative CommonsRamos-GarcíaAcceso abiertohttps://doi.org/10.1007/s00181-023-02416-80.70390251313104322532131382131382