Flexible multivariate GARCH modeling with an application to international stock markets

The goal of this paper is to estimate time-varying covariance matrices.Since the covariance matrix of financial returns is known to changethrough time and is an essential ingredient in risk measurement, portfolioselection, and tests of asset pricing models, this is a very importantproblem in practice. Our model of choice is the Diagonal-Vech version ofthe Multivariate GARCH(1,1) model. The problem is that the estimation ofthe general Diagonal-Vech model model is numerically infeasible indimensions higher than 5. The common approach is to estimate more restrictive models which are tractable but may not conform to the data. Our contributionis to propose an alternative estimation method that is numerically feasible,produces positive semi-definite conditional covariance matrices, and doesnot impose unrealistic a priori restrictions. We provide an empiricalapplication in the context of international stock markets, comparing thenew estimator to a number of existing ones.

Downsizing, job insecurity and firm reputation

This paper studies how firms make layoff decisions in the presence of adverse shocks. In this uncertain environment, workers' expectations about their job security affect their on-the-job performance. This productivity effect on job insecurity forces firms to strike a balance between laying off redundant workers and maintaining survivors' commitment when deciding on the amount and timing of downsizing. This framework offers an explanation of conservative employment practices (such as zero or reduced layoffs) based on firms having private information about their future profits. High retention rates and wages can signal that the firm has a bright future, boosting workers' confidence. Moreover, the model provides clear predictions about when waves of downsizing will occur as opposed to one-time massive cuts.

Job dynamics, correlated shocks and wage profiles

We generalize the Mortensen-Pissarides (1994) model of the labor marketwith a more realistic structure for the stochastic process of theshocks to the worker-firm match. In this way we can acommodate theempirical observation that hazard rates of job termination decrease andaverage wages increase with job tenure. Besides being able to fit bettersome observables of the model, the changes we introduce are nontrivialfor the analysis of policies as well.

Non-stationary job search when jobs are not forever: A structural estimation

This paper considers a job search model where the environment is notstationary along the unemployment spell and where jobs do not lastforever. Under this circumstance, reservation wages can be lower thanwithout separations, as in a stationary environment, but they can alsobe initially higher because of the non-stationarity of the model. Moreover,the time-dependence of reservation wages is stronger than with noseparations. The model is estimated structurally using Spanish data forthe period 1985-1996. The main finding is that, although the decrease inreservation wages is the main determinant of the change in the exit ratefrom unemployment for the first four months, later on the only effect comesfrom the job offer arrival rate, given that acceptance probabilities areroughly equal to one.

Job search and asset accumulation under borrowing constraints

In this paper I show how borrowing constraints and job search interact.I fit a dynamic model to data from the National Longitudinal Survey(1979-cohort) and show that borrowing constraints are significant. Agentswith more initial assets and more access to credit attain higher wagesfor several periods after high school graduation. The unemployed maintaintheir consumption by running down their assets, while the employed saveto buffer against future unemployment spells. I also show that, unlikein models with exogenous income streams, unemployment transfers, byallowing agents to attain higher wages do not 'crowd out' but increasesaving.

Geometría flexible para las estructuras de barras

This article brings a geometric proposal which can be applied to the bar structures. The starting point is the substitution of the usual knots in a structural web by a system of combining the bars tivo by two, which is achieved by twisting the bars in each knot. The tensile forces that appear and the introduction of joints in each of these knots allow the transition from a rigid or undeformablegeometiy to a neiv flexible" one leading to the possibility of one and the same structural web adopting different sizes while preserving its original geometric form

Note on the blocking flow shop problem

We present some results attained with different algorithms for the Fm|block|Cmax problem using as experimental data the well-known Taillard instances.

FAM-MDR: a flexible family-based multifactor dimensionality reduction technique to detect epistasis using related individuals

We propose a novel multifactor dimensionality reduction method for epistasis detection in small or extended pedigrees, FAM-MDR. It combines features of the Genome-wide Rapid Association using Mixed Model And Regression approach (GRAMMAR) with Model-Based MDR (MB-MDR). We focus on continuous traits, although the method is general and can be used for outcomes of any type, including binary and censored traits. When comparing FAM-MDR with Pedigree-based Generalized MDR (PGMDR), which is a generalization of Multifactor Dimensionality Reduction (MDR) to continuous traits and related individuals, FAM-MDR was found to outperform PGMDR in terms of power, in most of the considered simulated scenarios. Additional simulations revealed that PGMDR does not appropriately deal with multiple testing and consequently gives rise to overly optimistic results. FAM-MDR adequately deals with multiple testing in epistasis screens and is in contrast rather conservative, by construction. Furthermore, simulations show that correcting for lower order (main) effects is of utmost importance when claiming epistasis. As Type 2 Diabetes Mellitus (T2DM) is a complex phenotype likely influenced by gene-gene interactions, we applied FAM-MDR to examine data on glucose area-under-the-curve (GAUC), an endophenotype of T2DM for which multiple independent genetic associations have been observed, in the Amish Family Diabetes Study (AFDS). This application reveals that FAM-MDR makes more efficient use of the available data than PGMDR and can deal with multi-generational pedigrees more easily. In conclusion, we have validated FAM-MDR and compared it to PGMDR, the current state-of-the-art MDR method for family data, using both simulations and a practical dataset. FAM-MDR is found to outperform PGMDR in that it handles the multiple testing issue more correctly, has increased power, and efficiently uses all available information.

