Forecasting volatility using a continuous time model

This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change pattern. We use ex-post volatility as a proxy of the realized volatility obtained from intraday data and the forecasts from the SV2F are calculated using the reprojection technique proposed by Gallant and Tauchen (1998).

Scheduled Service Versus Personal Transportation: The Role of Distance

This paper presents a theoretical and empirical analysis of the relationship be- tween frequency of scheduled transportation services and their substitutability with personal transportation (using distance as a proxy). We study the interaction between a monopoly firm providing a high-speed scheduled service and private transportation (i.e., car). Interestingly, the carrier chooses to increase the frequency of service on longer routes when competing with personal transportation because by providing higher frequency (at extra cost) it can also charge higher fares which can boost its profits. However, in line with the results of earlier studies, frequency decreases for longer flights when driving is not a viable option. An empirical application of our analysis to the European airline industry confirms the predictions of our theoretical model. Keywords: short-haul routes; long-haul routes; flight frequency; distance JEL Classification Numbers: L13; L2; L93

Productivity, quality, and export intensities

We study how firm and foreign market characteristics affect the geographic distribution of exporter' sales. To this purpose, we use export intensities (the ratio of exports to sales) across destinations as our key measures of firms'relative involvement in heterogeneous foreign markets. In a representative sample of Italian manufacturing firms, we find a robust negative correlation between revenue-TFP and export intensity to low-income destinations and, more generally, that the correlations between export intensities and TFP are increasing in per capita income of the foreign destinations. We argue that these (and other) empirical regularities can arise from the interplay between (endogenous) cross-firm heterogeneity in product quality and cross-country heterogeneity in quality consumption. To test this conjecture, we propose a new strategy to proxy for product quality that allows to exploit some unique features of our dataset. Our results strongly suggest that firms producing higher-quality products tend to concentrate their sales in the domestic and other high-income markets.

Filtrat de Pàgines Web

Aquesta memòria sintetitza el treball de desenvolupament d¿una aplicació per realitzar el filtrat de pàgines web.Els objectius principals del projecte han estat d¿una banda obtenir una aplicació que permeti realitzar el filtrat i de l¿altra aprofitar el projecte per construir un model complet de desenvolupament de programari per a industrialitzar futurs projectes. En quant a la metodologia, s¿ha emprat el cicle de vida RUP de forma incremental en les tres parts de l¿aplicació, (proxy, filtres i log). En la seqüència de quatre fases s¿executen iterativament una sèrie de processos. Pel que fa al producte obtingut, es tracta d¿un servidor proxy, que realitza la funció de filtrat de pàgines web, mitjançant dues utilitats, ¿llista negra¿ d¿adreces i ¿llista negra¿ de continguts, ames de disposar d¿un registre d¿activitat log.

Projecte Argos

L'objectiu principal del projecte és el disseny d'un proxy que té com a funció filtrar el recursos web sol·licitats pels usuaris i registrar-los en un historial, indicant si s'han permès o no. Una característica important del disseny és que ha de permetre incorporar noves funcionalitats al proxy, per exemple, catxé de recursos, filtrat de correus electrònics, xats, FTP, P2P, ...). A més, com a objectiu secundari, l'autor pretén implementar el disseny en un prototipus.

Filtre de pàgines web

Aquest projecte es fonamenta en l'estudi del protocol HTTP, el qual funciona amb l'estàndard client-servidor, la seva estructura, funcionament, l'explicació d'un exemple i el tipus de dades que treballen les peticions i respostes, i la seva aplicació en el cas dels servidors intermediaris (

TFCProxy : Filtrat de pàgines web

En aquest TFC s'abordarà la creació d?un proxy que permetrà filtrar les pàgines web que continguin una sèrie d'adreces o paraules clan que haurem, prèviament, definit en un fitxer. Serà doncs, una eina que permetrà un major control als accessos a segons quines pàgines

Umbra Filtre Web : Aplicació de filtrat de pàgines web

El projecte presentat explora les possibilitats de la tecnologia de Microsoft.NET Framework en el camp del filtratge de pàgines web. Per disseny s'ha escollit una solució relacionada amb xarxes d'ordinadors i el resultat del projecte és una aplicació que utiliza com a base un proxy http, de forma que és capaç de filtrar pàgines web abans de que aquestes arribin al navegador.

