Publicaciones - Grupo de Investigación: Finanzas Cuantitativas y Computacionales

A bivariate response model for studying the marks of two dependent higher education courses
E. Gómez-Déniz, N. Dávila, M.D. García-Artiles. SORT-Statistics and Operations Research Transactions, 2017 (Accepted).   Fulltext   Abstract
Journal article

Stochastic frontier models with dependent errors based on normal and exponential margins
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Journal of Quantitative Methods for Economics and Business Administration, 2017, 23, pp. 3 - 23.   Fulltext   Abstract
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An evolving model for the lodging-service network in a tourism destination
J.M. Hernández, C. González-Martel. Physica A: Statistical Mechanics and its Applications , 2017, 482, pp. 296 - 307.   Fulltext
Journal article

Modelling the asymmetric probabilistic delay of aircraft arrival
J.V. Pérez-Rodríguez, J.M. Pérez Sánchez, E. Gómez-Déniz. Journal of Air Transport Management, 2017, 62, pp. 90 - 98.   Fulltext   Abstract
Journal article

Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?
J. Andrada-Félix, F. Fernández-Rodríguez, A.M. Fuertes. International Journal of Forecasting, 2016, 32 (3), pp. 695 - 715.   Fulltext   Abstract
Journal article

Portfolios in the Ibex 35 before and after the Global Financial Crisis
V.M. Adame, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Applied Economics, 2016 (In Press).   Fulltext   Abstract
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Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Communications in Statistics -Theory and Methods, 2016 (Accepted).   Fulltext   Abstract
Journal article

International trade and tourism flows: An extension of the gravity model
M. Santana-Gallego, F.J. Ledesma-Rodríguez, J.V. Pérez-Rodríguez. Economic Modelling, 2016, 52 (Part B), pp. 1026 - 1033.   Fulltext   Abstract
Journal article

The euro effect: Tourism creation, tourism diversion and tourism potential within the European Union
M. Santana Gallego, F. Ledesma Rodríguez, J.V. Pérez-Rodríguez. European Union Politics, 2016, 17 (1), pp. 46 - 68.   Fulltext   Abstract
Journal article

The inter-relationship between rural and mass tourism: The case of Catalonia, Spain
J.M. Hernández, R. Suárez-Vega, Y. Santana-Jiménez. Tourism Management, 2016, 54, pp. 43 - 57.   Fulltext   Abstract
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Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility
F. Fernández-Rodríguez, M. Gómez-Puig, S. Sosvilla-Rivero. Journal of International Financial Markets, Institutions & Money, 2016 (In Press).   Fulltext   Abstract
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Determinantes de estabilidad cambiaria en países miembros y candidatos de la Unión Europea: Un análisis basado en algoritmos genéticos
M.C. Ramos-Herrera, E. Acosta-González. Cuadernos de Economía, 2016 (In Press).   Fulltext   Abstract
Journal article

Conditional duration model and unobserved market heterogeneity of traders. An infinite mixture of Non-Exponentials
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Colombian Journal of Statistics, 2016, 39 (2), pp. 307 - 325.   Fulltext
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Modelling time-varying asymmetric information component of transaction costs
J.V. Pérez-Rodríguez, M.A. Negrín. Spanish Journal of Finance and Accounting , 2016, 45 (4), pp. 440 - 465.   Fulltext   Abstract
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Introducción a las técnicas de muestreo
J. Boza-Chirino, J.V. Pérez-Rodríguez, J. De León-Ledesma. 2016. Madrid: Pirámide. ISBN: 978-84-9042-081-2.
Book

Random tests combining Mathematica package and Latex compiler
E. Gómez-Déniz, N. Dávila, M.D. García-Artiles. International Journal of Software Engineering & Applications (IJSEA), 2016, 7 (4), pp. 1 - 10.   Fulltext   Abstract
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Stock-bond decoupling before and after the 2008 crisis
E. Acosta-González, J. Andrada-Félix, F. Fernández-Rodríguez. Applied Economics Letters, 2016, 23 (7), pp. 465 - 470.   Fulltext   Abstract
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Introducción a la modelización de la volatilidad financiera
J.V. Pérez-Rodríguez. 2016. Las Palmas de Gran Canaria: Servicio de Publicaciones y Difusión Científica de la ULPGC. ISBN: 978-84-9042- 253-3.
Book