Implantació d'un sistema SCADA en una cèl·lula flexible de fabricació

La Universitat de Vic disposa, entre altres equips, d’una cèl·lula flexible de fabricació, del fabricant Festo, que simula un procés de formació de palets amb els productes que es disposen en un magatzem intermedi. Aquesta cèl·lula està composta de quatre estacions de muntatge diferenciades (càrrega de palets, càrrega de plaques, magatzem intermedi i transport). Cada una disposa d'un PLC SIEMENS S7-300 per la seva automatització, i tots aquests es troben interconnectats amb una xarxa industrial Profibus. L'objectiu d'aquest projecte és implantar el sistema SCADA Vijeo Citect pel control i supervisió de l'estació magatzem d'aquesta cèl·lula flexible de fabricació, establint també un intercanvi de dades entre l'SCADA i el Microsoft Access, per poder ser utilitzat per la docència. Aquest projecte s'ha desenvolupat en cinc fases diferents: 1. La primera fase s'ha dedicat a l'automatització pròpiament de l'estació magatzem a partir de l'autòmat programable Siemens S7-300 i complint amb les necessitats plantejades. 2. En la segona fase s'ha programat i establert la comunicació per l'intercanvi de dades (lectura i escriptura) entre el sistema SCADA Vijeo Citect i la base de dades de Microsoft Access. 3. En la tercera fase s'ha elaborat i programat l'entorn gràfic de supervisió i control del procés a partir del sistema SCADA Vijeo Citect. 4. En la quarta fase s'ha instal·lat un OPC Server en el PC i s'ha establert la comunicació entre el PLC i el sistema SCADA. 5. Finalment s'ha anat revisant i depurant les diferents programacions i comunicacions per tal de que el sistema funcioni com a un conjunt.

The Job Board : Borsa de treball on-line, distribuïda i multi-dispositiu

Aquest treball final de carrera es basa en la creació d'una borsa de treball on-line, distribuïda i multi-dispositiu. Ha estat creada a partir de noves tecnologies com Play Framework i Twiter Bootstrap, utilitzant els llenguatges Java i Scala, usant marcatge HTML5 i desplegada en un servidor de cloud computing anomenat Heroku.

A hybrid algorithm combining metaheuristic with Monte Carlo simulation for solving the Stochastic Flow Shop problem

In this paper, a hybrid simulation-based algorithm is proposed for the StochasticFlow Shop Problem. The main idea of the methodology is to transform the stochastic problem into a deterministic problem and then apply simulation to the latter. In order to achieve this goal, we rely on Monte Carlo Simulation and an adapted version of a deterministic heuristic. This approach aims to provide flexibility and simplicity due to the fact that it is not constrained by any previous assumption and relies in well-tested heuristics.

A hybrid algorithm combining metaheuristic with Monte Carlo simulation for solving the Stochastic Flow Shop problem

In this paper, a hybrid simulation-based algorithm is proposed for the StochasticFlow Shop Problem. The main idea of the methodology is to transform the stochastic problem into a deterministic problem and then apply simulation to the latter. In order to achieve this goal, we rely on Monte Carlo Simulation and an adapted version of a deterministic heuristic. This approach aims to provide flexibility and simplicity due to the fact that it is not constrained by any previous assumption and relies in well-tested heuristics.

Programación de la producción en un sistema flow shop híbrido sin esperas y tiempos de preparación dependientes de la secuencia.

Se estudia la programación de la producción en sistemas flow shop híbrido con tiempos depreparación dependientes de la secuencia de piezas a fabricar. Las piezas pueden pertenecer adiferentes familias y las máquinas requerirán un tiempo de preparación cada vez que se debacambiar de familia. Se han desarrollado procedimientos heurísticos para el caso monocriterio enel que el objetivo buscado en la programación de la producción es la minimización del retrasomedio, equivalente a minimizar la suma de retrasos de las piezas, y para el caso bicriterio en elque se tendrá en cuenta tanto la minimización de una función objetivo formada por la sumaponderada del retraso medio más la suma de los tiempos medios de proceso. Además se hanadaptado los métodos implementados para trabajar bajo la restricción nowait.

Job accessibility, employment and job-education mismatch in the metropolitan area of Barcelona

This paper analyses the effect of job accessibility by public and private transport on labour market outcomes in the metropolitan area of Barcelona. Beyond employment, we consider the effect of job accessibility on job-education mismatch, which represents a relevant aspect of job quality. We adopt a recursive system of equations that models car availability, employment and mismatch. Public transport accessibility appears as an exogenous variable in the three equations. Even though it may reflect endogenous residential sorting, falsification proofs suggest that the estimated effect of public transport accessibility is not entirely driven by the endogenous nature of residential decisions.

Personality and job stress: a comparison of direct effects on parenting

The impact of personality and job characteristics on parental rearing styles was compared in 353 employees. Hypotheses concerning the relationships between personality and job variables were formulated in accordance with findings in past research and the Belsky’s model (1984). Structural equation nested models showed that Aggression-hostility, Sociability and job Demand were predictive of Rejection and Emotional Warmth parenting styles, providing support for some of the hypothesized relationships. The findings suggest a well-balanced association of personality variables with both parenting styles: Aggression-Hostility was positively related to Rejection and negatively to Emotional Warmth, whereas Sociability was positively related to Emotional Warmth and negatively related to Rejection. Personality dimensions explained a higher amount of variance in observed parenting styles. However, a model that considered both, personality and job dimensions as antecedent variables of parenting was the best representation of observed data, as both systems play a role in the prediction of parenting behavior.