Simon Sosvilla-Rivero

UCM Institute for Economic Analysis

Professor

SCHOLARLY PAPERS

98

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19,221

SSRN CITATIONS
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SSRN RANKINGS

Top 11,599

in Total Papers Citations

74

CROSSREF CITATIONS

39

Ideas:
“  I am currently working on the impact of public debt variations on economic growth  ”

Scholarly Papers (98)

1.

European Union Enlargement. Effects on the Spanish Economy

"la Caixa" Economic Studies Series No. 27
Number of pages: 154 Posted: 28 Oct 2002
Universidad Complutense de Madrid (UCM) - European Economy Group (EEG), Grupo AFI, UCM Institute for Economic Analysis and Universidad Complutense de Madrid - GRIPICO
Downloads 1,607 (18,268)
Citation 1

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European Economic Integration, Spain, Econometric Simulations

2.

Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules

FEDEA Int. Economics & Finance DEFI Working Paper No. 00-02
Number of pages: 21 Posted: 27 Jul 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 1,356 (23,652)

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Nearest-neighbour prediction methods, Technical trading rules, Exchange rates

3.

Technical Analysis in the Madrid Stock Exchange

FEDEA Working Paper No. 99-05
Number of pages: 29 Posted: 25 Jul 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 1,108 (31,841)
Citation 1

Abstract:

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Stock market, Technical trading rules

4.

Using Machine Learning Algorithms to Find Patterns in Stock Prices

FEDEA Working Paper No. 2006-12
Number of pages: 20 Posted: 27 Mar 2006
Pedro N. Rodriguez and Simon Sosvilla-Rivero
Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II and UCM Institute for Economic Analysis
Downloads 1,050 (34,362)
Citation 1

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Direction-of-change predictability, Machine learning algorithms, Adaboost

5.

Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market

FEDEA Working Paper No. 2001-14
Number of pages: 10 Posted: 14 Sep 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Universidad de Las Palmas de Gran Canaria.-Dept. Métodos Cuantitativos en Economía y Gestión and UCM Institute for Economic Analysis
Downloads 866 (44,914)
Citation 4

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Technical trading rules, Genetic algorithms, Security markets

6.

Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series

FEDEA Working Paper No. 2002-01
Number of pages: 24 Posted: 14 Feb 2002
University of Castilla-La Mancha, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 857 (45,527)
Citation 2

Abstract:

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Nearest-neighbour prediction methods, Financial markets, Technical trading rules

7.

An Empirical Evaluation of Non-Linear Trading Rules

FEDEA Working Paper No. 2001-16
Number of pages: 21 Posted: 12 Oct 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, University of Las Palmas de Gran Canaria - Faculty of Economic Science, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 728 (56,799)
Citation 3

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Technical trading rules, Nearest neighbor predictors, Security markets

8.

Nearest-Neighbour Predictions in Foreign Exchange Markets

FEDEA Working Paper No. 2002-05
Number of pages: 36 Posted: 14 Feb 2002
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 682 (61,949)
Citation 2

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Nearest-neighbour prediction methods, Exchange rates, Technical trading rules

Technical Analysis in Foreign Exchange Markets: Evidence from the EMS

Number of pages: 21 Posted: 04 Oct 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 635 (67,047)

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Nearest-neighbour prediction methods, Technical trading rules, Exchange rates

Technical Analysis in Foreign Exchange Markets: Evidence from the EMS

Posted: 08 Nov 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science

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Nearest-neighbor prediction methods, Technical trading rules, Exchange rates

10.

Purchasing Power Parity Revisited

Number of pages: 50 Posted: 08 Jan 2004
Simon Sosvilla-Rivero and Emma Garcia
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 531 (84,949)
Citation 1

Abstract:

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Exchange rates, Purchasing Power parity, Cointegration

11.

Forecasting the Dollar/Euro Exchange Rate: Are International Parities Useful?

FEDEA Working Paper No. 2003-15
Number of pages: 14 Posted: 31 Jul 2003
Simon Sosvilla-Rivero and Emma Garcia
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 445 (105,411)
Citation 1

Abstract:

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Forecasting, Purchasing Power Parity, Exchange rates

12.

Genetic Algorithm for Arbitrage with More than Three Currencies

DEFI Working Paper No. 12-04
Number of pages: 13 Posted: 19 Jul 2012
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 400 (119,051)

Abstract:

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arbitrage, foreign exchange market, genetic algorithm

13.

Forecasting Stock Price Changes: Is it Possible?

