IVAN
PAYA SASTRE
CATEDRATICO/A DE UNIVERSIDAD
Publicaciones (55) Publicaciones de IVAN PAYA SASTRE Ver datos de investigación referenciados.
2024
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The Kőszegi–Rabin expectations-based model and risk-apportionment tasks for elicitation of higher order risk preferences
Journal of Economic Behavior and Organization, Vol. 224, pp. 749-770
2023
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Higher order risk attitudes: new model insights and heterogeneity of preferences
Experimental Economics, Vol. 26, Núm. 1, pp. 145-192
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On the predictions of cumulative prospect theory for third and fourth order risk preferences
Theory and Decision, Vol. 95, Núm. 2, pp. 337-359
2021
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House prices, (un)affordability and systemic risk
New Zealand Economic Papers, Vol. 55, Núm. 1, pp. 105-123
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On the contribution of the Markowitz model of utility to explain risky choice in experimental research
Journal of Economic Behavior and Organization, Vol. 182, pp. 527-543
2020
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Temporal aggregation of random walk processes and implications for economic analysis
Studies in Nonlinear Dynamics and Econometrics, Vol. 24, Núm. 2
2019
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Flexible distribution functions, higher-order preferences and optimal portfolio allocation
Quantitative Finance, Vol. 19, Núm. 4, pp. 699-703
2018
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A NONLINEAR ANALYSIS of the REAL EXCHANGE RATE-CONSUMPTION RELATIONSHIP
Macroeconomic Dynamics, Vol. 22, Núm. 7, pp. 1825-1843
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Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
Journal of Money, Credit and Banking, Vol. 50, Núm. 5, pp. 833-856
2017
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TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES
International Economic Review, Vol. 58, Núm. 4, pp. 1191-1226
2016
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Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
Journal of Real Estate Finance and Economics, Vol. 53, Núm. 4, pp. 419-449
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Pure higher-order effects in the portfolio choice model
Finance Research Letters, Vol. 19, pp. 255-260
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Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation
Journal of Empirical Finance, Vol. 38, pp. 221-235
2015
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Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
Documentos de trabajo - Banco de España
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Testing for linear and nonlinear Granger causality in the real exchange rate-consumption relation
Economics Letters, Vol. 132, pp. 13-17
2013
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Nonlinear causality tests and multivariate conditional heteroskedasticity: A simulation study
Studies in Nonlinear Dynamics and Econometrics, Vol. 17, Núm. 3, pp. 297-312
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Nonlinear dynamics in economics and finance and unit root testing
European Journal of Finance, Vol. 19, Núm. 6, pp. 572-588
2012
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Forecast evaluation of nonlinear models: The case of long-span real exchange rates
Journal of Forecasting, Vol. 31, Núm. 7, pp. 580-595
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Forecasting monetary policy rules in South Africa
International Journal of Forecasting, Vol. 28, Núm. 2, pp. 446-455
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On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
Economics Letters, Vol. 115, Núm. 2, pp. 244-248