Person:
Sotoca López, Sonia

First Name

Sonia

Last Name

Sotoca López

Affiliation

Universidad Complutense de Madrid

Faculty / Institute

Ciencias Económicas y Empresariales

Department

Análisis Económico y economía cuantitativa

Area

Fundamentos del Análisis Económico

Identifiers

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Now showing 1 - 10 of 27

Aplicaciones econométricas del filtro de Kalman y algunas variaciones numéricas : el filtro de Chandrasekhar
(Universidad Complutense de Madrid, Servicio de Publicaciones, 2002) Sotoca López, Sonia; Terceiro Lomba, Jaime
Innovation and business survival: A long-term approach
(2018) Ortiz-Villajos López, José María; Sotoca López, Sonia
This paper explores the influence of innovation on the probability of survival of two hundred top British firms founded throughout the nineteenth and twentieth centuries. To this end, we have collected the firms’ significant innovations and classified them by Schumpeterian types, patented and non-patented and domestic and imported. The number of patents registered by the firms throughout their lifetime −a rough measure of their incremental innovation activity– has also been recorded. In addition, twelve control variables −five characteristics of the firms and seven of their business leaders– have been included. Both log-normal and gamma duration models have been used in the analysis. They have been estimated, firstly for the whole set of firms and, secondly, for the manufacturing and the service firms separately to control for industry differences. The results of the log-normal and gamma estimations are highly coincident, with some nuances. The significant innovations −particularly new processes, non-patented and domestic ones– have been found to positively influence the probability of business survival. The number of patent applications seems to increase the survival probability of the manufacturing firms, but not of the service ones. Among the control variables, the firm’s size, its international dimension, and the age of the business leader at entry seem to be the most influential ones on business survival, although there are some differences between manufacturing and services. The main results are robust to the division of the sample by entry period.
Single and multiple error state-space models for signal extraction
(Taylor & Francis, 2013-12-17) Casals Carro, José; Sotoca López, Sonia; Jerez Méndez, Miguel
We compare the results obtained by applying the same signal extraction procedures to two observationally equivalent state-space forms. The first model has different errors affecting the states and the observations, while the second has a single perturbation term which coincides with the one-step-ahead forecast error. The signals extracted from both forms are very similar but their variances are drastically different, because the states for the single-source error representation collapse to exact values while those coming from the multiple-error model remain uncertain. The implications of this result are discussed both, with theoretical arguments and practical examples. We find that single error representations have advantages to compute the likelihood or to adjust for seasonality, while multiple error models are better suited to extract a trend indicator. Building on this analysis, it is natural to adopt a ‘best of both worlds’ approach, which applies each representation to the task in which it has comparative advantage.
Efficient estimation of unconditional capital by Monte Carlo simulation
(Elsevier, 2016) Ferrer, Alex; Casals Carro, José; Sotoca López, Sonia
We address the problem of determining the unconditional capital required by a credit portfolio using Monte Carlo simulation. By elaborating on a tractable analytical framework, we propose a new efficient simulation algorithm that overweights recession periods, which are the most important periods for determining the final capital figure, thereby improving its efficiency for a given number of simulations. We discuss the optimality and practical advantages of this algorithm. We also conduct an empirical analysis based on American charge-off data, which shows that the proposed algorithm achieves remarkable improvements in efficiency, without introducing any bias and at a negligible implementation cost.
Sample dependency during unconditional credit capital estimation
(Elsevier Inc., 2015) Ferrera, Alex; Casals Carro, José; Sotoca López, Sonia
The unconditional credit loss distribution is identified based on a long-term sample. This sample influences the capital estimate. In this study, we performed an empirical investigation of this sample dependency problem using charge-off data and by focusing on the influence of the Great Recession. The results demonstrated the significant dependency of the capital requirements on the homogeneity and cyclicality of the long-term sample. Thus, a sample containing only the Great Recession data produced lower capital requirements due to the homogeneity effect, whereas a mixed sample containing the Great Recession data produced higher capital requirements due to the cyclical effect.