Number of pages: 31 Posted: 17 Jul 2006
Pedro N. Rodriguez and Simon Sosvilla-Rivero
Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II and UCM Institute for Economic Analysis
Downloads 320 (152,191)

Abstract:

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Stock return predictability, stock movement predictability

14.

Understanding and Forecasting Stock Price Changes

FEDEA Working Paper No. 2006-03
Number of pages: 17 Posted: 14 Feb 2006
Pedro N. Rodriguez and Simon Sosvilla-Rivero
Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II and UCM Institute for Economic Analysis
Downloads 281 (174,422)

Abstract:

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Stock return predictability, Model averaging, Bias-variance decomposition

15.

EU Structural Funds and Spain's Objective 1 Regions: An Analysis Based on the Hermin Model

FEDEA Working Paper No. 2005-24
Number of pages: 31 Posted: 14 Nov 2005
Simon Sosvilla-Rivero
UCM Institute for Economic Analysis
Downloads 271 (180,936)
Citation 2

Abstract:

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European Union, Structural Funds, Regional Convergence, Spain

16.

Public Debt and Economic Growth: Further Evidence for the Euro Area

ICEI WP09/17
Number of pages: 33 Posted: 25 Sep 2017
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 266 (184,369)
Citation 10

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public debt, economic growth, bounds testing, euro area, peripheral euro area countries, central euro area countries

Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention

FEDEA Working Paper No. 99-01
Number of pages: 12 Posted: 19 Feb 2002
UCM Institute for Economic Analysis, University of Las Palmas de Gran Canaria - Faculty of Economic Science and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 263 (185,608)
Citation 3

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Central bank intervention, Technical trading rules, Exchange rates

Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention

Posted: 27 Feb 2002
UCM Institute for Economic Analysis, University of Las Palmas de Gran Canaria - Faculty of Economic Science and University of Las Palmas de Gran Canaria - Faculty of Economic Science

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Central bank intervention, Technical trading rules, Exchange rates

18.

Modelling the Linkages between Us and Latin American Stock Markets

FEDEA Working Paper No. 2002-14
Number of pages: 27 Posted: 24 Jul 2002
José Luis Fernández-Serrano and Simon Sosvilla-Rivero
Universidad Nacional de Educacion a Distancia (UNED) and UCM Institute for Economic Analysis
Downloads 257 (190,859)
Citation 5

Abstract:

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Stock market, Cointegration, Structural change

19.

Testing Chaotic Dynamics Via Lyapunov Exponents

FEDEA Documento de Trabajo 2000-07
Number of pages: 52 Posted: 23 Jul 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 240 (204,020)
Citation 2

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Chaos, Nonlinear Dynamics, Lyapunov exponents, Bootstrapping

20.

Short-Run and Long-Run Effects of Public Debt on Economic Performance: Evidence from EMU Countries

Number of pages: 37 Posted: 15 Sep 2015
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 221 (220,924)
Citation 1

Abstract:

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Public debt, economic growth, bounds testing, euro area, peripheral EMU countries, central EMU countries.

21.

Instability in Cointegration Regressions: Evidence from Inflation Rate Convergence in EU Countries

Estudios de Economia Espanola No. 53
Number of pages: 8 Posted: 23 Jul 2001
Simon Sosvilla-Rivero and Irene Olloqui
UCM Institute for Economic Analysis and University of Zaragoza - Faculty of Business and Economics
Downloads 215 (226,732)

Abstract:

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Inflation, Cointegration, Structural change

22.

A New Test for Chaotic Dynamics Using Lyapunov Exponents

FEDEA Working Paper No. 2003-09
Number of pages: 40 Posted: 05 May 2003
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 210 (231,749)
Citation 1

Abstract:

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Chaos, Nonlinear Dynamics, Lyapunov exponents, Bootstrapping

23.

Price Convergence in the European Union

FEDEA Working Paper No. 2002-12
Number of pages: 15 Posted: 24 Jul 2002
Simon Sosvilla-Rivero and Salvador Gil-Pareja
UCM Institute for Economic Analysis and University of Valencia - Department of Economics
Downloads 205 (236,853)
Citation 1

Abstract:

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Price dispersion, Market integration, European Union

24.

The Reform of the Eu's Cohesion Policy

Elcano Royal Institute ARI No. 100/2004
Number of pages: 9 Posted: 09 Jan 2005
Jose A. Herce and Simon Sosvilla-Rivero
Grupo AFI and UCM Institute for Economic Analysis
Downloads 190 (253,590)
Citation 1

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EU regional policy, EU cohesion, Spain

25.

