Papers by Fernando Fernandez-Rodriguez
Applied Economics, Dec 1, 2009
In this paper we present a technique to obtain the time-varying covariance matrix for several tim... more In this paper we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange (NYSE) and the Madrid Stock Exchange Index (MSEI).
We have tested the random walk hypothesis against the existence of trends in the main stock marke... more We have tested the random walk hypothesis against the existence of trends in the main stock market indexes before and during the 2008 financial crisis. With that end, Taylor’s (1980) trend price model was employed. In the indexes where there is evidence of trend patterns, a technical trading strategy, proposed by Taylor to obtain extraordinary profits for trend markets, was implemented. Due to the complexity of the log likelihood function of the model, in order to estimate the parameters, a genetic algorithm was employed. In the case of developed, BRIC and Asian-Pacific indexes, our results show that before the crisis, Sharpe’s ratios of Taylor’s strategy are lower than the results of the B&H strategy. During the crisis the results are opposites and Sharpe’s ratios of Taylor’s strategy improve the results of the B&H strategy. For the rest of developing economies the results are diverse.
Applied Economics, 2019
This paper empirically investigates volatility transmission among stock and foreign exchange mark... more This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behavior of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. JEL Classification Codes: C53; F31; G15
SSRN Electronic Journal, 2016
Rivero thanks the hospitality provided by the Department of Economics during a research visit at ... more Rivero thanks the hospitality provided by the Department of Economics during a research visit at the University of Bath financed by the Spanish Ministry of Education, Culture and Sport through a grant from Programa Estatal de Promoción del Talento y su Empleabilidad en I+D+i (Subprograma Estatal de Movilidad, del Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016). Responsibility for any remaining errors rests with the authors. El ICEI no comparte necesariamente las opiniones expresadas en este trabajo, que son de exclusiva responsabilidad de sus autores. This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.
Computational Economics, 2017
Recent studies of the prediction of corporate financial failure have taken into account many fact... more Recent studies of the prediction of corporate financial failure have taken into account many factors, mostly corresponding to financial ratios derived from firms' annual accounts. Nevertheless, the current crisis and the consequent exponential increase in rates of insolvency have made it clear that the phenomenon of bankruptcy cannot be explained without reference to macroeconomic variables; thus, the overall condition of the economy, and not just the internal financial ratios of firms, must be addressed. In this paper, focusing on the Spanish construction sector from 1995 to 2011, we analyse selected econometric models for predicting bankruptcy, in which both macroeconomic variables and financial ratios are employed. In view of the large number of variables with these characteristics, which are frequently correlated with each other, and the consequent enormous number of models that would be obtained, we decided to focus on just five optimal econometric models for predicting the financial failure of firms, at 1, 2, 3, 4 and 5 years in advance, with a limited number of explanatory factors, to be selected by an automatic statistical procedure, guided solely by the data and based on a genetic algorithm. The empirical results obtained show that these econometric models are capable of achieving high rates of predictive success, both for in-sample and for out-of-sample predictions. In the latter case, failure and non-failure firms were classified with success rates of 98.5 and 82.5%, respectively,
SSRN Electronic Journal, 2015
New evidence is presented on the sudden shift in the sentiment of market participants with the ou... more New evidence is presented on the sudden shift in the sentiment of market participants with the outbreak of the sovereign debt crisis. Since volatility reflects the extent to which the market evaluates the arrival of new information and provides useful insights into the dynamics of EMU sovereign debt markets, we analyse their spillovers. To that end, we first examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences both before and during the crisis periods. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind. Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across countries rather than by idiosyncratic shocks. Besides, they give further support to the idea that during the pre-crisis period, most of the triggers in the volatility spillovers were central countries-peripheral countries imported credibility from them-while during the crisis peripheral countries became the dominant transmitters.
SSRN Electronic Journal, 2015
Institute of Applied Economics (IREA) in Barcelona was founded in 2005, as a research institute i... more Institute of Applied Economics (IREA) in Barcelona was founded in 2005, as a research institute in applied economics. Three consolidated research groups make up the institute: AQR, RISK and GiM, and a large number of members are involved in the Institute. IREA focuses on four priority lines of investigation: (i) the quantitative study of regional and urban economic activity and analysis of regional and local economic policies, (ii) study of public economic activity in markets, particularly in the fields of empirical evaluation of privatization, the regulation and competition in the markets of public services using state of industrial economy, (iii) risk analysis in finance and insurance, and (iv) the development of micro and macro econometrics applied for the analysis of economic activity, particularly for quantitative evaluation of public policies. IREA Working Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. For that reason, IREA Working Papers may not be reproduced or distributed without the written consent of the author. A revised version may be available directly from the author. Any opinions expressed here are those of the author(s) and not those of IREA. Research published in this series may include views on policy, but the institute itself takes no institutional policy positions.
