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This paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying generalised autoregressive conditional heteroscedastic in mean framework is...

The purpose of this paper is to compare the use of Quasi-Monte Carlo methods, especially the use of recent developed (t; m; s)-nets, versus classical Monte Carlo method for valuing _nancial derivatives. Some research has indicate that under certain condition Quasi-Monte Carlo is superior than the...

Domestic currency emerging market bonds form an indirect way of trading currency and credit risk. It is true that unlike eurobonds or Bradys, domestic currency emerging market bonds have no default risk in a classical sense. These bonds are issued by local governments and can be paid one way or a...

This paper makes two contributions: (1) it presents estimates of a continuous-time stochastic-volatility jump-diffusion process (SVJD) using a simulation-based estimator, and (2) it shows that misspecified models that allow for jumps, but not stochastic volatility, can give very bad estimates of ...

This paper develops a filtering-based framework of non-parametric estimation of parameters of a diffusion process from the conditional moments of discrete observations of the process. This method is implemented for interest rate data in the Eurodollar and long term bond markets. The resulting est...

In this paper we analyze the different types of pension plans available in those Latin American countries which have pension systems based on individual capitalization accounts with defined contributions. Based on ideas first put forward by Yaari (1965) and developed by Kotlikoff and Spivak (1981...

We estimate the social cost of eliminating energy outages in Chile's Central Interconnected System (SIC) with the hydrotermic dispatch model used to operate the system. We simulate the optimal operation with 1,000 random hydrology se-quences, and compute the maximum projected deficit, say X. We t...

This paper estimates the rate of discount to be used in Chile when evaluating long run projects with environmental consequences. The methodology is known as Gamma Discounting and was presented first by Martin Weitzman in the American Economic Review in March 2001.

The paper presents empirical evidence regarding asset substitution in Bolivia in the 1990-2002 period. Using an ARCH-M/TARCH specifica-tion, the exchange rate depreciation is modeled in a crawling-peg re-gime with a real exchange rate target. The model is also used to esti-mate a proxy for the de...

This paper studies the existence of "excess" current-account imbalances in Chile in the 1960-1999 period. This phenomenon is modelled using present value tests that allow for variable interest rates and exchange rate fluctuations. Despite its simplicity, most of the observed imbalances in the cur...