Price and income elasticity of natural gas demand in Europe and the effects of lockdowns due to Covid-19

Autor: Antonio F. Erias, Emma M. Iglesias

Publikováno v: Energy Strategy Reviews, Vol 44, Iss , Pp 100945- (2022)

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 Standard Behaviour (ESB) with a stron

Externí odkaz: https://doaj.org/article/548162c9e2d34be6884170bfb2a025eb

The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models

Autor: Christian M. Dahl, Emma M. Iglesias

Publikováno v: Dahl, C M & Iglesias, E 2022, ' The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models ', Journal of Financial Econometrics, vol. 20, no. 1, pp. 139-159 . https://doi.org/10.1093/jjfinec/nbaa004

We extend the results in Borkovec (2000), Basrak, David, and Mikosch (2002a), Lange (2011), and Francq and Zakoïan (2015) by describing the tail behavior when a risk premium component is added in the mean equation of different conditional heterosked

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a7ee8d9e69a9ae24488da1b7bcc8c6c
https://portal.findresearcher.sdu.dk/da/publications/acf2ae1e-69b5-4f8a-99b0-4ef0bf66fb1f

Asymptotic normality of the MLE in the level-effect ARCH model

Autor: Emma M. Iglesias, Christian M. Dahl

Publikováno v: Dahl, C M & Iglesias, E M 2021, ' Asymptotic normality of the MLE in the level-effect ARCH model ', Statistical Papers, vol. 62, no. 1, pp. 117-135 . https://doi.org/10.1007/s00362-019-01086-y

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 the asymptotic properties also apply

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::131c8506b5dbb18472e713cbce9851a1
https://doi.org/10.1007/s00362-019-01086-y

Banking, currency, stock market and debt crises in Spain, 1850–1995

Autor: Emma M. Iglesias, J. Carles Maixé-Altés

Publikováno v: Applied Economics. 50:2056-2069

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 Spa...

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::49a8f0409b6964cfdc9eea137efe05c5
https://doi.org/10.1080/00036846.2017.1386280

Value at Risk of the main stock market indexes in the European Union (2000–2012)

Autor: Emma M. Iglesias

Publikováno v: Journal of Policy Modeling. 37:1-13

We analyze extreme movements of the main stocks market indexes in the European Union. We find that the Sweden and UK markets are the preferred ones for risk averse investors since they present the best risk-return performance. Moreover, the UK market

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::d422ce4940d203d1084b2e60b7380fb4
https://doi.org/10.1016/j.jpolmod.2015.01.006