In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure ...

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result ...

We evaluate the management of the Northern Stock of Hake during 1986-2001. A stochastic bioeconomic model is calibrated to match the main features of this fishing ground. We show how catches, biomass stock and profits ...

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ...

We analyze an overlapping generations model in which pollution arises, in an accumulatively way, from production. Householders do not care directly about the environment, but pollution leads them to incur health costs when ...

We analyze the formation of partnerships as a sequential choice-of-sizes game with moral hazard within coalitions; once formed, partnerships compete a la Cournot in the marketplace. We show that when moral hazard within ...

This paper discusses the long run effect of changes in the age distribution of Spanish population on the unemployment rate, disaggregated by sex and age segments in the light of cointegration theory given the non stationarity ...

I analyze how changes in life expectancy affect retirement age, education time, and growth rates of economies. I set up a continuous time, overlapping generations model of endogenous growth with externalities in human ...

In this paper we study the effect of population age distribution upon private consumption expenditure in Spain from 1964 to 1997 using aggregate data. We obtain four main results. First, changes in the population pyramid ...

This paper studies if imperfections in the labor market justify a different fiscal policy. We present a dynamic general equilibrium model with a Ramsey planner deciding about public spending, labor taxes and debt. Two ...