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A comparison of market risk measures from a twofold perspective: accurate and loss function
(Elsevier, 2023-06-04) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.
A cryptocurrency empirical study focused on evaluating their distribution functions
(Elsevier, 2022-02-14) López Martín, Carmen; Arguedas Sanz, Raquel; Benito Muela, Sonia
This paper thoroughly examines the statistical properties of cryptocurrency returns, particularly focusing on studying which is the best statistical distribution for fitting this type of data. The preliminary statistical study reveals (i) high volatility, (ii) an inverse leverage effect, (iii) skewed distributions and (iv) high kurtosis. To capture the nonnormal characteristics observed in cryptocurrency data, we verified the goodness of fit of a large set of distributions, both symmetric and skewed distributions such as skewed Student-t, skewed generalized t, skewed generalized error and the inverse hyperbolic sign distributions. The results show that the skewed distributions outperform normal and Student-t distributions in fitting cryptocurrency data, although there is no one skewed distribution that systematically better fits the data. In addition, we compare these distributions in terms of their ability to forecast the market risk of cryptocurrencies. In line with the results obtained in the statistical analysis, we find that the skewed distributions provide better risk estimates than the normal and Student-t distributions, both in short and long positions, with SGED being the distribution that provides better results.
A Rebato: Popular uprisings and the striking of the bells in eighteenth-century Castile
(2023-08-18) Hernández Benítez, Mauro
This paper delves into the dynamics of popular revolt in early modern Castile, taking as a viewpoint a revealing feature of these disturbances, the bell-ringing widely known as rebato, an equivalent to the French tocsin. While alarm bells have long been recognised as a prevalent element of popular revolt in Europe from medieval times, they have received limited specific scholarly attention. This study provides an overview of the historical significance of this distinctive sound and examines its material aspects. Subsequently, the paper investigates several instances of bell-ringing during Castilian riots, as reflected in archival sources, and analyses its meaning both for townspeople and the authorities. In attempting to elucidate the reasons behind the aversion this sound provoked among the privileged classes and the authorities, the study explores the political, ritual, and sonic dimensions of the rebato.
A study on the deployment of high-speed broadband networks in NUTS3 regions within the framework of digital agenda for Europe
(Elsevier, 2018) Feijóo González, Claudio; Armuña, Cristina; Arenal, Alberto; Ramos Villaverde, Sergio; Gómez Barroso, José Luis
This paper investigates the high-speed broadband situation in the EU and its prospects. It uses a deployment model to estimate the investment required to meet the Digital Agenda for Europe (DAE) broadband targets set by the European Commission in its Europe 2020 strategy at different stages: as of 2016, after expected operators’ deployment, after public subsidies and leveraged investment, and as expected in 2020. The model uses data at the NUTS3 level, which is the most granular level that has data available on the status of broadband deployment, to arrive at a coherent and comparable framework. From the different perspectives on the investment to meet DAE targets, the paper concludes on the need for an appropriate combination of incumbent and alternative operators investments, public subsidies and leveraged investments, and new investments, both public and private and non-existing as of 2016, examining their feasibility and the impact of different regulatory, technical, and policy strategies.
Academic Performance in Distance Education: Quizzes as a Moderator Variable and Students' Perception and Expectation through Linguistic Analysis
(The Online Learning Consortium, 2022) Parte Esteban, Laura; Mellado Bermejo, Lucía
This study sheds light on the relation between assessment modalities and student behavior through linguistics styles, and academic performance. First, we examine the effect of assessment modalities (self-evaluation quizzes and summative quizzes) on academic performance. Using two modalities of online quizzes, we mainly focus on the student participation, student behavior (the work pacing and time management), type of assessment, and student characteristics. Second, we analyze the student behavior through linguistic styles and third, we examine the levels of anxiety and the expectation of success during the course. Specifically, we compare the linguistic styles of high performing students and low performing students and changes in anxiety levels and expectation of success. Methodologically, this study includes a static and dynamic perspective and combines quantitative analysis with a qualitative approach. The participants are students enrolled in Managerial Accounting for Tourism course in the academic year 2019-2020. The results show that both quizzes modalities are positively associated with academic performance. The linguistic analysis shows differences in the language between high performing students and low performing students. Finally, a pattern of changes on the students' expectations of success and levels of anxiety are identified during the course.