Antes, bastante antes: la primera fase de la integración del mercado español de trigo, 1725-1808
(Sociedad Española de Historia Agraria (SEHA), 2005) Llopis Agelán, Enrique; Sotoca López, Sonia
En este artículo se analiza el grado de integración de los mercados trigueros de once localidades de distintas regiones españolas en los tres últimos cuartos del siglo XVIII y en los primeros años del XIX. Las mercuriales de tales núcleos han constituido las principales fuentes de este trabajo y la medición de la interdependencia de los mercados se ha llevado a cabo mediante dos estudios: uno de correlaciones y otro de cointegración en tendencia y en ciclo de las series de precios. Entre las principales conclusiones de la investigación, destacaremos: 1) la formación del mercado nacional del trigo no se inició en España después de 1825, sino antes de mediados del siglo XVIII; y 2) en el último tercio del Setecientos se registró una reducción del grado de interdependencia entre distintos mercados interregionales debido, probablemente, a la mayor integración de los territorios periféricos en el comercio internacional.
Modelling and forecasting time series sampled at different frequencies
(2004) Casals Carro, José; Jerez Méndez, Miguel; Sotoca López, Sonia
This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic dynamic components remain unchanged but some of them, mainly those related to the seasonal structure, become unobservable. Building on these results, we propose a structured specification method built on the idea that the models relating the variables in high and low sampling frequencies should be mutually consistent. After specifying a consistent and observable high-frequency model, standard state-space techniques provide an adequate framework for estimation, diagnostic checking, data interpolation and forecasting. Our method has three main uses. First, it is useful to disaggregate a vector of low-frequency time series into high-frequency estimates coherent with both, the sample information and its statistical properties. Second, it may improve forecasting of the low-frequency variables, as the forecasts conditional to high-frequency indicators have in general smaller error variances than those derived from the corresponding low-frequency values. Third, the resulting forecasts can be updated as new high-frequency values become available, thus providing an effective tool to assess the effect of new information over medium term expectations. An example using national accounting data illustrates the practical application of this method.
Capital cyclicality, conditional coverage and long-term capital assessment
(Elsevier Inc., 2015-11) Ferrer, Alex; Casals Carro, José; Sotoca López, Sonia
We address credit capital cyclicality from a different point of view with the objective of defining alternative measures of long-term capital solvency. We first define the conditional coverage vector, which results from keeping capital constant and let conditional coverage evolve with the economy. We show that its average equals the corresponding unconditional coverage, which motivates us to propose to use its minimum and standard deviation as long-term measures of solvency resilience and stability. We also conduct an empirical analysis. The results show the influence of the Great Recession on the conditional coverage vector and its long-term solvency discrimination power.
Un método de inicialización del filtrado para modelos en espacio de los estados con inputs estocásticos
(Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1996-09) Casals Carro, José; Sotoca López, Sonia
En este trabajo se derivan las expresiones exactas de la media y varianza condicional del estado inicial de un modelo en espacio de los estados con inputs estocásticos, generalizando los resultados teóricos obtenidos por De Jong y Chu-Chun-Lin (1994). Se muestra que las condiciones iniciales exactas dependen del carácter estacionario o no estacionario del modelo y que las estimaciones finales de los parámetros son sensibles a la presencia de inputs estocásticos, siendo ésta una situación frecuente en Econometría.
Una nota sobre la estimación eficiente de modelos con parámetros cambiantes
(Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1994) Sotoca López, Sonia
Standard estimation procedures for the time-varying parameters model suppose that the variances of the noises in the model are known. Obviously, this assumption is not realistic in most econometric applications. Besides, the results of these methods are sensitive to the initial conditions of the algorithm, a fact that is often overlooked by the literature. In this paper, we propose an extension of the recursive algorithm proposed by Cooley, Rosenberg y Wall (1977), which is independent of initial conditions and includes on-line estimation of all the relevant variances. The results obtained with this method compare favourably with those obtained by standard procedures.