Immigration and Housing Prices in Spain

FEDEA Working Paper No. 2008-40
Number of pages: 20 Posted: 31 Oct 2008
Simon Sosvilla-Rivero
UCM Institute for Economic Analysis
Downloads 173 (275,546)
Citation 1

Abstract:

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Housing prices, Spain, Autonomous regions

26.

Price Convergence in the European Car Market

FEDEA Working Paper No. 2005-22
Number of pages: 20 Posted: 14 Nov 2005
Salvador Gil-Pareja and Simon Sosvilla-Rivero
University of Valencia - Department of Economics and UCM Institute for Economic Analysis
Downloads 170 (279,745)
Citation 4

Abstract:

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Market integration, Automobiles, European Union, Euro, Exchange rates

27.

European Cohesion Policy and the Spanish Economy: Macroeconomic Evaluation and Prospects for Convergence

FEDEA Working Paper No. 2004-20
Number of pages: 29 Posted: 14 Apr 2005
Simon Sosvilla-Rivero and Jose A. Herce
UCM Institute for Economic Analysis and Grupo AFI
Downloads 151 (308,916)
Citation 1

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European Union, Structural Funds, Cohesion Fund, Community Support Frameworks, Macroeconomic Evaluation

28.

Fear Connectedness Among Asset Classes

Research Institute of Applied Economics Working Paper 2017/03
Number of pages: 42 Posted: 03 Feb 2017
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 150 (310,646)
Citation 1

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Implied volatility indices, Financial market Linkages, Connectedness, Vector Autoregression, Variance Decomposition.

29.

Currency and Commodity Return Relationship Under Extreme Geopolitical Risks: Evidence From the Invasion of Ukraine

Number of pages: 20 Posted: 29 Apr 2022 Last Revised: 21 Feb 2023
Olga Dodd, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
Auckland University of Technology, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 148 (314,047)
Citation 2

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Foreign exchange rates, currency return, commodity return, Russian invasion, Ukraine war, geographic distance

30.

An Eclectic Approach to Currency Crises: Drawing Lessons from the EMS Experience

FEDEA Working Paper No. 2002-22
Number of pages: 43 Posted: 22 Apr 2003
Reyes Maroto Illera, Francisco Perez-Bermejo and Simon Sosvilla-Rivero
Foundation for Applied Economic Research (FEDEA), Foundation for Applied Economic Research (FEDEA) and UCM Institute for Economic Analysis
Downloads 137 (333,907)
Citation 1

Abstract:

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Duration analysis, Currency crises, European Monetary System

31.

The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 During a Bear Market

Number of pages: 29 Posted: 17 Jun 2013
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 133 (341,614)

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Term structure of interest rates, Stock returns, Trading strategies

32.

EMU Sovereign Debt Market Crisis: Fundamentals-Based or Pure Contagion?

Research Institute of Applied Economics Working Paper No. 2014/02
Number of pages: 31 Posted: 09 May 2014
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 131 (345,581)
Citation 6

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sovereign bond spreads, contagion, Granger-causality, time-varying approach, euro area, ordered logit model

33.

Structural Breaks in Volatility: Evidence from the OECD Real Exchange Rates

FEDEA Working Paper No. 2004-22
Number of pages: 23 Posted: 09 Jan 2005
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 130 (347,555)
Citation 2

Abstract:

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Exchange rate regimes, real exchange rate, volatility

34.

Regimen Changes and Duration in the European Monetary System

FEDEA Int. Economics & Finance DEFI Working Paper No. 02-05
Number of pages: 31 Posted: 24 Jul 2002
Simon Sosvilla-Rivero and Reyes Maroto Illera
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 130 (347,555)
Citation 1

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Duration models, exchange rates, European Monetary System

35.
Downloads 129 (349,585)
Citation 1

Export Market Integration in the European Union

FEDEA Working Paper No. 2002-07
Number of pages: 22 Posted: 06 May 2002
Salvador Gil-Pareja and Simon Sosvilla-Rivero
University of Valencia - Department of Economics and UCM Institute for Economic Analysis
Downloads 129 (350,721)
Citation 1

Abstract:

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Export market integration, European Union, Single currency

Export Market Integration in the European Union

Journal of Applied Economics, Vol. 7, No. 2, pp. 271-301, November 2004
Posted: 28 Feb 2005
Salvador Gil-Pareja and Simon Sosvilla-Rivero
University of Valencia - Department of Economics and UCM Institute for Economic Analysis

Abstract:

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export market integration, European Union, exchange rates

36.

Distant or Close Cousins: Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities

Research Institute of Applied Economics, Working Paper 2019/12, 1/74
Number of pages: 74 Posted: 07 Aug 2019
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 127 (353,630)

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Exchange Rates, Cryptocurrencies, Connectedness, Time-Varying Parameters, Stepwise Regressions

37.