An academic perspective on the entrepreneurship policy agenda: themes, geographies and evolution
(Emerald Publishing, 2020-02-18) Arenal, Alberto; Feijoo, Claudio; Moreno, Ana; Armuña, Cristina; Ramos Villaverde, Sergio
Purpose Academic research into entrepreneurship policy is particularly interesting due to the increasing relevance of the topic and since knowledge about the evolution of themes in this field is still rather limited. The purpose of this paper is to analyse the key concepts, topics, trends and shifts that have shaped the entrepreneurship policy research agenda during the period 1990–2016. Design/methodology/approach This paper uses text mining techniques, cluster analysis and complementary bibliographic data to examine the evolution of a corpus of 1,048 academic papers focused on entrepreneurship-related policies and published during the period 1990–2016 in ten relevant journals. In particular, the paper follows a standard text mining workflow: first, as text is unstructured, content requires a set of pre-processing tasks and then a stemming process. Then, the paper examines the most repeated concepts within the corpus, considering the whole period 1990–2016 and also in five-year terms. Finally, the paper conducts a k-means clustering to divide the collection of documents into coherent groups with similar content. The analyses in the paper also include geographical particularities considering three regional sub-corpora, distinguishing those articles authored in the European Union (EU), the USA and South and Eastern Asia, respectively. Findings Results of the analysis show that inclusion, employment and regulation-related papers have largely dominated the research in the field, evolving from an initial classical approach to the relationship between entrepreneurship and employment to a wider, multidisciplinary perspective, including the relevance of management, geographies and narrower topics such as agglomeration economics or internationalisation instead of the previous generic sectorial approaches. The text mining analysis also reveals how entrepreneurship policy research has gained increasing attention and has become both more open, with a growing cooperation among researchers from different affiliations, and more sophisticated, with concepts and themes that moved the research agenda forward, closer to the priorities of policy implementation. Research limitations/implications The paper identifies main trends and research gaps in the field of entrepreneurship policy providing actionable knowledge by presenting the spectrum of both over-explored and understudied research themes in the field. In practical terms the results of the text mining analysis can be interpreted as a compass to navigate the entrepreneurship policy research agenda. Practical implications The paper presents the heterogeneity of topics under research in the field, reinforcing the concept of entrepreneurship as a multidisciplinary and dynamic domain. Therefore, the definition and adoption of a certain policy agenda in entrepreneurship should consider multiple aspects (needs, objectives, stakeholders, expected outputs, etc.) to be comprehensive and aligned with its complexity. In addition, the paper shows how text mining techniques could be used to map the research activity in a particular field, contributing to the challenge of linking research and policy. Originality/value The exploratory nature of text mining allows us to obtain new knowledge and reveals hidden patterns from large quantities of documents/text data, representing an opportunity to complement other qualitative reviews. In this sense, the main value of this paper is not to advise on the future configuration of entrepreneurship policy as a research topic, but to unwrap the past by unveiling how key themes of the entrepreneurship policy research agenda have emerged, evolved and/or declined over time as a foundation on which to build further developments.
The agricultural productivity gap: a global vision
(Taylor and Francis Group, 2022-06-20) González Esteban, Ángel Luis; Botella Rodríguez, Elisa; https://orcid.org/0000-0001-9604-4822
Productivity in agriculture tends to grow slower than in other sectors. This is a stylized fact that has resulted in a persistent productivity gap, generalized over time and across countries. This paper explores the evolution of this gap from an international perspective, identifying patterns in both developed and developing countries. Empirical regularities are discussed in the light of a literature review on the causes of the gap and its socio-economic effects. Reflections on the nature of the productivity gap often merge with considerations on its social implications and on the policies that should be implemented to deal with it. We refer to this wider political economy issue as the ‘farm problem’, and argue that it has not been given a satisfactory solution, neither in rich nor in developing countries. Although in some industrialized countries the discharging of the countryside has acted as a major source of convergence, there has not been a general reduction in the productivity gap between agriculture and the rest of the economy worldwide, nor are there compelling reasons to assume that this will happen in the future.
An application of extreme value theory in estimating liquidity risk
(Elsevier, 2017-12) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimations of market risk by adding the VaR of the spread to the risk price. The parametric model is the standard approach used to estimate liquidity risk. As this approach does not generate reliable VaR estimates, we propose estimating liquidity risk using more sophisticated models based on extreme value theory (EVT). We find that the approach based on conditional extreme value theory outperforms the standard approach in terms of accurate VaR estimates and the market risk capital requirements of the Basel Capital Accord.
