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Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/49182
DC FieldValueLanguage
dc.contributor.authorFernández Pérez, Adriánen_US
dc.contributor.authorFernández Rodríguez, Fernandoen_US
dc.contributor.authorSosvilla Rivero, Simónen_US
dc.date.accessioned2018-11-24T04:56:56Z-
dc.date.available2018-11-24T04:56:56Z-
dc.date.issued2014en_US
dc.identifier.issn1059-0560en_US
dc.identifier.urihttp://hdl.handle.net/10553/49182-
dc.description.abstractA Probit model to forecast the probability of bear markets in the Spanish IBEX 35 is presented, being the explanatory factors selected from a wide set of economic variables like the yield curve of Spain, US and Europe, several macro variables, and numerous leading indicators. A data-guided algorithm is used to render a concise parameterization of this optimal model. Our results suggest that the slopes of US and Europe yield curves have some information content (not implicitly present in the slope of the Spanish yield curve) that helps to better forecast the probability of bear markets.en_US
dc.languageengen_US
dc.relationNuevas Metodologías en la Estimación de la Etti. Aplicaciones en Las Estrategias de Gestión de Renta Fija y en la Predicción Del Ciclo Económico.en_US
dc.relationEl Comportamiento de Los Mercados Cambiarios: Nueva Información, Capacidad Predictiva y Regímenes Cambiarios.en_US
dc.relation.ispartofInternational Review of Economics and Financeen_US
dc.sourceInternational Review of Economics and Finance[ISSN 1059-0560],v. 31 (C), p. 21-33en_US
dc.subject53 Ciencias económicasen_US
dc.subject.otherStock returnsen_US
dc.subject.otherTrading strategiesen_US
dc.subject.otherTerm structure of interest ratesen_US
dc.titleThe term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear marketen_US
dc.typeinfo:eu-repo/semantics/Articleen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.iref.2013.12.004
dc.identifier.scopus84892453503-
dc.identifier.isi000335203100003
dc.contributor.authorscopusid50161225400-
dc.contributor.authorscopusid6603053452-
dc.contributor.authorscopusid6701863324-
dc.description.lastpage33-
dc.description.firstpage21-
dc.relation.volume31-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess-
dc.type2Artículoen_US
dc.contributor.daisngid2763673
dc.contributor.daisngid1514720
dc.contributor.daisngid514725
dc.description.notasJEL Classification: E43; G15; C20en_US
dc.contributor.wosstandardWOS:Fernandez-Perez, A
dc.contributor.wosstandardWOS:Fernandez-Rodriguez, F
dc.contributor.wosstandardWOS:Sosvilla-Rivero, S
dc.date.coverdateMayo 2014
dc.identifier.ulpgcSíes
dc.description.sjr0,851
dc.description.jcr1,704
dc.description.sjrqQ1
dc.description.jcrqQ1
dc.description.ssciSSCI
dc.description.erihplusERIH PLUS
item.fulltextCon texto completo-
item.grantfulltextopen-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameFernández Rodríguez,Fernando Emilio-
crisitem.project.principalinvestigatorAndrada Félix, Julián-
crisitem.project.principalinvestigatorPérez Rodríguez, Jorge Vicente-
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