Nonparametric estimation of Value-at-Risk

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R programs are available.

Chaos and order in the contemporary city. The impact of urban spatial structure on population density and commuting distance in Barcelona, 1986-2001.

One of the criticisms leveled at the model of dispersed city found all over the world is its unarticulated, random, and undifferentiated nature. To check this idea in the Barcelona Metropolitan Region, we estimated the impact of the urban spatial structure (CBD, subcenters and transportation infrastructures) over the population density and commuting distance. The results are unfavorable to the hypothesis of the increasing destructuring of cities given that the explanatory capacity of both functions improves over time, both when other control variables are not included and when they are included.

The Impact of advice on women's and men's selection into competition

We conduct a laboratory experiment to study how advice affects the gender gap in the entry into a real-effort tournament. Our experiment is motivated by the concerns raised by approaching the gender gap through affirmative action. Advice is given by subjects who have already had some experience with the participation decision. We show that advice improves the entry decision of subjects, in that forgone earnings due to wrong entry decisions go significantly down. This is mainly driven by significantly increased entry of strong performing women, who also become significantly more confident, and reduced entry of weak performing men.

Quantifying rock fabrics: a test of autocorrelation of the spatial distribution of cristals

A novel test of spatial independence of the distribution of crystals or phases in rocksbased on compositional statistics is introduced. It improves and generalizes the commonjoins-count statistics known from map analysis in geographic information systems.Assigning phases independently to objects in RD is modelled by a single-trial multinomialrandom function Z(x), where the probabilities of phases add to one and areexplicitly modelled as compositions in the K-part simplex SK. Thus, apparent inconsistenciesof the tests based on the conventional joins{count statistics and their possiblycontradictory interpretations are avoided. In practical applications we assume that theprobabilities of phases do not depend on the location but are identical everywhere inthe domain of de nition. Thus, the model involves the sum of r independent identicalmultinomial distributed 1-trial random variables which is an r-trial multinomialdistributed random variable. The probabilities of the distribution of the r counts canbe considered as a composition in the Q-part simplex SQ. They span the so calledHardy-Weinberg manifold H that is proved to be a K-1-affine subspace of SQ. This isa generalisation of the well-known Hardy-Weinberg law of genetics. If the assignmentof phases accounts for some kind of spatial dependence, then the r-trial probabilitiesdo not remain on H. This suggests the use of the Aitchison distance between observedprobabilities to H to test dependence. Moreover, when there is a spatial uctuation ofthe multinomial probabilities, the observed r-trial probabilities move on H. This shiftcan be used as to check for these uctuations. A practical procedure and an algorithmto perform the test have been developed. Some cases applied to simulated and realdata are presented.Key words: Spatial distribution of crystals in rocks, spatial distribution of phases,joins-count statistics, multinomial distribution, Hardy-Weinberg law, Hardy-Weinbergmanifold, Aitchison geometry

Epidemic models with an infected-infectious period

The introduction of an infective-infectious period on the geographic spread of epidemics is considered in two different models. The classical evolution equations arising in the literature are generalized and the existence of epidemic wave fronts is revised. The asymptotic speed is obtained and improves previous results for the Black Death plague

Aplicatiu web per la gestió de l’Associació Cultural Pubills

S'ha creat un aplicatiu web autogestionable per a l'Associació Cultural Pubills de Valls de Torroella que millora l’existent. El nou aplicatiu disposa de noves funcionalitats com el fòrum, notícies, secció d’arxius multimèdia i botiga virtual. L'aplicatiu ha estat desenvolupat des de zero utilitzant programari lliure i els principals llenguatges de programació web actuals. Projecte disponible a http://www.pubills.com.

Estimation of electronic coupling in π -stacked donor-bridge-acceptor systems: correction of the two-state model

Comparison of donor-acceptor electronic couplings calculated within two-state and three-state models suggests that the two-state treatment can provide unreliable estimates of Vda because of neglecting the multistate effects. We show that in most cases accurate values of the electronic coupling in a π stack, where donor and acceptor are separated by a bridging unit, can be obtained as Ṽ da = (E2 - E1) μ12 Rda + (2 E3 - E1 - E2) 2 μ13 μ23 Rda2, where E1, E2, and E3 are adiabatic energies of the ground, charge-transfer, and bridge states, respectively, μij is the transition dipole moments between the states i and j, and Rda is the distance between the planes of donor and acceptor. In this expression based on the generalized Mulliken-Hush approach, the first term corresponds to the coupling derived within a two-state model, whereas the second term is the superexchange correction accounting for the bridge effect. The formula is extended to bridges consisting of several subunits. The influence of the donor-acceptor energy mismatch on the excess charge distribution, adiabatic dipole and transition moments, and electronic couplings is examined. A diagnostic is developed to determine whether the two-state approach can be applied. Based on numerical results, we showed that the superexchange correction considerably improves estimates of the donor-acceptor coupling derived within a two-state approach. In most cases when the two-state scheme fails, the formula gives reliable results which are in good agreement (within 5%) with the data of the three-state generalized Mulliken-Hush model

Lifespan extension by calorie restriction relies on the Sty1 MAP kinase stress pathway

Either calorie restriction, loss of function of the nutrient-dependent PKA or TOR/SCH9 pathways, or activation of stress defences improves longevity in different eukaryotes. However, the molecular links between glucose depletion, nutrient-dependent pathways and stress responses are unknown. Here we show that either calorie restriction or inactivation of nutrient-dependent pathways induces life-span extension in fission yeast, and that such effect is dependent on the activation of the stress-dependent Sty1 MAP kinase. During transition to stationary phase in glucose-limiting conditions, Sty1 becomes activated and triggers a transcriptional stress program, whereas such activation does not occur under glucose-rich conditions. Deletion of the genes coding for the SCH9-homologue Sck2 or the Pka1 kinases, or mutations leading to constitutive activation of the Sty1 stress pathway increase life span under glucose-rich conditions, and importantly such beneficial effects depend ultimately on Sty1. Furthermore, cells lacking Pka1 display enhanced oxygen consumption and Sty1 activation under glucose-rich conditions. We conclude that calorie restriction favours oxidative metabolism, reactive oxygen species production and Sty1 MAP kinase activation, and this stress pathway favours life-span extension.