Análisis de las necesidades de inversión en renovación de las infraestructuras del ciclo urbano del agua
(Universidad Nacional de Educación a Distancia (España). Editorial, 2019-10) Gracia de Rentería, Pilar; Ballesteros Olza, Mario; Pérez Foguet, Agustí; Ezbakhe, Fatine; Guerra Librero Castilla, Andrés; Pérez Zabaleta, Amelia
La preocupación por el envejecimiento de las infraestructuras de los servicios de abastecimiento y saneamiento se encuentra cada día más presente entre los distintos grupos de interés del sector del agua. Existe un consenso sobre la creciente necesidad de inversiones orientadas a cubrir los servicios actuales y los retos futuros. Muchas de las redes de abastecimiento se encuentran deterioradas y cercanas al fin de su ciclo de vida. El envejecimiento de las infraestructuras reduce la eficiencia de la capacidad instalada, aumentando los costes no solo financieros, sino también los ambientales, a través de las pérdidas de agua y/o vertidos no tratados, así como los costes sociales, debido al aumento del riesgo de fallos del sistema y de cese del servicio. La probabilidad y el impacto de los fallos en los servicios del ciclo urbano del agua se intensifican en los escenarios de cambio climático, caracterizados por el incremento de la intensidad y de la frecuencia de eventos extremos, así como por el crecimiento y concentración de población en zonas urbanas. Al mismo tiempo, se incide en la importancia de la inversión en nuevas infraestructuras que reduzcan el carácter intensivo de consumo energético de las dotaciones actuales. En el ámbito de la gestión del agua en nuestro país, se constata una falta de información detallada sobre la cuantificación, el estado y las necesidades de inversiones en el ciclo urbano del agua, entendido este como el conjunto de infraestructuras que dan servicio a la población y que distribuyen el recurso hidráulico desde las grandes infraestructuras de regulación, y que posteriormente son recogidas para su tratamiento antes del vertido. Para contribuir al avance de este ámbito de estudio, el 22 de marzo de 2018, la Cátedra AQUAE de Economía de Agua de la UNED y la Asociación Española de Abastecimientos de Agua y Saneamiento (AEAS) firmaron en Madrid un convenio de colaboración para llevar a cabo un proyecto sobre las necesidades de inversión en el ciclo urbano del agua en España.
Análisis de los modelos de integración de la información financiera y no financiera en los grupos cotizados del IBEX 35
(Universidade de Santiago de Compostela, 2021-06-09) Ibáñez Jiménez, Eva María
Since 2018, the obligation to prepare the non-financial information statement (NFI) has been revolutionizing the way in which large Spanish companies structure all their corporate information. Our research aims to identify the new financial and non-financial information integration models in the praxis of the groups listed on the IBEX 35. The reports referring to 2018 have been analyzed: accounting or financial in the strict sense, i.e. audited consolidated annual accounts and management re-ports –including the NFI statement–, and non-financial, i.e. integrated and/or sustainability reports. The results obtained evi-dence a high level of reporting dispersion. Three basic reporting models and up to seven alternative subcategories have been identified. Other results show the rise of the integrated report to the detriment of the sustainability report, the conversion of these voluntary or non-financial reports into legal or partially legal reports, and the constraints regarding the scope of the NFI statement´s verifiability.
Análisis del impacto y actualización hasta 2018 del valor económico y social del Plan MAGNA de cartografía geológica a escala 1:50.000
(Editorial CSIC, 2020-12-30) Herrero de Egaña Espinosa de los Monteros, Alfonso; Vivancos Machimbarrena, José Francisco; García Cortes, Ángel
En un trabajo publicado en 2005, García-Cortés y colaboradores realizaron una evaluación del valor económico y social del Plan MAGNA (García-Cortés et al, 2005a) en base al valor que las empresas usuarias de mapas geológicos daban a este producto, a su disposición al pago por estos mapas y al coste de la inversión geológica sustitutiva necesaria, en caso de su no existencia. El presente estudio parte de este precedente, en primer lugar, analizando el impacto de la difusión en publicaciones científicas de aquel estudio, y en segundo lugar, actualizando el valor económico y social hasta 2018 del Plan MAGNA de cartografía geológica de España a escala 1:50.000. En el presente trabajo se aplica la metodología desarrollada en 2005 a los nuevos datos disponibles entre 2004 y 2018, con el objeto de obtener el valor actualizado de las ventas acumuladas de hojas MAGNA a empresas. Este nuevo proceso de evaluación ha permitido asimismo destacar varios puntos adicionales de interés, como los distintos perfiles de demanda correspondientes para cada diferente tipo de usuario de mapas geológicos en España, así como sobre la excelente rentabilidad obtenida por la inversión pública en dicho Plan MAGNA, gracias a los sustanciales ahorros generados a los distintos usuarios de dichos mapas en el desarrollo de sus actividades económicas, y finalmente sobre el impacto potencial de la actual descarga electrónica gratuita de las hojas geológicas del Instituto Geológico y Minero de España en su labor de diseminación del conocimiento geológico.