Métodos matemáticos en ciencias sociales, economía, …
... Fernando Fernández Rodríguez Catedrático de Economía Aplicada Departamento de Métodos Cuantit... more ... Fernando Fernández Rodríguez Catedrático de Economía Aplicada Departamento de Métodos Cuantitativos en Economía y Gestión, Universidad de Las ... en forma normal los jugadores eligen sus estrategias de forma simultánea, es decir, que cada jugador elige su jugada sin ...
Japan and the World Economy, 1999
In this paper we apply nearest-neighbour local predictors, inspired by the literature on forecast... more In this paper we apply nearest-neighbour local predictors, inspired by the literature on forecasting in nonlinear systems, to the Nikkei 225 Index of the Tokyo Stock Market for the period 1 January 19865 June 1997. When forecasting performance is measured by Theil's U statistic, our ...
Journal of International Financial Markets, Institutions and Money, 2016
This paper measures the connectedness in European Economic and Monetary Union (EMU) sovereign mar... more This paper measures the connectedness in European Economic and Monetary Union (EMU) sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, to gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.
International Journal of Forecasting, 2016
Creative Commons Legal Code AttributionNonCommercialNoDerivatives 4.0 International Official tran... more Creative Commons Legal Code AttributionNonCommercialNoDerivatives 4.0 International Official translations of this license are available in other languages. Creative Commons Corporation ("Creative Commons") is not a law firm and does not provide legal services or legal advice. Distribution of Creative Commons public licenses does not create a lawyer client or other relationship. Creative Commons makes its licenses and related information available on an "asis" basis. Creative Commons gives no warranties regarding its licenses, any material licensed under their terms and conditions, or any related information. Creative Commons disclaims all liability for damages resulting from their use to the fullest extent possible. Using Creative Commons Public Licenses Creative Commons public licenses provide a standard set of terms and conditions that creators and other rights holders may use to share original works of authorship and other material subject to copyright and certain other rights specified in the public license below. The following considerations are for informational purposes only, are not exhaustive, and do not form part of our licenses.
The increasing availability of intraday financial data has led to improvements in daily volatilit... more The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN) approach for S&P 100 realized variance forecasting. A priori the NN approach is appealing because it can reproduce complex dynamic dependencies while largely avoiding misspecification and parameter estimation uncertainty, unlike model-based methods. We evaluate the forecasts through straddle trading profitability metrics and using conventional statistical accuracy criteria. The ranking of individual forecasts confirms that statistical accuracy does not have a one-to-one mapping into profitability. In turbulent markets, the NN forecasts lead to higher risk-adjusted profitability even though the model-based forecasts are statistically superior. In both calm and turbulent market conditions, the directional combination of NN and model-based forecasts is more profitable than any of the individual forecasts.
... Fernando Fernández Rodríguez Catedrático de Economía Aplicada Departamento de Métodos Cuantit... more ... Fernando Fernández Rodríguez Catedrático de Economía Aplicada Departamento de Métodos Cuantitativos en Economía y Gestión, Universidad de Las ... en forma normal los jugadores eligen sus estrategias de forma simultánea, es decir, que cada jugador elige su jugada sin ...
Revista De Economia Aplicada, 1994
Informacion Comercial Espanola Ice Revista De Economia, 1995
Analisis Financiero Internacional, 2001
Cisic 2002 Las Palmas De Gran Canaria 27 Y 28 De Febrero Y 1 De Marzo De 2002 2002 Isbn 84 481 3603 9 Pags 123 128, 2002
Información del artículo Optimización de reglas técnicas de contratación mediante algoritmos gené... more Información del artículo Optimización de reglas técnicas de contratación mediante algoritmos genéticos.
Estudios De Economia Aplicada Vi Reunion Anual De Asepelt Espana 4 Y 5 De Junio De 1992 Vol 2 1992 Isbn 84 87901 44 1 Pags 255 262, 1992
In this paper we investigate the profitability of a simple technical trading rule based on Artifi... more In this paper we investigate the profitability of a simple technical trading rule based on Artificial Neural Networks (ANNs). Our results, based on applying this investment strategy to the General Index of the Madrid Stock Market, suggest that, in absence of trading costs, the technical trading rule is always superior to a buy-and-hold strategy for both "bear" market and "stable"
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Papers by Fernando Fernandez-Rodriguez