Volatility spillovers in EMU sovereign bond markets

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.

Risk premiumin the global creditMarkets: 2006-2012

¿What have we learnt from the 2006-2012 crisis, including events such as the subprime crisis, the bankruptcy of Lehman Brothers or the European sovereign debt crisis, among others? It is usually assumed that in firms that have a CDS quotation, this CDS is the key factor in establishing the credit premiumrisk for a new financial asset. Thus, the CDS is a key element for any investor in taking relative value opportunities across a firm’s capital structure. In the first chapter we study the most relevant aspects of the microstructure of the CDS market in terms of pricing, to have a clear idea of how this market works. We consider that such an analysis is a necessary point for establishing a solid base for the rest of the chapters in order to carry out the different empirical studies we perform. In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel sets the requirement of a capital charge for credit valuation adjustment (CVA) risk in the trading book and its methodology for the computation for the capital requirement. This regulatory requirement has added extra pressure for in-depth knowledge of the CDS market and this motivates the analysis performed in this thesis. The problem arises in estimating of the credit risk premium for those counterparties without a directly quoted CDS in the market. How can we estimate the credit spread for an issuer without CDS? In addition to this, given the high volatility period in the credit market in the last few years and, in particular, after the default of Lehman Brothers on 15 September 2008, we observe the presence of big outliers in the distribution of credit spread in the different combinations of rating, industry and region. After an exhaustive analysis of the results from the different models studied, we have reached the following conclusions. It is clear that hierarchical regression models fit the data much better than those of non-hierarchical regression. Furthermore,we generally prefer the median model (50%-quantile regression) to the mean model (standard OLS regression) due to its robustness when assigning the price to a new credit asset without spread,minimizing the “inversion problem”. Finally, an additional fundamental reason to prefer the median model is the typical "right skewness" distribution of CDS spreads...

The World Heritage vs. Local Comnuty : identifying the sources of conflicts

The presented work is an essay rather than a scientific dissertation. The author wants to put an impact on the source of conflicts regarding the complex subject of heritage management and conservation in comparison with the local needs and the given context. The paper attempts to show the role of local communities and their cooperation with authorities as well as the effects of such cooperation. The area of research comprises the problems arising in the field of implementing external rules on the local field, challenges appearing regarding the needs of local communities and the efforts of official authorities trying to implement the principles of the conventions. The problems arise when local communities display the lack of understanding and do not share the common idea of heritage conservation. This is caused mainly by the decreasing possibilities of comfortable life. The author tries to identify the main and wrongful approaches as ‘Gone with the Wind’, ‘The Prince and The Pauper’, ‘Heart of Darkness’ or ‘Scarlet letter’. The focus will be put to explain what the areas are where a mutual misunderstanding arise and why all parts to the problem present different points of view. What creates a value? Is it a heritage object or maybe the other values need a stronger protection? When the general duty and the need to protect the heritage is regarded as a controversy and when it is considered as a value within a given community? The international public interest in heritage protection is often regarded as an attempt to diminish the sovereign power of the community and provokes severe controversies and tensions. The major problem envisaged today seems to be the massive and increasing urbanisation and the destruction of the vestiges still existing of traditional cultures, when we consider century urban post-industrial districts of Upper Silesia in Poland, the medieval cities in Western Europe, the traditional nomad Masaya villages in Kenya or the remains of vanished cultures in various regions of Asia. The preferred platform of cooperation between the parts of the conflict includes divergent needs, beliefs and practices of communities and the possible fields of reconciling the abovementioned. Chosen examples of the best practices considering mutual cooperation will be underlined.

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Eradication of bovine tuberculosis at a herd-level in Madrid, Spain: study of within-herd transmission dynamics over a 12 year period

BACKGROUND Eradication of bovine tuberculosis (bTB) through the application of test-and-cull programs is a declared goal of developed countries in which the disease is still endemic. Here, longitudinal data from more than 1,700 cattle herds tested during a 12 year-period in the eradication program in the region of Madrid, Spain, were analyzed to quantify the within-herd transmission coefficient (β) depending on the herd-type (beef/dairy/bullfighting). In addition, the probability to recover the officially bTB free (OTF) status in infected herds depending on the type of herd and the diagnostic strategy implemented was assessed using Cox proportional hazard models. RESULTS Overall, dairy herds showed higher β (median 4.7) than beef or bullfighting herds (2.3 and 2.2 respectively). Introduction of interferon-gamma (IFN-γ) as an ancillary test produced an apparent increase in the β coefficient regardless of production type, likely due to an increase in diagnostic sensitivity. Time to recover OTF status was also significantly lower in dairy herds, and length of bTB episodes was significantly reduced when the IFN-γ was implemented to manage the outbreak. CONCLUSIONS Our results suggest that bTB spreads more rapidly in dairy herds compared to other herd types, a likely cause being management and demographic-related factors. However, outbreaks in dairy herds can be controlled more rapidly than in typically extensive herd types. Finally, IFN-γ proved its usefulness to rapidly eradicate bTB at a herd-level.

En torno a la imagen literaria de Alfonso V de Aragón: Fortún García de Ercilla y su traducción castellana del De dictis de Antonio Beccadelli. Edición y estudio

Alfonso V of Aragon (1396-1458), who won from his contemporaries the title “the Magnanimous”, became one of the most brilliant fifteenth century monarchs, not only because of being a shrewd politician and king of one of the main kingdoms in the Iberian Peninsula, but also due to his cultural activity. Thanks to him the Aragonese territories were extended throughout the Mediterranean up to Naples, where he established a magnificent court that turned into maybe the most remarkable centre of intellectual vitality and development of Humanism. His patronage attracted a considerable number of leading poets of the period, as well as the most important Italian humanists. The presence of so many writers and outstanding scholars, together with the academic environment that the monarch encouraged, promoted an enormous literary production in four languages: Latin, Spanish, Catalan and Italian. Additionally, the valuable library gathered by the king and the Academy founded in order to spread knowledge illustrate part of his intellectual concerns. This way, through his love to literature and generosity to men of letters, Alfonso the Magnanimous boosted the culture of that time. The principal protagonist in the cultural activities of the circle of erudites formed around the sovereign was Antonio Beccadelli, called Panormita (1394-1471). He, one of the most prominent personalities of Italian Humanism, assumed the role of main royal advisor. His work De dictis et factis Alphonsi regis (The sayings and deeds of king Alfonso), which will be studied in our dissertation, became a very popular text about Alfonso’s personality, as a kind of biography based on anecdotes of the Magnanimous’ life by way of exempla to be imitated. The success of these episodes lasted for a long time and they are appreciated even nowadays. The work was valued as specula principum and had great impact in sixteenth century, when De dictis was republished several times and translated from Latin into Spanish. One of these translations, the one by Fortún García de Ercilla, caught our interest since it is in a manuscript signed by Ercilla himself and this version is still unpublished...