Análisis económico del Corredor Ferroviario Mediterráneo en el marco de la Red Transeuropea de Transporte
(Asociación Universitaria Europea de Estudios Comunitarios, 2014) Muñoz Martínez, César; Barreiro Pereira, Fernando; Inglada López de Sabando, Vicente
En la última década las iniciativas gubernamentales, tanto nacionales como comunitarias, han potenciado el desarrollo de infraestructuras de transporte ferroviario con objeto de configurar un sistema de transportes sostenible desde el punto de vista medioambiental. El Corredor Mediterráneo es uno de los corredores incluidos como parte de la red básica en la lista de proyectos de prioritarios las Redes Transeuropeas de Transporte (RTE-T). El presente artículo realiza una estimación de los niveles esperados de demanda en los servicios ferroviarios prestados en la infraestructura con objeto de analizar si se alcanzarán los umbrales mínimos de demanda que harían rentable el proyecto y de contrastar el grado de cumplimiento de los objetivos oficiales en relación a la captación de los flujos de tráfico de mercancías desde la carretera al modo ferroviario en el área afectada por la infraestructura
Análisis estratégico de la industria de la construcción en España
(Instituto de Economía Aplicada a la Empresa, 2018-09-18) Martín García, Rodrigo
El sector de la construcción tiene, en España, una notable importancia, por su aportación al PIB (del entorno del 10,5%) y al empleo (en torno al 10%) y porque aglutina un amplio tejido empresarial. El deterioro de la situación económica y la saturación del mercado residencial han llevado a una fuerte contracción de la actividad constructiva, después una larga época de crecimiento. Es el momento idóneo, por tanto, para realizar un análisis estructural que permita identificar los determinantes de la rentabilidad y de valorar la proyección de las empresas que operan en el mismo. El presente trabajo identifica las reglas de competencia y las expectativas razonables de negocio para los próximos años, empleando para ello el Modelo de las Cinco Fuerzas Competitivas. Este análisis permitirá evaluar las oportunidades y dificultades que encontrarán las empresas constructoras, como instrumento en la toma de decisiones. El éxito de la estrategia dependerá de la gestión de las propias capacidades y fortalezas, especialmente en momentos de cambio en el ambiente competitivo.
Análisis y representación gráfica de funciones matemáticas con Excel
(Asociación Española de Profesores Universitarios de Matemáticas para la Economía y la Empresa, 2017-01-01) Palencia González, Francisco Javier; García Llamas, María del Carmen
En este artículo se va a realizar el análisis y la representación gráfica de una función matemática de una variable mediante la hoja de cálculo Excel. En particular se analizarán diversos aspectos clásicos a la hora de abordar el estudio de funciones: el dominio de la función, la continuidad, las simetrías, los intervalos de crecimiento, los extremos, los intervalos de concavidad y los puntos de inflexión. Y mediante el uso de las funciones gráficas incluidas en la hoja de cálculo se van a representar las funciones de una manera sencilla en un intervalo dado. La consecución del objetivo buscado dado que Excel adolece de funciones explícitas para el análisis de funciones matemáticas se realizará a través de la programación en VBA de una serie de procedimientos, los cuales tras introducir la función, realizan el análisis de sus características mostrando las mismas y procediendo a la representación gráfica de la función.
Analysis and discussion of financial outsourcing case studies in the pharmaceutical industry
(Asociación para el desarrollo de la Ingeniería de la Organización (ADINGOR), 2022-04-01) Morcillo García, Jesús; Rodrigo Moya, Beatriz; Romero Cuadrado, María del Sagrario
Las empresas de muchos sectores en todo el mundo están experimentando una reducción generalizada de los beneficios, principalmente como consecuencia de una reducción de los márgenes operativos. Ante esta situación, las empresas han reaccionado y revisado, dentro de sus gastos estructurales, aquellos que podrían ser objeto de ajuste sin aparentes grandes impactos para las corporaciones. En este estudio se realiza un análisis de las razones que han llevado a las compañías de la industria farmacéutica a explorar modelos de externalización de algunos de los procesos financieros. Para llevar a cabo este diagnóstico de la situación de la externalización en el área financiera, se realizaron entrevistas a directores de la industria farmacéutica. De este estudio se puede inferir que cada compañía farmacéutica se encuentra en una situación distinta en la externalización, pero que en general se han utilizado los modelos sugeridos en la literatura. Por otro lado, en los casos estudiados, se ha podido inferir que las principales razones para llevar a cabo la externalización son comunes en todas las compañías, siendo la reducción de costes la principal razón, si bien, se ha confirmado que existen costes ocultos durante el proceso de implementación.