Convergence in Social Protection Across EU Countries, 1970-1999

FEDEA Working Paper No. 2003-01
Number of pages: 19 Posted: 25 Feb 2003
UCM Institute for Economic Analysis, Grupo AFI and IndependentBank of Spain
Downloads 127 (353,630)
Citation 1

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Social Protection Expenditure, Convergence, European Union

38.

An Empirical Examination of Exchange-Rate Credibility Determinants in the EMS

FEDEA International Economics & Finance DEFI Working Paper No. 04-01
Number of pages: 8 Posted: 29 Mar 2004
University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 126 (355,745)
Citation 1

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Credibility, political variables, exchange rates, european monetary system

39.

Causality and Contagion in Peripheral EMU Public Debt Markets: A Dynamic Approach

Research Institute of Applied Economics Working Paper 2011/16
Number of pages: 55 Posted: 24 Sep 2011
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 125 (357,857)
Citation 11

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Sovereign bond yields, causality, time-varying contagion, euro area, peripheral EMU countries

40.

The Credibility of the European Monetary System: A Review

Estudios de Economia Espanola Working Paper No. 179
Number of pages: 26 Posted: 14 Apr 2004
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 119 (371,138)

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Credibility, Exchange Rates, Target Zones, European Monetary System

41.

Currency Crises and Political Factors: Drawing Lessons from the EMS Experience

FEDEA Documento de Trabajo Working Paper No. 2004-04
Number of pages: 31 Posted: 14 Apr 2004
Francisco Perez-Bermejo and Simon Sosvilla-Rivero
Foundation for Applied Economic Research (FEDEA) and UCM Institute for Economic Analysis
Downloads 118 (373,326)

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Duration analysis, Political variables, Exchange rates, European Monetary System

42.

On the Bi-Directional Causal Relationship between Public Debt and Economic Growth in EMU Countries

Number of pages: 32 Posted: 11 May 2015
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 115 (380,239)
Citation 12

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Public debt, economic growth, Granger-causality, euro area, peripheral EMU countries, central EMU countries.

43.

Volatility Transmission between Stock and Exchange-Rate Markets: A Connectedness Analysis

BATH ECONOMICS RESEARCH PAPERS, No. 54/16
Number of pages: 32 Posted: 13 Oct 2016
Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 114 (382,612)
Citation 4

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Stock markets, Exchange rates, Market Linkages, Vector Autoregression, Variance Decomposition.

44.

Time Connectedness of Fear

Number of pages: 42 Posted: 20 Oct 2018
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 111 (390,074)

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Implied Volatility Indices, Financial Market Linkages, Connectedness, Vector Autoregression, Variance Decomposition

45.

Volatility Spillovers between Foreign-Exchange and Stock Markets

Bath Economics Research Papers, No. 58/17
Number of pages: 62 Posted: 12 Jan 2017
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 111 (390,074)
Citation 2

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Stock markets, Exchange rates, Market spillovers, Component-GARCH model, Long-term volatility, Short-term volatility

46.

Assessing the Effectiveness of Eu's Regional Policies: A New Approach

CentrA Working Paper No. E2004/29
Number of pages: 19 Posted: 09 Jan 2005
Simon Sosvilla-Rivero, Oscar Bajo‐Rubio and Carmen Díaz‐Roldán
UCM Institute for Economic Analysis, University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 111 (390,074)

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EU's regional policies, community support framework, Hermin-Spain model, Castilla-La Mancha

47.

Implicit Regimes for the Spanish Peseta/Deutschmark Exchange Rate

FEDEA Working Papers on International Economics and Finance No. 2005-21
Number of pages: 28 Posted: 05 Nov 2005
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 107 (400,304)
Citation 1

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Exchange rate regimes, implicit fluctuation bands, exchange rates

48.

Assessing the Credibility of a Target Zone: Evidence from the EMS

Centra Working Paper E2003/33
Number of pages: 44 Posted: 14 Sep 2001
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 104 (408,356)
Citation 13

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Credibility, Target zones, European Monetary System

49.

Resolution of Optimization Problems and Construction of Efficient Portfolios: An Application to the Euro Stoxx 50 Index

Institut de Recerca en Economia Aplicada Regional i Pública, Document de Treball No. 2017/02
Number of pages: 43 Posted: 03 Feb 2017
Universidad Complutense de Madrid (UCM), University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 102 (413,963)

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Optimization Problems, Portfolio Choice, Investment Decisions, Asset Allocation, Econometrics, Minimum-Variance Portfolios, Robust Statistics, Out-Of-Sample Performance

50.

