Autorregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.

Methods for Measuring Aggregate Costs of Conflict

This paper reviews the methods for measuring the economic cost of conflict. Estimating the economic costs of conflict requires a counterfactual calculation, which makes this a very difficult task. Social researchers have resorted to different estimation methods depending on the particular effect in question. The method used in each case depends on the units being analyzed (firms, sectors, regions or countries), the outcome variable under study (aggregate output, market valuation of firms, market shares, etc.) and data availability (a single cross-section, time series or panel data). This paper reviews existing methods used in the literature to assess the economic impact of conflict: cost accounting, cross-section methods, time series methods, panel data methods, gravity models, event studies, natural experiments and comparative case studies. The paper ends with a discussion of cost estimates and directions for further research.

Computing abuse related damages in the case of new entry: An illustration for the Directory Enquiry Services market

A number of European countries, among which the UK and Spain, have opened up their Directory Enquiry Services (DQs, or 118AB) market to competition. We analyse the Spanish case, where both local and foreign firms challenged the incumbent as of April 2003. We argue that the incumbent had the ability to abuse its dominant position, and that it was a perfectly rational strategy. In short,the incumbent raised its rivals' costs directly by providing an inferior quality version of the (essential) input, namely the incumbent's subscribers' database. We illustrate how it is possible to quantify the effect of abuse in situation were the entrant has no previous history in the market. To do this, we use the UK experience to construct the relevant counterfactual, that is the "but for abuse" scenario. After controlling for relative prices and advertising intensity, we find that one of the foreign entrants achieved a Spanish market share of only half of what it would have been in the absence of abuse.

The Relationship between Risk and Expected Return in Europe

Revised: 2006-07

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 1, pages 5.

Time Variation in an Optimal Asymmetric Preference Monetary Policy Model

This paper considers a time varying parameter extension of the Ruge-Murcia (2003, 2004) model to explore whether some of the variation in parameter estimates seen in the literature could arise from this source. A time varying value for the unemployment volatility parameter can be motivated through several means including variation in the slope of the Phillips curve or variation in the preferences of the monetary authority.We show that allowing time variation for the coefficient on the unemployment volatility parameter improves the model fit and it helps to provide an explanation of inflation bias based on asymmetric central banker preferences, which is consistent across subsamples.

Can the change in the composition of the US GDP explain the Great Moderation? A test via oil price shocks

The paper investigates whether the growing GDP share of the services sector can contribute to explain the great moderation in the US. We identify and analyze three oil price shocks and use a SVAR analysis to measure their economic impact on the US economy at both the aggregate and the sectoral level. We find mixed support for the explanation of the great moderation in terms of shrinking oil shock volatilities and observe that increases (decreases) in oil shock volatilities are contrasted by a weakening (strengthening) in their transmission mechanism. Across sectors, services are the least affected by any oil shock. As the contribution of services to the GDP volatility increases over time, we conclude that a composition effect contributed to moderate the conditional volatility to oil shocks of the US GDP.

Evolution of Cooperation in the Snowdrift Game with Incomplete Information and Heterogeneous Population

Differently from previous studies of tag-based cooperation, we assume that individuals fail to recognize their own tag. Due to such incomplete information, the action taken against the opponent cannot be based on similarity, although it is still motivated by the tag displayed by the opponent. We present stability conditions for the case when individuals play unconditional cooperation, unconditional defection or conditional cooperation. We then consider the removal of one or two strategies. Results show that conditional cooperators are the most resilient agents against extinction and that the removal of unconditional cooperators may lead to the extinction of unconditional defectors.

Optimal Monetary Policy with Asymmetric Preferences for Output

Using a model of an optimizing monetary authority which has preferences that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical evidence that the authority has asymmetric preferences for unemployment. We extend this model to weigh inflation and output and show that the empirical evidence using these series also supports an asymmetric preference hypothesis, only in our case, preferences are asymmetric for output. We also find evidence that the monetary authority targets potential output rather than some higher output level as would be the case in an extended Barro and Gordon (1983) model.

Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets

This paper models the mean and volatility spillovers of prices within the integrated Iberian and the interconnected Spanish and French electricity markets. Using the constant (CCC) and dynamic conditional correlation (DCC) bivariate models with three different specifications of the univariate variance processes, we study the extent to which increasing interconnection and harmonization in regulation have favoured price convergence. The data consist of daily prices calculated as the arithmetic mean of the hourly prices over a span from July 1st 2007 until February 29th 2012. The DCC model in which the variances of the univariate processes are specified with a VARMA(1,1) fits the data best for the integrated MIBEL whereas a CCC model with a GARCH(1,1) specification for the univariate variance processes is selected to model the price series in Spain and France. Results show that there are significant mean and volatility spillovers in the MIBEL, indicating strong interdependence between the two markets, while there is a weaker evidence of integration between the Spanish and French markets. We provide new evidence that the EU target of achieving a single electricity market largely depends on increasing trade between countries and homogeneous rules of market functioning.

Strategic Votes and Sincere Counterfactuals

The Random Utility Model (RUM) of voting behavior can account for strategic voting by making use of proxy indicators that measure voter incentives to vote strategically. The contribution of this paper is to propose a new method to estimate the RUM in the presence of strategic voters, without having to construct proxy measures of strategic voting incentives. Our method can be used to infer the counterfactual sincere vote of those who vote strategically and provides an estimate of the size of strategic voting. We illustrate the procedure using post-electoral survey data from Spain. Our calculations indicate that strategic voting in Spain is about 2.19 per cent

GABAergic and Cortical and Subcortical Glutamatergic Axon Terminals Contain CB1 Cannabinoid Receptors in the Ventromedial Nucleus of the Hypothalamus

Background: Type-1 cannabinoid receptors (CB1R) are enriched in the hypothalamus, particularly in the ventromedial hypothalamic nucleus (VMH) that participates in homeostatic and behavioral functions including food intake. Although CB1R activation modulates excitatory and inhibitory synaptic transmission in the brain, CB1R contribution to the molecular architecture of the excitatory and inhibitory synaptic terminals in the VMH is not known. Therefore, the aim of this study was to investigate the precise subcellular distribution of CB1R in the VMH to better understand the modulation exerted by the endocannabinoid system on the complex brain circuitries converging into this nucleus. Methodology/Principal Findings: Light and electron microscopy techniques were used to analyze CB1R distribution in the VMH of CB1R-WT, CB1R-KO and conditional mutant mice bearing a selective deletion of CB1R in cortical glutamatergic (Glu-CB1R-KO) or GABAergic neurons (GABA-CB1R-KO). At light microscopy, CB1R immunolabeling was observed in the VMH of CB1R-WT and Glu-CB1R-KO animals, being remarkably reduced in GABA-CB1R-KO mice. In the electron microscope, CB1R appeared in membranes of both glutamatergic and GABAergic terminals/preterminals. There was no significant difference in the percentage of CB1R immunopositive profiles and CB1R density in terminals making asymmetric or symmetric synapses in CB1R-WT mice. Furthermore, the proportion of CB1R immunopositive terminals/preterminals in CB1R-WT and Glu-CB1R-KO mice was reduced in GABA-CB1R-KO mutants. CB1R density was similar in all animal conditions. Finally, the percentage of CB1R labeled boutons making asymmetric synapses slightly decreased in Glu-CB1R-KO mutants relative to CB1R-WT mice, indicating that CB1R was distributed in cortical and subcortical excitatory synaptic terminals. Conclusions/Significance: Our anatomical results support the idea that the VMH is a relevant hub candidate in the endocannabinoid-mediated modulation of the excitatory and inhibitory neurotransmission of cortical and subcortical pathways regulating essential hypothalamic functions for the individual's survival such as the feeding behavior.