Discovering the campus together: a mobile and computer-based learning experience

One of the most relevant difficulties faced by first-year undergraduate students is to settle into the educational environment of universities. This paper presents a case study that proposes a computer-assisted collaborative experience designed to help students in their transition from high school to university. This is done by facilitating their first contact with the campus and its services, the university community, methodologies and activities. The experience combines individual and collaborative activities, conducted in and out of the classroom, structured following the Jigsaw Collaborative Learning Flow Pattern. A specific environment including portable technologies with network and computer applications has been developed to support and facilitate the orchestration of a flow of learning activities into a single integrated learning setting. The result is a Computer-Supported Collaborative Blended Learning scenario, which has been evaluated with first-year university students of the degrees of Software and Audiovisual Engineering within the subject Introduction to Information and Communications Technologies. The findings reveal that the scenario improves significantly students’ interest in their studies and their understanding about the campus and services provided. The environment is also an innovative approach to successfully support the heterogeneous activities conducted by both teachers and students during the scenario. This paper introduces the goals and context of the case study, describes how the technology was employed to conduct the learning scenario, the evaluation methods and the main results of the experience.

Book vs. Fair Value Accounting in Banking, and Intertemporal Smoothing

The aim of this paper is to examine the pros and cons of book and fair value accounting from the perspective of the theory of banking. We consider the implications of the two accounting methods in an overlapping generations environment. As observed by Allen and Gale(1997), in an overlapping generation model, banks have a role as intergenerational connectors as they allow for intertemporal smoothing. Our main result is that when dividends depend on profits, book value ex ante dominates fair value, as it provides better intertemporal smoothing. This is in contrast with the standard view that states that, fair value yields a better allocation as it reflects the real opportunity cost of assets. Banking regulation play an important role by providing the right incentives for banks to smooth intertemporal consumption whereas market discipline improves intratemporal efficiency.

A New Model for Designing a Product Line Using TURF Analysis

This paper introduces the approach of using TURF analysis to design a product line through a binary linear programming model. This improves the efficiency of the search for the solution to the problem compared to the algorithms that have been used to date. Furthermore, the proposed technique enables the model to be improved in order to overcome the main drawbacks presented by TURF analysis in practice.

Institutions, Public Debt and Foreign Finance

We study the role of domestic financial institutions in sustaining capital flows to the private and public sector of a country whose government can default on its debt. As in recent public debt crises, in our model public defaults weaken banks' balance sheets, disrupting domestic financial markets. This effect leads to a novel complementarity between private capital inflows and public borrowing, where the former sustain the latter by boosting the government's cost of default. Our key message is that, by shaping the direction of private capital flows, financial institutions determine whether financial integration improves or reduces government discipline. We explore the implications of this complementarity for financial liberalization and debt-financed bailouts of banks. We present some evidence consistent with complementarity.

Interbank market integration under asymmetric information

We argue that the main barrier to an integrated international interbankmarket is the existence of asymmetric information between differentcountries, which may prevail in spite of monetary integration or successfulcurrency pegging. In order to address this issue, we study the scope forinternational interbank market integration with unsecured lending whencross-country information is noisy. We find not only that an equilibriumwith integrated markets need not always exist, but also that when it does,the integrated equilibrium may coexist with one of interbank marketsegmentation. Therefore, market deregulation, per se, does not guaranteethe emergence of an integrated interbank market. The effect of a repo marketwhich, a priori, was supposed to improve efficiency happens to be morecomplex: it reduces interest rate spreads and improves upon the segmentationequilibrium, but\ it may destroy the unsecured integrated equilibrium, sincethe repo market will attract the best borrowers. The introduction of othertransnational institutional arrangements, such as multinational banking,correspondent banking and the existence of "too-big-to-fail" banks mayreduce cross country interest spreads and provide more insurance againstcountry wide liquidity shocks. Still, multinational banking, as theintroduction of repos, may threaten the integrated interbank marketequilibrium.

International business cycles, financial markets and household production

This paper investigates the properties of an international real business cycle model with household production. We show that a model with disturbances to both market and household technologies reproduces the main regularities of the data and improves existing models in matching international consumption, investment and output correlations without irrealistic assumptions on the structure of international financial markets. Sensitivity analysis shows the robustness of the results to alternative specifications of the stochastic processes for the disturbances and to variations of unmeasured parameters within a reasonable range.

A model of shadow banking

We present a model of shadow banking in which financial intermediaries originate and trade loans, assemble these loans into diversified portfolios, and then finance these portfolios externally with riskless debt. In this model: i) outside investor wealth drives the demand for riskless debt and indirectly for securitization, ii) intermediary assets and leverage move together as in Adrian and Shin (2010), and iii) intermediaries increase their exposure to systematic risk as they reduce their idiosyncratic risk through diversification, as in Acharya, Schnabl, and Suarez (2010). Under rational expectations, the shadow banking system is stable and improves welfare. When investors and intermediaries neglect tail risks, however, the expansion of risky lending and the concentration of risks in the intermediaries create financial fragility and fluctuations in liquidity over time.