The Failure of the Monetary Model of Exchange Rate Determination

Number of pages: 31 Posted: 07 Apr 2015
Dinçer Afat, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona - Department of Economic Theory, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 99 (422,632)

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exchange rate, flexible price monetary model, forward-looking monetary model, real interest differential model, money demand, purchasing power parity

51.

Historical Financial Analogies of the Current Crisis

Number of pages: 19 Posted: 12 Nov 2011
University of Las Palmas de Gran Canaria - Faculty of Economic Science, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 93 (440,034)

Abstract:

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Financial crisis, Great Recession, Great Depression

52.

Public Debt and Economic Growth: An Empirical Evaluation

Asociación Española de Economía y Finanzas Internacionales, ISSN: 1696-6376
Number of pages: 19 Posted: 15 Feb 2016
María del Carmen Ramos-Herrera and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 92 (443,056)

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Public debt, economic growth

53.

Portfolios in the Ibex 35 Index: Alternative Methods to the Traditional Framework, a Comparative with the Naive Diversification in a Pre- and Post- Crisis Context

Number of pages: 33 Posted: 30 Jun 2015
Universidad Complutense de Madrid (UCM), University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 87 (458,804)

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Portfolio optimization; Portfolio diversification; Markowitz Analysis; Naive 1/N strategy; Snanish Ibex35

54.

Systemic Banks, Capital Composition and Coco Issuance: The Effects on Bank Risk

Number of pages: 23 Posted: 05 Apr 2017
Victor Echevarria-Icaza and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 84 (468,709)
Citation 2

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Contingent capital, banking regulation, risk-taking incentives, asset substitution, systemic risk

55.

Real Exchange Rate Volatility, Financial Crises and Nominal Exchange Regimes

Documentos de economia y finanzas internacionales (DEFI) 12-05
Number of pages: 56 Posted: 19 Oct 2012
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 83 (472,076)
Citation 1

Abstract:

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Financial Crisis, Structural Breaks, Component-GARCH Model

56.

Sovereigns and Banks in the Euro Area: A Tale of Two Crises

Number of pages: 50 Posted: 13 Jan 2015
Marta Gómez-Puig, Simon Sosvilla-Rivero and Manish Singh
Economic Theory Department. University of Barcelona, UCM Institute for Economic Analysis and University of Barcelona
Downloads 81 (479,012)
Citation 3

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Sovereign debt crisis, banking crisis, Granger-causality, time-varying approach, “distance-to-default”, euro area.

57.

Implicit Bands in the Yen/Dollar Exchange Rate

Universidad de La Laguna Economic Working Paper No. 2004-02
Number of pages: 28 Posted: 07 Jan 2005
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 81 (479,012)

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Exchange rate regimes, Implicit fluctuation bands, exchange rates

58.

Volatility in EMU Sovereign Bond Yields: Permanent and Transitory Components

International Economics & Finance DEFI Working Paper No. 11-03
Number of pages: 36 Posted: 09 May 2011
Simon Sosvilla-Rivero and Amalia Morales-Zumaquero
UCM Institute for Economic Analysis and University of Malaga - Departamento de Teoria e Historia Economica
Downloads 79 (485,980)

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Conditional variance, Component model, Cluster analysis, Sovereign bond yields, Economic and Monetary Union

59.

The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials: A Causality Analysis

Number of pages: 15 Posted: 21 Apr 2011
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 75 (500,728)

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Causality, Exchange rate, Long-term interest rates, Rolling regression

60.

Inflation, Real Economic Growth and Unemployment Expectations: An Empirical Analysis Based on the ECB Survey of Professional Forecasters

Documentos De Economía Y Finanzas Internacionales, Working Papers on International Economics and Finance, DEFI 17-02, February 2017
Number of pages: 29 Posted: 11 Mar 2017
María del Carmen Ramos-Herrera and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 72 (512,156)

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inflation, real economic growth, unemployment, expectations, euro area

61.

Volatility Spillovers in EMU Sovereigns Bond Markets

DEFI 15-03
Number of pages: 30 Posted: 12 Feb 2015
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 72 (512,156)
Citation 3

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Sovereign debt crisis, Euro area, Market Linkages, Vector Autoregression, Variance Decomposition

62.

Credibility and Duration in Target Zones: Evidence from the EMS

FEDEA Working Paper No. 2003-19
Number of pages: 42 Posted: 12 Nov 2003
Simon Sosvilla-Rivero and Francisco Perez-Bermejo
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 70 (520,013)
Citation 3

Abstract:

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Credibility, Currency crises, Exchange rates, European Monetary System

63.

