Publicaciones - Grupo de Investigación: Finanzas Cuantitativas y Computacionales

• 2024

Do the daily listing prices of competitors affect long-run demand in the P2P accommodation market?
J.V. Pérez-Rodríguez, H. Rachinger, R. Suárez-Vega. Journal of Policy Research in Tourism, Leisure and Events , 2024 (Accepted).   Fulltext   Abstract
Journal article

Productivity growth of Spanish tourist wineries using a directional distance approach
C. Hernández-Guedes, J.V. Pérez-Rodríguez. Tourism Economics, 2024 (Accepted).   Fulltext   Abstract
Journal article

Handling negative data when determining efficiency in the Spanish hotel sector
C. Hernández-Guedes, J.V. Pérez-Rodríguez. International Journal of Hospitality & Tourism Administration, 2024 (Accepted).
Journal article

Spatial spillover effects on the efficiency of P2P accommodation units
J.V. Pérez-Rodríguez, R. Suárez-Vega, J.M. Hernández. Journal of Destination Marketing & Management, 2024, 34 (100945), pp. 1 - 17.   Fulltext   Abstract
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Returns to scale, technical and efficiency changes in the Spanish hotel industry using technological heterogeneity models
C. Hernández-Guedes, J.V. Pérez-Rodríguez, J.M. Pérez-Sánchez. International Journal of Hospitality Management, 2024, 122 (103884), pp. 1 - 23.   Fulltext   Abstract
Journal article

A crisis like no other? Financial market analogies of the Covid-19-cum-Ukraine war crisis
J. Andrada-Félix, F. Fernández-Rodríguez, S. Sosvilla-Rivero. North American Journal of Economics and Finance, 2024 (Accepted).
Journal article

Assessing economic performance and aviation accidents using zero-inflated and over-dispersed panel data models
U. Pérez-Granja, J.M. Pérez-Sánchez, J.V. Pérez-Rodríguez. Journal of Air Transport Management, 2024, 118 (102599), pp. 1 - 9.   Fulltext
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Input inefficiencies in the hotel industry. A non-radial directional performance measurement
C. Hernández-Guedes, J.V. Pérez-Rodríguez, C. Manrique de Lara Peñate. Tourism Economics, 2024, 30 (7), pp. 1753 - 1779.   Fulltext   Abstract
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Heterogeneity and time-varying efficiency in the Ecuadorian banking sector. An output distance stochastic frontier approach
J.S.Cortés-García, J.V. Pérez-Rodríguez. Quarterly Review of Economics and Finance, 2024, 93, pp. 164 - 175.   Fulltext   Abstract
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Modeling prices and volatilities in the sharing economy
J.V. Pérez-Rodríguez, J.M. Hernández, J. Andrada-Félix. Tourism Economics, 2024, 30 (5), pp. 1189 - 1215.   Fulltext   Abstract
Journal article

Is peer-to-peer demand cointegrated at the listing level?
J.V. Pérez-Rodríguez, H. Rachinger, R. Suárez-Vega. Empirical Economics, 2024, 66, pp. 2249 - 2275.   Fulltext   Fulltext   Abstract
Journal article

• 2023

Technological heterogeneity and time-varying efficiency of sharing accommodation: Evidence from the Canary Islands
J.V. Pérez-Rodríguez, J.M. Hernández. International Journal of Hospitality Management, 2023, 111 (103477), pp. 1 - 10.   Fulltext   Abstract
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The effect of type of lodging and professionalism on the efficiency of P2P accommodation
J.V. Pérez-Rodríguez, J.M. Hernández. Tourism Economics, 2023, 29 (6), pp. 1624 - 1642.   Fulltext   Abstract
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The impact of ownership and size heterogeneity on hotel industry efficiency in the Canary Islands (Spain)
J.V. Pérez-Rodríguez, E. Acosta-González. Tourism Economics, 2023, 29 (1), pp. 3 - 29.   Fulltext   Abstract
Journal article

Transient and persistent cost efficiency in hotels in the Canary Islands
J.V. Pérez-Rodríguez, E. Acosta-González. Journal of Hospitality and Tourism Research, 2023, 47 (4), pp. 734 - 759.   Fulltext   Abstract
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Substitution among hotels and P2P accommodation in the COVID era: A spatial dynamic panel data model at the listing level
R. Suárez-Vega, J.V. Pérez-Rodríguez, J.M. Hernández. Current Issues in Tourism, 2023, 26 (17), pp. 2883 - 2899.   Fulltext   Fulltext   Abstract
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Assessment of the Bike-Sharing Socioeconomic Equity in the Use of Routes
R. Suárez-Vega, Y. Santana-Jiménez, J.M. Hernández, J.J. Santana Figueroa. ISPRS International Journal of Geo-Information, 2023, 12 (8), pp. e - 320.   Fulltext   Abstract
Journal article