Desenvolupament d'una aplicació per al filtrat de pàgines web

Aquest treball presenta un servidor proxy fàcilment configurable per a filtrar de pàgines web el contingut de les quals es vol prohibir a un usuari. L'aplicació ha estat desenvolupada en Java mitjançant les classes Socket i ServerSocket. I incorpora la funcionalitat de confecció d'estadístiques del tràfic a través del proxy provinent de la internet i provinent del browser.

How effective are policies to reduce gasoline consumption? evaluating a quasi-natural experiment in Spain

Using a panel of 48 provinces for four years we empirically analyze a series of temporary policies aimed at curbing fuel consumption implemented in Spain between March and June 2011. The first policy was a reduction in the speed limit in highways. The second policy was an increase in the biofuel content of fuels used in the transport sector. The third measure was a reduction of 5% in commuting and regional train fares that resulted in two major metropolitan areas reducing their overall fare for public transit. The results indicate that the speed limit reduction in highways reduced gasoline consumption by between 2% and 3%, while an increase in the biofuel content of gasoline increased this consumption. This last result is consistent with experimental evidence that indicates that mileage per liter falls with an increase in the biofuel content in gasolines. As for the reduction in transit fares, we do not find a significant effect for this policy. However, in specifications including the urban transit fare for the major cities in each province the estimated cross-price elasticity of the demand for gasoline -used as a proxy for car use- with respect to the price of transit is within the range reported in the literature. This is important since one of the main eficiency justification for subsidizing public transit rests on the positive value of this parameter and most of the estimates reported in the literature are quite dated.

Temporal variability and trends of the downward solar radiation over Europe during the 20th century, with regional focus in the dimming/brightening phenomena on the Iberian Peninsula

Proyecto de investigación elaborado a partir de una estancia en el Institute for Atmospheric and Climate Science, a Alemanya, entre 2010 y 2012. La radiación solar que alcanza la superficie terrestre es un factor clave entre los procesos que controlan el clima de la Tierra, dado el papel que desempeñan en el balance energético y el ciclo hidrológico. Establecer su contribución al cambio climático reciente supone una gran dificultad debido a la complejidad de los procesos implicados, la gran cantidad de información requerida, y la incertidumbre de las bases de datos disponibles en la actualidad. Así, el objetivo principal del proyecto ha consistido en generar una base de datos de insolación incluyendo las series más largas (desde finales del siglo XIX) disponibles en toda Europa. Esta base de datos complementa para nuestro continente el Global Energy Balance Archive (GEBA) que mantiene y gestiona el grupo que ha acogido al receptor de la ayuda postdoctoral, y permite extender espacial (especialmente en países del sur de Europa) y temporalmente las series climáticas disponibles de mediciones de irradiancia solar. Como la insolación es un proxy de la irradiancia solar, el proyecto actual también ha tratado de calibrar de forma exhaustiva ambas variables, a fin de generar una nueva base de datos reconstruida de esta segunda variable que esté disponible desde finales del siglo XIX en Europa. Un segundo objetivo del proyecto ha consistido en continuar trabajando a escala de mayor detalle sobre la Península Ibérica, con el fin de proporcionar una mejor comprensión del fenómeno del “global dimming/brightening” y su impacto en el ciclo hidrológico y balance energético. Finalmente, un tercer objetivo del presente proyecto postdoctoral ha consistido en continuar estudiando los posibles ciclos semanales a gran escala de diferentes variables climáticas, línea de investigación de interés para la detección de posibles efectos de los aerosoles antrópicos en el clima a escalas temporales breves, y consecuentemente estrechamente vinculado al fenómeno del “global dimming/brightening”.