Heterogeneity in the Debt-Growth Nexus: Evidence from EMU Countries

BATH Economics Research Paper No. 61/17
Number of pages: 36 Posted: 03 Apr 2017
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 67 (532,265)
Citation 2

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Public Debt, Economic Growth, Heterogeneity, Euro Area, Peripheral EMU Countries, Central EMU Countries

64.

Exchange-Rate Regimes and Inflation: An Empirical Evaluation

Working Papers in International Economics and Finance 2014-02
Number of pages: 18 Posted: 24 Feb 2014
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 67 (532,265)

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Exchange rate regime, CPI inflation rate

65.

On the Credibility of the Irish Pound in the EMS

Foundation for Applied Economic Studies (FEDEA) Working Paper No. 2000-14
Number of pages: 31 Posted: 17 Sep 2001
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 67 (532,265)

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Credibility, Target zone, Irish Pound

66.

The Robustness of the Sovereign-Bank Interconnection: Evidence from Contingent Claims Analysis

IREA Working Paper 2018/04
Number of pages: 53 Posted: 07 Mar 2018
Marta Gómez-Puig, Manish Singh and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, University of Barcelona and UCM Institute for Economic Analysis
Downloads 66 (536,508)

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sovereign risk, bank risk, sovereign-bank nexus, contingent claims

67.

Exchange-Rate Regimes and Economic Growth: An Empirical Evaluation

Working Papers in International Economics and Finance 14-01
Number of pages: 11 Posted: 24 Feb 2014
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 66 (536,508)

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Exchange rate regime, economic growth

68.

On the Forecast Accuracy and Consistency of Exchange Rate Expectations: The Spanish PwC Survey

DEFI Working Paper No. 12-02
Number of pages: 9 Posted: 24 Feb 2012
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 65 (540,784)
Citation 1

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Exchange rates, Forecasting, Expectations, Panel data, Econometric models

69.

Countercyclical Labor Productivity: The Spanish Anomaly

Research Institute of Applied Economics Working Paper 2017/12
Number of pages: 29 Posted: 09 Jun 2017
Borja Jalón, Simon Sosvilla-Rivero and Jose A. Herce
Universidad Complutense de Madrid (UCM), UCM Institute for Economic Analysis and Grupo AFI
Downloads 63 (549,455)

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Business cycle, labor productivity, labor regulation, multifactor productivity.

70.

The Relationship between Public Debt and Economic Growth in Advanced, Emerging and Developing Economies: Differences and Determining Factors

Instituto de Estudios Fiscales, Working Paper 2/2022
Number of pages: 29 Posted: 28 Mar 2022
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 60 (562,821)
Citation 2

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Public debt, Economic growth, Dynamic heterogeneity, Grouped fixed-effects, Panel data, Panel regression analysis

71.

An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis

Number of pages: 38 Posted: 08 Mar 2014
Economic Theory Department. University of Barcelona, UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 60 (562,821)
Citation 2

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Sovereign bond spreads, Panel data, Eurozone

72.

Yields on Sovereign Debt, Fragmentation and Monetary Policy Transmission in the Euro Area: A GVAR Approach

Number of pages: 32 Posted: 11 Feb 2017
Victor Echevarria-Icaza and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 59 (567,475)

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monetary policy, spillovers, euro area crisis

73.

Connectedness of Stress in EMU Bank and Sovereign CDS: The Role Policy Measures 2008-2014

Number of pages: 28 Posted: 02 Feb 2016
Victor Echevarria-Icaza and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 58 (572,102)
Citation 1

Abstract:

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Connectedness, Bank risk, Sovereign risk, EMU

74.

Political and Institutional Factors in Regime Changes in the ERM: An Application of Duration Analysis

International Economics & Finance DEFI Working Paper No. 07-05
Number of pages: 41 Posted: 21 Nov 2007
Simon Sosvilla-Rivero and Francisco Pérez-Bermejo
UCM Institute for Economic Analysis and KPMG-Spain
Downloads 58 (572,102)

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Duration analysis, Political variables, Exchange rates, European Monetary System

75.

Further Evidence on Implicit Bands in the Yen/Dollar Exchange Rate

FEDEA Working Paper No. 2006-19
Number of pages: 29 Posted: 06 Jul 2006
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 58 (572,102)

Abstract:

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Exchange rate regimes, implicit fluctuation bands, exchange rates

76.

A Contribution to the Empirics of Convergence in Real GDP Growth: The Role of Financial Crises and Exchange-Rate Regimes

Number of pages: 25 Posted: 08 Mar 2014
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 57 (576,904)
Citation 6

Abstract:

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Convergence indicators, financial crises, nominal exchange-rate regimes.