Bimodal length of stay in the accommodation sharing economy
E. Gómez-Déniz, J.V. Pérez-Rodríguez, J.M. Hernández. Tourism Economics, 2023, 29 (7), pp. 1890 - 1914.   Fulltext   Abstract
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Managing score heterogeneity between online consumer review websites
M. Martel-Escobar, C. González-Martel, F.J. Vázquez-Polo. Cogent Social Sciences, 2023, 9 (2), pp. e - 2267261.   Fulltext   Abstract
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Dynamics in accommodation feature preferences: exploring the use of time series analysis of online reviews for decomposing temporal effects
T. Teichert, C. González-Martel, J.M. Hernández, N. Schweiggart. International Journal of Contemporary Hospitality Management, 2023 (In Press).   Fulltext   Abstract
Journal article

• 2022

Financial market analogies of the COVID-19 pandemic: Evidence from the Dow Jones Industrial Average Index
J. Andrada-Félix, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Applied Economics Letters, 2022 (Accepted).
Journal article

On the evolution of the COVID-19 epidemiological parameters using only the series of deceased. A study of the Spanish outbreak using genetic algorithms
E. Acosta-González, J. Andrada-Félix, F. Fernández-Rodríguez. Mathematics and Computers in Simulation, 2022, 197, pp. 91 - 104.   Fulltext   Abstract
Journal article

How does Airbnb affect local Spanish tourism markets?
J.L. Jiménez, A. Ortuño, J.V. Pérez-Rodríguez. Empirical Economics, 2022, 62, pp. 2515 - 2545.   Fulltext   Abstract
Journal article

Does tourism promote economic growth? A fractionally integrated heterogeneous panel data analysis
J.V. Pérez-Rodríguez, H. Rachinger, M. Santana-Gallego. Tourism Economics, 2022, 28 (5), pp. 1355 - 1376.   Fulltext   Abstract
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Analyzing how the Social Security Reserve Fund in Spain affects the sustainability of the Pension System
E. Gómez-Déniz, J.V. Pérez-Rodríguez, S. Sosvilla Rivero. Risks. Special Issue: Longevity Risk Modelling and Management, 2022, 10 (6), pp. 120 - 137.   Fulltext   Abstract
Journal article

Searching for informed traders in stock markets: The case of Banco Popular
J.V. Pérez-Rodríguez, S. Sosvilla-Rivero, J. Andrada-Félix, E. Gómez-Déniz. North American Journal of Economics and Finance, 2022, 63 (101791), pp. 1 - 14.   Fulltext   Abstract
Journal article

• 2021

Stress spillovers among financial markets: Evidence from Spain
J. Andrada-Félix, A. Fernández-Pérez, S. Sosvilla-Rivero. Journal of Risk and Financial Management, 2021 (Accepted).
Journal article

Sequence effects of city tour experiences: A tourism fatigue perspective
T. Teichert, H. Sun, C. González-Martel. Journal of Destination Marketing & Management, 2021, 21 (100646).   Fulltext   Abstract
Journal article

Time connectedness of fear
J. Andrada-Félix, A. Fernández-Pérez, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Empirical Economics, 2021 (Accepted).
Journal article

Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence
J.V. Pérez-Rodríguez, J. Andrada-Félix, H. Rachinger. North American Journal of Economics and Finance, 2021, 57 (101438), pp. 1 - 15.   Fulltext   Abstract
Journal article

Spending and length of stay by tourists flying to the Canary Islands (Spain) using low-cost carriers
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Applied Spatial Analysis and Policy, 2021, 14 (3), pp. 631 - 658.   Fulltext   Abstract
Journal article

Modelling dependence between daily tourist expenditure and length of stay
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Tourism Economics, 2021, 27 (8), pp. 1615 - 1628.   Fulltext   Abstract
Journal article

Bank branch performance and cost efficiency: A stochastic frontier panel data approach
I. Cabrera-Suárez, J.V. Pérez-Rodríguez. International Journal of Finance and Economics, 2021, 26 (4), pp. 5850 - 5863.   Fulltext   Abstract
Journal article

