Please use this identifier to cite or link to this item:
http://hdl.handle.net/10553/73761
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Pérez Rodríguez, Jorge Vicente | en_US |
| dc.contributor.author | Gómez Déniz, Emilio | en_US |
| dc.contributor.author | Sosvilla Rivero,Simón Javier | en_US |
| dc.date.accessioned | 2020-07-23T08:24:57Z | - |
| dc.date.available | 2020-07-23T08:24:57Z | - |
| dc.date.issued | 2021 | en_US |
| dc.identifier.issn | 1062-9769 | en_US |
| dc.identifier.other | Scopus | - |
| dc.identifier.uri | http://hdl.handle.net/10553/73761 | - |
| dc.description.abstract | In this paper, we use a specification of the standardized duration to test unobserved heterogeneity in a nonlinear version based on a self-exciting threshold autoregressive conditional duration model. We illustrate the relevance of this procedure for identifying the presence of heterogeneous agents in the final days of trading of Banco Popular, the first bank rescued by the European Single Resolution Board. | en_US |
| dc.language | eng | en_US |
| dc.relation | Aportaciones A la Toma de Decisiones Bayesianas Óptimas: Aplicaciones Al Coste-Efectividad Con Datos Clínicos y Al Análisis de Riestos Con Datos Acturiales. | en_US |
| dc.relation.ispartof | Quarterly Review of Economics and Finance | en_US |
| dc.source | Quarterly Review of Economics and Finance[ISSN 1062-9769], n. 79, p. 151-160 | en_US |
| dc.subject | 5302 Econometría | en_US |
| dc.subject | 530406 Dinero y operaciones bancarias | en_US |
| dc.subject.other | Bank Failure | en_US |
| dc.subject.other | Conditional Duration | en_US |
| dc.subject.other | Finite And Infinite Mixtures | en_US |
| dc.subject.other | Threshold Models | en_US |
| dc.subject.other | Unobserved Market Heterogeneity | en_US |
| dc.title | Testing unobserved market heterogeneity in financial markets: the case of Banco Popular | en_US |
| dc.type | info:eu-repo/semantics/Article | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | 10.1016/j.qref.2020.05.016 | en_US |
| dc.identifier.scopus | 85087765291 | - |
| dc.contributor.authorscopusid | 56216749800 | - |
| dc.contributor.authorscopusid | 15724912000 | - |
| dc.contributor.authorscopusid | 6701863324 | - |
| dc.investigacion | Ciencias Sociales y Jurídicas | en_US |
| dc.type2 | Artículo | en_US |
| dc.utils.revision | Sí | en_US |
| dc.date.coverdate | Enero 2020 | en_US |
| dc.identifier.ulpgc | Sí | en_US |
| dc.contributor.buulpgc | BU-ECO | en_US |
| dc.description.sjr | 0,687 | |
| dc.description.jcr | 4,324 | |
| dc.description.sjrq | Q2 | |
| dc.description.jcrq | Q1 | |
| dc.description.esci | ESCI | |
| dc.description.miaricds | 11,0 | |
| item.grantfulltext | none | - |
| item.fulltext | Sin texto completo | - |
| crisitem.project.principalinvestigator | Vázquez Polo, Francisco José | - |
| crisitem.author.dept | GIR Finanzas Cuantitativas y Computacionales | - |
| crisitem.author.dept | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
| crisitem.author.dept | GIR TIDES- Técnicas estadísticas bayesianas y de decisión en la economía y empresa | - |
| crisitem.author.dept | IU de Turismo y Desarrollo Económico Sostenible | - |
| crisitem.author.dept | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
| crisitem.author.orcid | 0000-0002-6738-9191 | - |
| crisitem.author.orcid | 0000-0002-5072-7908 | - |
| crisitem.author.parentorg | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
| crisitem.author.parentorg | IU de Turismo y Desarrollo Económico Sostenible | - |
| crisitem.author.fullName | Pérez Rodríguez, Jorge Vicente | - |
| crisitem.author.fullName | Gómez Déniz, Emilio | - |
| crisitem.author.fullName | Sosvilla Rivero,Simón Javier | - |
| Appears in Collections: | Artículos | |
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