77.

Inflation Expectations in Spain: The Spanish PwC Survey

Number of pages: 14 Posted: 02 Feb 2013
María del Carmen Ramos-Herrera and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 55 (586,506)
Citation 1

Abstract:

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inflation, forecasting, expectations, panel data, econometric models

78.

Analysis of the Evolution of Sovereign Bond Yields by Wavelet Techniques

Number of pages: 14 Posted: 10 Jan 2015
David Chinarro-Vadillo, Eduardo Martinez-Budria and Simon Sosvilla-Rivero
San Jorge University, Universidad de La Laguna and UCM Institute for Economic Analysis
Downloads 53 (596,303)

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sovereign bond, wavelet, coherence, entropy, time series, correlation, comovement

79.

Forecasting Emerging Market Currencies: Are Inflation Expectations Useful?

Number of pages: 31 Posted: 31 Oct 2019
Alberto Fuertes and Simon Sosvilla-Rivero
Banco de España and UCM Institute for Economic Analysis
Downloads 52 (601,609)

Abstract:

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Forecasting, Purchasing power parity, Exchange rates, Inflation expectations

80.

Has the ECB’s Monetary Policy Prompted Companies to Invest or Pay Dividends?

Research Institute of Applied Economics Working Paper 2019/01 1/39 pág
Number of pages: 39 Posted: 23 Jan 2019
Lior Cohen, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 50 (612,022)
Citation 2

Abstract:

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ECB’s monetary policy, capital structure, leverage, quantitative easing, capital expenditure, dividend’s policy, shareholder yield

81.

Causality and Contagion in EMU Sovereign Debt Markets

Research Institute of Applied Economics Working Paper 2014/03
Number of pages: 34 Posted: 08 Mar 2014
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 50 (612,022)
Citation 2

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Sovereign bond yields, Granger-Causality, Contagion, Euro area.

82.

Convergence in Car Prices Among European Countries

Documento De Trabajo Paper No. 517
Number of pages: 60 Posted: 03 May 2011
Simon Sosvilla-Rivero and Salvador Gil-Pareja
UCM Institute for Economic Analysis and University of Valencia - Department of Economics
Downloads 49 (617,183)

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Market integration, Automobiles, European Union, Stochastic convergence, Deterministic convergence, Panel stationarity

83.

Forward Looking Banking Stress in EMU Countries

Number of pages: 30 Posted: 25 Sep 2014
Manish Singh, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 47 (628,002)
Citation 2

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contingent claim analysis, distance-to-default, systemic risk.

Dynamic Connectedness between Credit and Liquidity Risks in Emu Sovereign Debt Markets

Number of pages: 78 Posted: 29 Sep 2022
Marta Gómez-Puig, Mary Pieterse-Bloem and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, Erasmus Research Institute of Management (ERIM) and UCM Institute for Economic Analysis
Downloads 24 (814,539)

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Liquidity risk, Credit Risk, Eurozone sovereign bonds, MTS bond market, Dynamic connectedness, Time-varying parameters

Dynamic Connectedness between Credit and Liquidity Risks in EMU Sovereign Debt Markets

Number of pages: 78 Posted: 08 Dec 2022
Marta Gómez-Puig, Mary Pieterse-Bloem and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, Erasmus Research Institute of Management (ERIM) and UCM Institute for Economic Analysis
Downloads 22 (823,146)

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Liquidity risk, Credit risk, Eurozone sovereign bonds, MTS bond market, dynamic connectedness, Time-varying parameters

85.

Re-Examining the Debt-Growth Nexus: A Grouped Fixed-Effect Approach

Number of pages: 47 Posted: 09 Jul 2019
Economic Theory Department. University of Barcelona, UCM Institute for Economic Analysis and Jaume I University
Downloads 46 (633,456)

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public debt, economic growth, heterogeneity, grouped fixed-effects, debt-growth link, panel data, multinomial logit regression

86.

Debt-Growth Linkages in EMU Across Countries and Time Horizons

Number of pages: 38 Posted: 05 Jul 2016
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 45 (639,061)
Citation 3

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Public debt, economic growth, bounds testing, euro area, peripheral EMU countries, central EMU countries

87.

Financial Stress Transmission in EMU Sovereign Bond Market Volatility: A Connectedness Analysis

Number of pages: 36 Posted: 04 Feb 2015
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 44 (644,956)
Citation 3

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Sovereign debt crisis, Euro area, Market Linkages, Vector Autoregression, Variance Decomposition

88.