Volatility spillovers in EMU sovereign bond markets
F. Fernández-Rodríguez, M. Gómez-Puig, S. Sosvilla-Rivero. International Review of Economics & Finance, 2015, 39, pp. 337 - 352.   Fulltext   Abstract
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Closed-form solution for a bivariate distribution in stochastic frontier models with dependent errors
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Journal of Productivity Analysis, 2015, 43 (2), pp. 215 - 223.   Fulltext   Abstract
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Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market
J. Andrada-Félix, A. Fernández Pérez, F. Fernández-Rodríguez. SERIEs, 2015, 6 (2), pp. 207 - 245.   Fulltext   Abstract
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On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
E. Acosta-González, R. Armas-Herrera, F. Fernández-Rodríguez. Quantitative Finance, 2015, 15 (6), pp. 1075 - 1091.   Fulltext   Abstract
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Testing dependence between GDP and tourism's growth rates
J.V. Pérez-Rodríguez, F. Ledesma-Rodríguez, M. Santana Gallego. Tourism Management, 2015, 48 (1), pp. 268 - 282.   Fulltext   Abstract
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Spread component costs and stock trading characteristicas in the Spanish Stock Exchange. Two flexible fractional response models
J.V. Pérez-Rodríguez, E. Gómez-Déniz. Quantitative Finance, 2015, 15 (12), pp. 1943 - 1962.   Fulltext   Abstract
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The influence of remoteness and isolation in the rural tourism accommodation service among Eastern and Western destinations
Y. Santana-Jiménez, Y.Y. Sun, J.M. Hernández, R. Suárez-Vega. Journal of Travel Research, 2015, 54 (3), pp. 380 - 395.   Fulltext   Abstract
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The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market
A. Fernández-Pérez, F. Fernández-Rodríguez, S. Sosvilla-Rivero. International Review of Economics and Finance, 2014, 31, pp. 21 - 33.   Fulltext   Abstract
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Forecasting Financial Failure of Firms via Genetic Algorithms
E. Acosta-González, F. Fernández-Rodríguez. Computational Economics, 2014, 43 (2), pp. 133 - 157.   Fulltext   Abstract
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La estructura temporal de los tipos de interés: estrategias de negociación en renta fija
J. Andrada-Félix, A. Fernández- Pérez, F. Fernández-Rodríguez. Cuadernos de Economía, 2014, 37 (105), pp. 131 - 149.   Fulltext   Abstract
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Manual Básico de Matemáticas Empresariales
E. Gómez-Déniz, N. Dávila, P. Dorta-González, M.D. García-Artiles, J.M. Hernández. 2014. Madrid: Delta Publicaciones. ISBN: 978-84-92954-94-0.   Fulltext   Abstract
Book

An empirical examination of the determinants of the shadow economy
E. Acosta-González, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Applied Economics Letters, 2014, 21 (5), pp. 304 - 307.   Fulltext   Abstract
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Elementos de Cálculo para Matemáticas Empresariales
E. Gómez-Déniz, N. Dávila, C. González-Martel. 2014. Madrid: Delta publicaciones. ISBN: 978-84-15581-83-3.   Fulltext   Abstract
Book

El modelo de Poisson generalizado inflado de ceros: una aplicación en el entorno educativo universitario
M.D. García-Artiles, E. Gómez-Déniz, N. Dávila. Rect@, 2014, 15 (2), pp. 159 - 171.   Fulltext   Abstract
Journal article

International trade gravity equations and tourism. An application for intra-Latin American trade flows
M. Santana Gallego, F.J. Ledesma-Rodríguez, J.V. Pérez-Rodríguez. 2014. In: Current Issues in International Trade: Methodologies and Development Implications for the World Economy Vol. 1 (Gouranga G. Das, Ph.D, Eds.). New York: Nova Publishers, pp. 111 - 126. ISBN: 978-63321-405-7.   Fulltext   Abstract
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Prácticas de econometría dinámica.
J.V. Pérez-Rodríguez. 2013. Las Palmas de Gran Canaria: Univ. Las Palmas de Gran Canaria. ISBN: 978-84-9042-081-2.   Fulltext   Abstract
Book