Testing unobserved market heterogeneity in financial markets: The case of Banco Popular
J.V. Pérez-Rodríguez, E. Gómez-Déniz, S. Sosvilla-Rivero. Quarterly Review of Economics and Finance, 2021, 79, pp. 151 - 160.   Fulltext   Abstract
Journal article

Testing the validity of the tourism-led growth hypothesis under long-range dependence
J.V. Pérez-Rodríguez, H. Rachinger, M. Santana-Gallego. Current Issues in Tourism, 2021, 24 (6), pp. 768 - 793.   Fulltext   Abstract
Journal article

Unconditional quantile regression and tourism expenditure: The case of the Canary Islands
J.V. Pérez-Rodríguez, F.J. Ledesma Rodríguez. Tourism Economics, 2021, 27 (4), pp. 626 - 648.   Fulltext   Abstract
Journal article

Factors influencing the co-occurrence of visits to attractions: The case of Madrid, Spain
J.M. Hernández, Y. Santana-Jiménez, C. González-Martel. Tourism Management, 2021, 83.   Fulltext   Abstract
Journal article

Matemáticas Aplicadas a las Ciencias Sociales (Colección Manuales de Acceso. Curso preparatorio de acceso a la Universidad para mayores de 25 años)
E. Gómez-Déniz, C. González-Martel. 2021. Las Palmas de Gran Canaria: ULPGC. ISBN: 978-84-9042-407-0.   Fulltext   Abstract
Book

• 2020

Identifying business misreporting in VAT using network analysis
C. González-Martel, J.M. Hernández, C. Manrique de Lara Peñate. Decision Support Systems, 2020 (In Press).   Fulltext   Abstract
Journal article

Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities
J. Andrada-Félix, A. Fernández-Pérez, S. Sosvilla-Rivero. Journal of International Financial Markets, Institutions and Money, 2020 (In Press).   Fulltext   Abstract
Journal article

A bimodal discrete Shifted Poisson distribution. A case study of tourists' length of stay
E. Gómez-Déniz, J.V. Pérez-Rodríguez, J. Reyes, H.W. Gómez. Symmetry, 2020, 12 (3), pp. 1 - 15.   Fulltext   Abstract
Journal article

Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA
X. Zhou , H. Qian , J.V. Pérez-Rodríguez, B. González López-Valcárcel. North American Journal of Economics and Finance, 2020, 52 (101175), pp. 1 - 19.   Fulltext   Abstract
Journal article

Another look at the implied and realised volatility relation: A copula-based approach
J.V. Pérez-Rodríguez. Risk Management, 2020, 22 (1), pp. 38 - 64.   Fulltext   Abstract
Journal article

Modelling tourism receipts and associated risks, using long-range dependence models
J.V. Pérez-Rodríguez, M. Santana-Gallego. Tourism Economics, 2020, 26 (1), pp. 70 - 96.   Fulltext   Abstract
Journal article

Assessing branch efficiency and managerial behaviour in a large Spanish commercial bank
I. Cabrera-Suárez, J.V. Pérez-Rodríguez. REFC – Spanish Journal of Finance and Accounting, 2020, 49 (1), pp. 48 - 73.   Fulltext   Abstract
Journal article

Modelling tourist expenditure at origin and destination
E. Gómez-Déniz, J.V. Pérez-Rodríguez, J. Boza-Chirino. Tourism Economics, 2020, 26 (3), pp. 437 - 460.   Fulltext   Abstract
Journal article

Economic growth and market-segment choice in tourism-based economies
S. Giannoni, J.M. Hernández, J.V. Pérez-Rodríguez. Empirical Economics, 2020 (59), pp. 1435 - 1452.   Fulltext   Abstract
Journal article

Manual Básico de Matemáticas Empresariales (Segunda Edición)
E. Gómez-Déniz, N. Dávila, P. Dorta-González, J.M. Hernández, M.D. García-Artiles, M. Martel. 2020. Madrid: Delta Publicaciones. ISBN: 9788417526856.   Fulltext   Abstract
Book

• 2019

On the determinants of Airbnb location and its spatial distribution
J.L. Eugenio-Martin, J.M. Cazorla-Artiles, C. González-Martel. Tourism Economics, 2019, 25 (8), pp. 1224 - 1244.   Fulltext   Abstract
Journal article

Modelling bimodality of length of tourist stay
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Annals of Tourism Research, 2019, 75, pp. 131 - 151.   Fulltext   Abstract
Journal article