Seeking Price and Macroeconomic Stabilisation in the Euro Area: The Role of House Prices and Stock Prices

Number of pages: 35 Posted: 18 May 2017
Imran Shah and Simon Sosvilla-Rivero
University of Bath and UCM Institute for Economic Analysis
Downloads 43 (650,707)

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Stock prices, House prices, Inflation targeting, Macroeconomic stabilization, Euro area.

89.

Bank Risk Behavior and Connectedness in EMU Countries

Number of pages: 44 Posted: 19 Jun 2015
Manish Singh, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 42 (656,481)
Citation 1

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Contingent claim analysis, Distance-to-default, Banking risk

90.

Incorporating Creditors' Seniority into Contingent Claim Models: Applicarion to Peripheral Euro Area Countries

Research Institute of Applied Economics, Working Paper 2018/03, 1/54 pág
Number of pages: 54 Posted: 29 Jan 2019
Marta Gómez-Puig, Manish Singh and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, University of Barcelona and UCM Institute for Economic Analysis
Downloads 39 (674,713)

Abstract:

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sovereign risk, bank risk, sovereign-bank nexus, contingent claims

91.

'Incorporating Creditors' Seniority into Contingent Claim Models: Application to Peripheral Euro Area Countries'

IREA Working Paper 2018/03
Number of pages: 54 Posted: 07 Mar 2018
Marta Gómez-Puig, Manish Singh and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, University of Barcelona and UCM Institute for Economic Analysis
Downloads 38 (680,983)

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sovereign default risk, peripheral euro area countries, contingent claims, distance-to-default

92.

The Euro and the Volatility of Exchange Rates

DEFI Working Paper No. 10-01
Number of pages: 24 Posted: 17 Jul 2010
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 37 (687,349)
Citation 1

Abstract:

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Euro, multiple structural breaks, volatility

93.

Nonfinancial Debt and Economic Growth in Euro-Area Countries

Institut de Recerca en Economia Aplicada Regional i Pública Document de Treball 2017/14 1/41 pág. - Research Institute of Applied Economics Working Paper 2017/14 1/41 pág.
Number of pages: 41 Posted: 20 Jul 2017
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 31 (727,967)
Citation 1

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public debt, household debt, nonfinancial corporate debt, economic growth, heterogeneity, euro area, peripheral EMU countries, central EMU countries

94.

Increasing Contingent Guarantees: The Asymmetrical Effect on Sovereign Risk of Different Government Interventions

Research Institute of Applied Economics Working Paper 2019/14
Number of pages: 41 Posted: 25 Sep 2019
Manish Singh, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 30 (735,106)

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sovereign risk, financial assistance, fiscal capacity, bailout, contingent guarantee

95.

Testing for Private Information Using Trade Duration Models with Unobserved Market Heterogeneity: The Case of Banco Popular

Research Institute of Applied Economics Working Paper 2019/07
Number of pages: 23 Posted: 09 May 2019
Jorge Pérez Rodríguez, Emilio Gómez-Déniz and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Universidad de Las Palmas de Gran Canaria and UCM Institute for Economic Analysis
Downloads 30 (735,106)

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conditional duration, threshold models, finite and infinite mixtures, private information, bank failure

96.

Detection of Implicit Fluctuation Bands in the European Union Countries

Number of pages: 21 Posted: 19 May 2015
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 21 (805,085)

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Exchange-rate regimes, Implicit fluctuation bands, Exchange rates, De facto and de iure fixed regimes

97.

Detection of Implicit Fluctuation Bands and Their Credibility in Candidate Countries

Number of pages: 37 Posted: 19 May 2015
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 21 (805,085)

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Exchange-rate regimes; implicit fluctuation bands; credibility; exchange rates

98.

The Economic Effects of Fiscal Policy: Further Evidence for Spain

The Quarterly Review of Economics and Finance, Volume 86, November 2022, Pages 305-313
Number of pages: 32 Posted: 07 Sep 2022
Simon Sosvilla-Rivero and Juan J. Rubio-Guerrero
UCM Institute for Economic Analysis and Universidad de Castilla-La Mancha
Downloads 10 (903,246)

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Fiscal policy, Public expenditure, Tax revenues, ARDL models, NARDL models.

Other Papers (1)

Total Downloads: 66
1.

Uncovering Linkages in International Financial Markets Via Boosting

FEDEA Working Paper No. 2004-23
Number of pages: 25 Posted: 07 Jan 2005 Last Revised: 22 Sep 2011
Simon Sosvilla-Rivero and Pedro N. Rodriguez
UCM Institute for Economic Analysis and Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II
Downloads 66

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International stock markets, Causality