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  • Riesgo de Tasas de Interés en Opciones de Intercambio 

    Zurita, Salvador (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    Margrabe (1978) studied the problem of the valuation of the option of exchanging one risky asset for another. One interesting feature of the valuation formula that he obtained was that the value of the option was independent ...
  • ¿Qué Debemos Pedirle a un Candidato? Un Aporte a la Discusión en Torno a la Tasa de Desempleo 

    Chumacero, Rómulo A. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper presents three exercises in order to evaluate the discrepancies between the unemployment rate estimated by the Department of Economics of the University of Chile and the National Bureau of Statistics (INE). It ...
  • A Sequential-trade Microstructure Model with Heterogeneous Information Sets 

    Kawamura, Enrique (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    I present two cases of sequential trade models of market microstructure with heterogeneous information partitions. First, the trader with information can infer the true value only under certain realizations. The main result ...
  • Day-of-the-week and Size Effects in Emerging Markets: Evidence From Chile 

    Marshall, Pablo; Walker, Eduardo (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper studies empirical regularities of daily log returns for the years 1989 through 1996, using aggregate indexes and quintiles rated by size, for a specific emerging market: the case of Chile. Within the context of ...
  • Los Maleficios que Pesan sobre el IVA Provincial: Efecto Magnificación y Paseo de Boletas 

    Schenone, Osvaldo H. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    Two difficulties arise when different jurisdictions have value added taxes at different rates. First, "magnification effect" which consists of an automatic enlargement of the rate differential over and above the one ...
  • Fixed Costs and Asset Market Participation 

    Yaron, Amir; Zhang, Harold H. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper investigates the effects of fixed costs on investor's decision of asset market participation. The model features a continuum of agents with heterogeneous initial wealth and attitude toward risk. We show that ...
  • Estimation of a Stochastic-Volatility Jump-Diffusion Model 

    Craine, Roger; Lochstoer, Lars A.; Syrtveit, Knut (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper makes two contributions: (1) it presents estimates of a continuous-time stochastic-volatility jump-diffusion process (SVJD) using a simulation-based estimator, and (2) it shows that misspecified models that allow ...
  • Domestic Currency Emerging Market Bonds Pricing and Risk Management Aspects 

    Neftci, Salih N. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    Domestic currency emerging market bonds form an indirect way of trading currency and credit risk. It is true that unlike eurobonds or Bradys, domestic currency emerging market bonds have no default risk in a classical ...
  • Do Investment Regulations Compromise Pension Fund Performance? Evidence from Latin America: A Comment 

    Valdés-Prieto, Salvador (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    Most of the policy assertions in the paper by Srinivas and Yermo (1999), published in Revista de Análisis Económico, are not backed by the empirical evidence. Their conclusions that "pension funds (in Chile) did not choose ...
  • Excess Returns and Systemic Risk for Chile and Mexico 

    Lim, Guay C.; McNelis, Paul D. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying ...
  • Quasi-Monte Carlo Algorithm for Pricing Options 

    Li, Jenny X. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    The purpose of this paper is to compare the use of Quasi-Monte Carlo methods, especially the use of recent developed (t; m; s)-nets, versus classical Monte Carlo method for valuing _nancial derivatives. Some research has ...
  • Nonparametric Estimation of Mean and Variance and Pricing of Sec 

    Siddique, Akhtar R. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper develops a filtering-based framework of non-parametric estimation of parameters of a diffusion process from the conditional moments of discrete observations of the process. This method is implemented for interest ...

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