International trade, exchange rate regimes, and financial crises
M. Santana-Gallego, J.V. Pérez-Rodríguez. North American Journal of Economics and Finance, 2019, 47, pp. 85 - 95.   Fulltext   Abstract
Journal article

Land use conversion from tourist to residential
Y. Santana-Jiménez, J.M. Hernández, R. Suárez-Vega. Current Issues in Tourism, 2019, 22 (14), pp. 1686 - 1704 .   Fulltext   Abstract
Journal article

Predicting corporate financial failure using macroeconomic variables and accounting data
E. Acosta-González, F. Fernández-Rodríguez, H. Ganga . Computational Economics, 2019, 53 (1), pp. 227 - 257.   Fulltext   Abstract
Journal article

Modelling Distribution of Aggregate Expenditure on Tourism
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Economic Modelling, 2019, 78, pp. 293 - 308.   Fulltext   Abstract
Journal article

El pago por méritos en los derechos audiovisuales del fútbol español: ¿debemos primar el espectáculo (goles) o la clasificación?
J. Pinilla, M.A. Negrín, C. González-Martel. SPORT TK-Revista EuroAmericana de Ciencias del Deporte, 2019, 8 (1), pp. 45 - 50.   Fulltext   Abstract
Journal article

Characterizing the highly cited articles: A large-scale bibliometric analysis of the top 1% most cited research
P. Dorta-González, Y. Santana-Jiménez. Malaysian Journal of Library & Information Science, 2019, 24 (2), pp. 23 - 39.   Fulltext
Journal article

Air pollution and tourism demand: A case study of Beijing, China
Zhou, Xiaoge, Y. Santana-Jiménez, J.V. Pérez-Rodríguez, J.M. Hernández. International Journal of Tourism Research, 2019, 21 (6), pp. 747 - 757.   Fulltext   Abstract
Journal article

• 2018

Fear connectedness among asset classes
J. Andrada-Félix, A. Fernández-Pérez, S. Sosvilla-Rivero. Applied Economics, 2018, 50 (39), pp. 4234 - 4249.   Fulltext   Abstract
Journal article

Prevalence and citation advantage of gold open access in the subject areas of the Scopus database
P. Dorta-González, Y. Santana-Jiménez. Research Evaluation, 2018, 27 (1), pp. 1 - 15.   Fulltext   Abstract
Journal article

Pinocchio testing in the forensic analysis of waiting lists: using public waiting list data from Finland and Spain for testing Newcomb-Benford’s Law
J. Pinilla, B. González López-Valcárcel, C. González-Martel, S. Peiró-Moreno. BMJ Open, 2018, 8, pp. 1 - 6.   Fulltext   Abstract
Journal article

• 2017

Determinantes de estabilidad cambiaria en países miembros y candidatos de la Unión Europea: Un análisis basado en algoritmos genéticos
M.C. Ramos-Herrera, E. Acosta-González. Cuadernos de Economía, 2017, 40 (112), pp. 68 - 82.   Fulltext   Abstract
Journal article

Stochastic frontier models with dependent errors based on normal and exponential margins
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Journal of Quantitative Methods for Economics and Business Administration, 2017, 23, pp. 3 - 23.   Fulltext   Abstract
Journal article

Modelling the asymmetric probabilistic delay of aircraft arrival
J.V. Pérez-Rodríguez, J.M. Pérez Sánchez, E. Gómez-Déniz. Journal of Air Transport Management, 2017, 62, pp. 90 - 98.   Fulltext   Abstract
Journal article

A bivariate response model for studying the marks of two dependent higher education courses
E. Gómez-Déniz, N. Dávila, M.D. García-Artiles. SORT-Statistics and Operations Research Transactions, 2017, 41 (2), pp. 255 - 276.   Fulltext   Abstract
Journal article

Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Communications in Statistics -Theory and Methods, 2017, 46 (18), pp. 9007 - 9025.   Fulltext   Abstract
Journal article

An evolving model for the lodging-service network in a tourism destination
J.M. Hernández, C. González-Martel. Physica A: Statistical Mechanics and its Applications , 2017, 482, pp. 296 - 307.   Fulltext   Abstract
Journal article

• 2016

Modelling time-varying asymmetric information component of transaction costs
J.V. Pérez-Rodríguez, M.A. Negrín. Spanish Journal of Finance and Accounting , 2016, 45 (4), pp. 440 - 465.   Fulltext   Abstract
Journal article

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility
F. Fernández-Rodríguez, M. Gómez-Puig, S. Sosvilla-Rivero. Journal of International Financial Markets, Institutions & Money, 2016, 43, pp. 126 - 145.   Fulltext   Abstract
Journal article