Metodología para la estimación de los atractivos de un destino turístico rural
J.M. Hernández, R. Suárez-Vega, Y. Santana-Jiménez. 2013. In: Turismo rural y en áreas protegidas Vol. Chapter 4 (González Hernández, M, León González, C, De León Ledesma, J. y Moreno Gil, S, Eds.). Madrid: Síntesis, pp. 67 - 82. ISBN: 978-84-995887-1-1.   Fulltext   Abstract
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La estructura temporal de los tipos de interés: conceptos y procedimientos de estimación
J. Andrada-Félix, A. Fernández Pérez, F. Fernández-Rodríguez. Cuadernos de Economía, 2013, 36 (101), pp. 53 - 66.   Fulltext   Abstract
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Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples
J.V. Pérez-Rodríguez, J. Andrada-Félix. Computational Statistics, 2013, 28 (2), pp. 701 - 734.   Fulltext   Abstract
Journal article

Estimating the environmental attractions of rural tourism lodging units in La Gomera island, Spain
Y. Santana-Jiménez, J.M. Hernández, R. Suárez-Vega. European Journal of Tourism Research, 2013, 6 (2), pp. 132 - 140.   Fulltext   Abstract
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Assessing the Spatial and Environmental Characteristics of Rural Tourism Lodging Units Using a Geographical Weighted Regression Model
R. Suárez-Vega, L. Casimiro, E. Acosta-González, J.M. Hernández. 2013. In: Quantitative Methods in Tourism Economic Vol. 1 . Berlín: Springer-Verlag, pp. 195 - 212. ISBN: 978-3-7908-2879-5.   Fulltext   Abstract
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An Empirical Exploration of the Causes of the 2008 Financial Crisis
E. Acosta-González, F. Fernández-Rodríguez, S. Sosvilla-Rivero. 2013. In: Financial Crises: Identification, Forecasting and Effects on Transition Economies Vol. 1 (Cooper A. Hawthorne, Eds.). London: Nova Science Publishers, pp. 147 - 162. ISBN: 978-1-62808-293-7.   Fulltext   Abstract
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Genetic Algorithm for Arbitrage with More than Three Currencies
A. Fernández-Pérez, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Technology and Investment, 2012, 3 (3), pp. 181 - 186.   Fulltext   Abstract
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Technical rules based on nearest-neighbour predictions optimised by genetic algorithms: Evidence from the Madrid stock market
C. González-Martel, F. Fernández-Rodríguez, Sosvilla-Rivero, S.. 2012. In: Progress in Financial Markets Research Vol. 8 (Catherine Kyrtsou, Costas Vorlow, Eds.). Huntington. New York: Nova Science Publishers, pp. 137 - 166. ISBN: 978-1-61122-864-9.   Fulltext   Abstract
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Exploiting trends in the foreign exchange markets
A. Fernández-Pérez, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Applied Economics Letters, 2012, 19 (6), pp. 591 - 597.   Fulltext   Abstract
Journal article

Does innovation in obesity drugs affect stock markets? An event study analysis
J.V. Pérez-Rodríguez, B. González López-Valcárcel. Gaceta Sanitaria, 2012, 26 (4), pp. 352 - 359.   Fulltext   Abstract
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Do product innovation and news about the R&D process produce large price changes and overreaction? The case of pharmaceutical stock prices
J.V. Pérez-Rodríguez, B. González López-Valcárcel. Applied Economics, 2012, 44 (17), pp. 2217 - 2229.   Fulltext   Abstract
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Parallel genetic algorithms for stock market trading rules
J. Strassburg, C. González-Martel, V. Alexandrov. Procedia Computer Science, 2012, 9, pp. 1306 - 1313.   Fulltext   Abstract
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Detecting trends in the foreign exchange markets
A. Fernández-Pérez, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Applied Economics Letters, 2012, 19 (5), pp. 493 - 503.   Fulltext   Abstract
Journal article