Analysis of brand influence in the rockets and feathers effect using disaggregated data
(Elsevier, 2020-04-01) Palencia González, Francisco Javier; Navío Marco, Julio; Juberías Cáceres, Gema
This paper studies price asymmetries (the ‘rockets and feathers effect’) at the firm level using an approach that fundamentally differs from the previous literature. The research analyses the Spanish oil market, using more than 11 million daily price records from December, 23, 2014, to December 31, 2017. We apply the most common econometric approach to investigate asymmetry, the error correction model, and find asymmetries for all brands, either classic brands or low-cost flag brands. Classic brands make price adjustments in shorter periods, whereas supermarket brands, as well as independent and low-cost brands, correct prices only slowly. This research makes an original contribution to the study of the rockets and feathers phenomenon using brands as the units of analysis. The speed of price adjustments is especially relevant to understanding oil market price dynamics.
Analysis of organisational innovation in the EU firms: which factors discourage it?
(Inderscience, 2019-08-14) Bujidos Casado, María; Navío Marco, Julio; Rodrigo Moya, Beatriz; Palencia González, Francisco Javier
According to academic literature, organisational innovation is the least researched type of innovation. In this article we delve into the study of organisational innovation by presenting a quantitative analysis at a European Union level based on data from the Eurostat community innovation survey (CIS 2012). Using a logistic model, we observe that there are multiple factors that are having a negative effect on organisational innovation, such as competition in prices, product launches before competitors or the role of the public sector as a customer that provides new and relevant information. Furthermore, the analysis indicates that innovation with external partners shows different dynamics to other types of organisational innovation. In certain cases, the company must open itself up to the outside world and interact with other stakeholders because of factors as lack of demand, lack of funding and the high cost of access to new markets, as the findings confirmed statistically.
Analysis of renewal investment needs of the urban water cycle in Spain
(Universidad Nacional de Educación a Distancia (España). Editorial, 2020-09) Gracia de Rentería, Pilar; Ballesteros Olza, Mario; Pérez Foguet, Agustí; Ezbakhe, Fatine; Guerra Librero Castilla, Andrés; Pérez Zabaleta, Amelia
Analysis of the adoption of customer facing in-store technologies in retail SMEs
(Elsevier, 2020-11) Lorente Martínez, Javier; Navío Marco, Julio; Rodrigo Moya, Beatriz
Brick and mortar stores are suffering the dramatic revolution of the retail sector. Customer facing in-store technologies (CFIST) are a key component of the inevitable transformation of retail stores; yet the reasons to adopt such technologies by business owners may be little known. Based on a TOE and TAM inspired framework, this study analyses the drivers of such decision by small and medium size enterprises using a survey methodology. The results show that the attitude towards technology is the strongest predictor of the intention to adopt CFIST, highlighting the role of the top management in technology decisions. This conclusion has important implications for practitioners. This research is the first to address the adoption of CFIST by SMEs and therefore set the path for further studies about the impact and adoption of in-store technology in SMEs.
An analysis of the behaviour of Spanish society regarding online privacy protection
(Federación Española de Sociología, 2020) Feijóo González, Claudio; Gómez Barroso, José Luis
La privacidad es un fenómeno social cuya descripción no ha recibido la atención que merece dada la creciente revelación y uso de información personal en relaciones privadas y públicas. A partir de una encuesta completada por 1.650 individuos, este artículo investiga las variables que definen a quienes muestran una mayor preocupación por la privacidad en internet y a aquellos que siguen unos hábitos que permiten un mejor control de los datos que ceden. Tener antecedentes de problemas con la seguridad o de irritación por la invasión de la esfera privada es en ambos casos la variable más significativa. Está acompañada por otros factores relacionados con la actividad en internet y experiencia en su uso; las variables socioeconómicas o demográficas juegan un papel secundario.

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