Introducción a la modelización de la volatilidad financiera
J.V. Pérez-Rodríguez. 2016. Las Palmas de Gran Canaria: Servicio de Publicaciones y Difusión Científica de la ULPGC. ISBN: 978-84-9042- 253-3.
Book

Portfolios in the Ibex 35 before and after the Global Financial Crisis
V.M. Adame, F. Fernández-Rodríguez, S. Sosvilla-Rivero. Applied Economics, 2016, 48 (40), pp. 3826 - 3847.   Fulltext   Abstract
Journal article

Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?
J. Andrada-Félix, F. Fernández-Rodríguez, A.M. Fuertes. International Journal of Forecasting, 2016, 32 (3), pp. 695 - 715.   Fulltext   Abstract
Journal article

International trade and tourism flows: An extension of the gravity model
M. Santana-Gallego, F.J. Ledesma-Rodríguez, J.V. Pérez-Rodríguez. Economic Modelling, 2016, 52 (Part B), pp. 1026 - 1033.   Fulltext   Abstract
Journal article

The inter-relationship between rural and mass tourism: The case of Catalonia, Spain
J.M. Hernández, R. Suárez-Vega, Y. Santana-Jiménez. Tourism Management, 2016, 54, pp. 43 - 57.   Fulltext   Abstract
Journal article

The euro effect: Tourism creation, tourism diversion and tourism potential within the European Union
M. Santana Gallego, F. Ledesma Rodríguez, J.V. Pérez-Rodríguez. European Union Politics, 2016, 17 (1), pp. 46 - 68.   Fulltext   Abstract
Journal article

Introducción a las técnicas de muestreo
J. Boza-Chirino, J.V. Pérez-Rodríguez, J. De León-Ledesma. 2016. Madrid: Pirámide. ISBN: 978-84-9042-081-2.
Book

Stock-bond decoupling before and after the 2008 crisis
E. Acosta-González, J. Andrada-Félix, F. Fernández-Rodríguez. Applied Economics Letters, 2016, 23 (7), pp. 465 - 470.   Fulltext   Abstract
Journal article

Random tests combining Mathematica package and Latex compiler
E. Gómez-Déniz, N. Dávila, M.D. García-Artiles. International Journal of Software Engineering & Applications (IJSEA), 2016, 7 (4), pp. 1 - 10.   Fulltext   Abstract
Journal article

Conditional duration model and unobserved market heterogeneity of traders. An infinite mixture of Non-Exponentials
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Colombian Journal of Statistics, 2016, 39 (2), pp. 307 - 325.   Fulltext   Abstract
Journal article

• 2015

The influence of remoteness and isolation in the rural tourism accommodation service among Eastern and Western destinations
Y. Santana-Jiménez, Y.Y. Sun, J.M. Hernández, R. Suárez-Vega. Journal of Travel Research, 2015, 54 (3), pp. 380 - 395.   Fulltext   Abstract
Journal article

Testing dependence between GDP and tourism's growth rates
J.V. Pérez-Rodríguez, F. Ledesma-Rodríguez, M. Santana Gallego. Tourism Management, 2015, 48 (1), pp. 268 - 282.   Fulltext   Abstract
Journal article

Volatility spillovers in EMU sovereign bond markets
F. Fernández-Rodríguez, M. Gómez-Puig, S. Sosvilla-Rivero. International Review of Economics & Finance, 2015, 39, pp. 337 - 352.   Fulltext   Abstract
Journal article

Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market
J. Andrada-Félix, A. Fernández Pérez, F. Fernández-Rodríguez. SERIEs, 2015, 6 (2), pp. 207 - 245.   Fulltext   Abstract
Journal article

On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
E. Acosta-González, R. Armas-Herrera, F. Fernández-Rodríguez. Quantitative Finance, 2015, 15 (6), pp. 1075 - 1091.   Fulltext   Abstract
Journal article

Closed-form solution for a bivariate distribution in stochastic frontier models with dependent errors
E. Gómez-Déniz, J.V. Pérez-Rodríguez. Journal of Productivity Analysis, 2015, 43 (2), pp. 215 - 223.   Fulltext   Abstract
Journal article

Spread component costs and stock trading characteristicas in the Spanish Stock Exchange. Two flexible fractional response models
J.V. Pérez-Rodríguez, E. Gómez-Déniz. Quantitative Finance, 2015, 15 (12), pp. 1943 - 1962.   Fulltext   Abstract
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