Historical Financial Analogies of the current crisis
J. Andrada-Félix, F. Fernández-Rodríguez, S. Sosvilla Rivero. Economics Letters, 2012, 116 (2), pp. 190 - 192.   Fulltext   Abstract
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On factors explaining the 2008 financial crisis
E. Acosta-González, F. Fernández-Rodríguez, S. Sosvilla Rivero. Economics Letters, 2012, 115 (2), pp. 215 - 217.   Fulltext   Abstract
Journal article

Genetic Algorithm for Arbitrage with more than three Currencies
A. Fernández Pérez, F. Fernández-Rodríguez, S. Sosvilla Rivero. Technology and Investment, 2012, 3, pp. 181 - 186.   Fulltext   Abstract
Journal article

Stock Market Trends during the Crisis: An Analysis based on Taylor’s Metodology
A. Fernández-Pérez, F. Fernández-Rodríguez, J. Andrada-Félix. International Journal of Humanities and Social Science, 2011, 1 (5), pp. 33 - 38.   Fulltext   Abstract
Journal article

Tourism and trade in small island regions: the case of the Canary Islands
M. Santana-Gallego, F. Ledesma-Rodríguez, J.V. Pérez-Rodríguez. Tourism Economics, 2011, 17 (1), pp. 107 - 125.   Fulltext   Abstract
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Monte Carlo scalable algorithms for Computational Finance
V.N. Alexandrov, C. González-Martel, J. Strassburg. Procedia Computer Science, 2011, 4, pp. 1708 - 1715.   Fulltext   Abstract
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Spatial and environmental characteristics of rural tourism lodging units
Y. Santana-Jiménez, R. Suárez-Vega, J.M. Hernández. Anatolia: An International Journal of Tourism and Hospitality Research , 2011, 22 (1), pp. 89 - 101.   Fulltext   Abstract
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Probability of an incoming order signal
J.V. Pérez-Rodríguez. Quantitative Finance, 2011, 11 (6), pp. 901 - 916.   Fulltext   Abstract
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Estimating the effect of overcrowding on tourist attraction: The case of Canary Islands
Y. Santana-Jiménez, J.M. Hernández. Tourism Management, 2011, 32 (2), pp. 415 - 425.   Fulltext   Abstract
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Tourism and trade in OECD countries. A dynamic heterogeneous panel data analysis
M. Santana-Gallego, F. Ledesma-Rodríguez, J.V. Pérez-Rodríguez. Empirical Economics, 2011, 41 (2), pp. 533 - 554.   Fulltext   Abstract
Journal article

Implicit bands in the Yen/Dollar exchange rate
F. Ledesma-Rodríguez, M. Navarro-Ibáñez, J.V. Pérez-Rodríguez, S. Sosvilla-Rivero. Applied Economics, 2011, 43 (10), pp. 1241 - 1255.   Fulltext   Abstract
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Contrastes de los modelos de asignación presupuestaria en el presupuesto social municipal
J. de León-Ledesma, J. A. Dorta-Velázquez, J.V. Pérez-Rodríguez. Revista Gestión y Política Pública, 2010, 19 (2), pp. 351 - 394.   Fulltext   Abstract
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La asignación presupuestaria en los municipios turísticos de Canarias
J. De Leon-Ledesma, A. Dorta Velázquez. 2010. In: El impacto de la crisis en la economía canaria: claves para el futuro, Vol. II Vol. 5 . Tenerife: Tenerife: Real Sociedad Económica de Amigos del País de Tenerife, pp. 893 - 921. ISBN: 978-84-693-8753-5.   Fulltext   Abstract
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Statistical Learning Methods for Combining Technical Trading Rules and Predicting the Stock Markets
F. Fernández-Rodríguez, J. Andrada-Félix, E. Acosta-González. 2010. In: Data Mining and Management Vol. 4 (Lawrence I. Spendler, Eds.). Hunting. New York: Nova Science Publishers, pp. 141 - 158. ISBN: 978-1-60741-289-2.   Fulltext   Abstract
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Model Selection Using Data Mining
F. Fernández-Rodríguez, E. Acosta-González, J. Andrada-Félix. 2010. In: Data Mining and Management Vol. 5 (Lawrence I. Spendler, Eds.). Huntington. New York: Nova Science Publishers Inc., pp. 159 - 174. ISBN: 978-1-60741-289-2.   Fulltext   Abstract
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Models of Municipal Budget Allocation: Empirical Data from Spanish Municipalities
J. A. Dorta-Velázquez , J. De León-Ledesma , J.V. Pérez-Rodríguez. Public Budgeting & Finance, 2010, 30 (2), pp. 24 - 46.   Fulltext   Abstract
Journal article

