Aestimatio Nº 8, 2014

RESEARCH ARTICLES

The term structure, latent factors and macroeconomic data: A local linear level model
Jakas, Vicente

Fitting the Pareto-Lévy distribution on the yield curve: An application to forecasting
Rostan, Pierre; Rostan, Alexandra

Momentum Strategies in the Portuguese Stock Market
Lobão, Júlio; Da Mota Lopes, Cátia

Reinsurance analysis with respect to its impact on the performance: evidence from non-life insurers in Pakistan
Iqbal, Hafiza Tahoora; Rehman, Mobeen Ur

A wave smoothing algorithm and applications to the financial markets
Ait Hellal, Omar; Meyer, Gerald H.

An application of the Black-Scholes-Merton (Osborne-Samuelson) Model to the Mexican Stock Exchange
Castañeda-Leyva, Netzahualcóyotl; Sáinz-Fernández, Manuel Delfino; Trejo-Pech, Carlos Omar

PROFESSIONAL BRIEFINGS

Welfare economics, welfare state and the real economy
Olier, Eduardo

Measuring market risk under the basel accords: VaR, stressed VaR, and expected shortfall
Chen, James Ming