On the foundations of well-being economics and policy

When one wishes to implement public policies, there is a previous need of comparing different actions and valuating and evaluating them to assess their social attractiveness. Recently the concept of well-being has been proposed as a multidimensional proxy for measuring societal prosperity and progress; a key research topic is then on how we can measure and evaluate this plurality of dimensions for policy decisions. This paper defends the thesis articulated in the following points: 1. Different metrics are linked to different objectives and values. To use only one measurement unit (on the grounds of the so-called commensurability principle) for incorporating a plurality of dimensions, objectives and values, implies reductionism necessarily. 2. Point 1) can be proven as a matter of formal logic by drawing on the work of Geach about moral philosophy. This theoretical demonstration is an original contribution of this article. Here the distinction between predicative and attributive adjectives is formalised and definitions are provided. Predicative adjectives are further distinguished into absolute and relative ones. The new concepts of set commensurability and rod commensurability are introduced too. 3. The existence of a plurality of social actors, with interest in the policy being assessed, causes that social decisions involve multiple types of values, of which economic efficiency is only one. Therefore it is misleading to make social decisions based only on that one value. 4. Weak comparability of values, which is grounded on incommensurability, is proved to be the main methodological foundation of policy evaluation in the framework of well-being economics. Incommensurability does not imply incomparability; on the contrary incommensurability is the only rational way to compare societal options under a plurality of policy objectives. 5. Weak comparability can be implemented by using multi-criteria evaluation, which is a formal framework for applied consequentialism under incommensurability. Social Multi-Criteria Evaluation, in particular, allows considering both technical and social incommensurabilities simultaneously.

Self-reported social class in adolescents: validity and relationship with gradients in self-reported health

Background: Analyzing social differences in the health of adolescents is a challenge. The accuracy of adolescent's report on familial socio-economic position is unknown. The aims of the study were to examine the validity of measuring occupational social class and family level of education reported by adolescents aged 12 to 18, and the relationship between social position and self-reported health.Methods: A sample of 1453 Spanish adolescents 12 to 18 years old from urban and rural areas completed a self-administered questionnaire including the Child Health and Illness Profile-Adolescent Edition (CHIP-AE), and data on parental occupational social class (OSC) and level of education (LE). The responsible person for a sub-sample of teenagers (n = 91) were interviewed by phone. Kappa coefficients were estimated to analyze agreement between adolescents and proxy-respondents, and logistic regression models were adjusted to analyze factors associated with missing answers and disagreements. Effect size (ES) was calculated to analyze the relationship between OSC, LE and the CHIP-AE domain scores.Results: Missing answers were higher for father's (24.2%) and mother's (45.7%) occupational status than for parental education (8.4%, and 8.1% respectively), and belonging to a non-standard family was associated with more incomplete reporting of social position (OR = 4,98; 95%CI = 1,3–18,8) as was agreement between a parent and the adolescent. There were significant social class gradients, most notably for aspects of health related to resilience to threats to illness.ConclusionAdolescents can acceptably self-report on family occupation and level of education. Social class gradients are present in important aspects of health in adolescents.

Adjustment to Target Capital, Finance, and Growth

Does financial development result in capital being reallocated more rapidly to industries where it is most productive? We argue that if this was the case, financially developed countries should see faster growth in industries with investment opportunities due to global demand and productivity shifts. Testing this cross-industry cross-country growth implication requires proxies for (latent) global industry investment opportunities. We show that tests relying only on data from specific (benchmark) countries may yield spurious evidence for or against the hypothesis. We therefore develop an alternative approach that combines benchmark-country proxies with a proxy that does not reflect opportunities specific to a country or level of financial development. Our empirical results yield clear support for the capital reallocation hypothesis.

Seeking theta's desperately: Estimating the distribution of consumers under increasing block rates

This paper shows that the distribution of observed consumption is not a good proxy for the distribution of heterogeneous consumers when the current tariff is an increasing block tariff. We use a two step method to recover the "true" distribution of consumers. First, we estimate the demand function induced by the current tariff. Second, using the demand system, we specify the distribution of consumers as a function of observed consumption to recover the true distribution. Finally, we design a new two-part tariff which allows us to evaluate the equity of the existence of an increasing block tariff.