On the relationships between trade and tourism
M. Santana-Gallego, F.J. Ledesma-Rodríguez, J.V. Pérez-Rodríguez. 2010. In: Economics of Sustainable Tourism Vol. 6 (Fabio Cerina, Anil Markandya, Michael McAleer, Eds.). USA: Routledge, pp. 92 - 107. ISBN: 978-0-415-58385-5.   Fulltext   Abstract
Chapter

Does a Common Currency Promote Countries’ Growth via Trade and Tourism?
M. Santana-Gallego, F. J. Ledesma-Rodríguez, J.V. Pérez-Rodríguez, I. Cortés-Jiménez. The World Economy, 2010, 33 (12), pp. 1811 - 1835.   Fulltext   Abstract
Journal article

Regímenes de tipos de cambio, turismo y comercio
M. Santana-Gallego, F.J. Ledesma-Rodríguez, J.V. Pérez-Rodríguez. Principios: estudios de economía política, 2010, 18, pp. 5 - 21.   Fulltext   Abstract
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Exchange rate regimes and tourism
Santana-Gallego, M., Ledesma-Rodríguez, F., J.V. Pérez-Rodríguez. Tourism Economics, 2010, 16 (1), pp. 25 - 43.   Fulltext   Abstract
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Valoración económica de las características espaciales de las casas rurales en Gran Canaria
R. Suárez-Vega, Y. Santana-Jiménez, J.M. Hernández. Rect@, 2009, Actas 17 (1:904).   Fulltext   Abstract
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Estimating time-varying variances and covariances via nearest neighbour multivariate predictions : applications to the NYSE and the Madrid Stock Exchange Index
E. Acosta-González, F. Fernández-Rodríguez, J. Andrada-Félix. Applied Economics, 2009, 41 (26), pp. 3437 - 3445.   Fulltext   Abstract
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Especificación de modelos econométricos utilizando minería de datos
F. Fernández-Rodríguez, E. Acosta-González, J. Andrada-Félix. Rect@, 2009, 10, pp. 223 - 252.   Fulltext   Abstract
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Purchasing power parity and nonlinear adjustment
J.V. Pérez-Rodríguez, F. Ledesma-Rodríguez, S. Torra-Porras. Applied Economics Letters, 2009, 16 (1), pp. 35 - 38.   Fulltext   Abstract
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Implicit exchange regimes in Central and Eastern Europe: a first exploration
F. Ledesma-Rodríguez, J.V. Pérez-Rodríguez, S. Sosvilla-Rivero. International Economics and Economic Policy, 2009, 6 (2), pp. 179 - 206.   Fulltext   Abstract
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Trends in foreign exchange markets: an analysis based on taylor´s methodology
A. Fernández-Pérez, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Anales de Economía Aplicada, 2009, XXIII.   Fulltext   Abstract
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The Credibility of the European Monetary System: A Review
F. Ledesma Rodríguez, J.V. Pérez-Rodríguez, S. Sosvilla-Rivero. Cuadernos de Economía, 2008, 31 (86), pp. 5 - 34.   Fulltext   Abstract
Journal article

Las decisiones de asignación presupuestaria en la hacienda municipal canaria
J.A. Dorta-Velázquez, J. de León-Ledesma, J.V. Pérez-Rodríguez. Hacienda Canaria, 2008, 22, pp. 5 - 34.   Fulltext   Abstract
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Improving moving average trading rules with boosting and statistical learning methods
J. Andrada-Félix, F. Fernández-Rodríguez. Journal of Forecasting, 2008, 27 (5), pp. 433 - 449.   Fulltext   Abstract
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