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.

When in peril, retrench: Testing the portfolio channel of contagion

One plausible mechanism through which financial market shocks may propagate across countriesis through the impact that past gains and losses may have on investors risk aversion and behavior. This paper presents a stylized model illustrating how heterogeneous changes in investors risk aversion affect portfolio allocation decisions and stock prices. Our empirical findings suggest that when funds returns are below average, they adjust their holdings toward the average (or benchmark) portfolio. In so doing, funds tend to sell the assets of countries in which they were overweight , increasing their exposure to countries in which they were underweight. Based on this insight, the paper constructs an index of financial interdependence which reflects the extent to which countries share overexposed funds. The index helps in explain the pattern of stock market comovement across countries. Moreover, a comparison of this interdependence measure to indices of trade or commercial bank linkages indicates that our index can improve predictions about which countries are more likely to be affected by contagion from crisis centers.

Restless bandits, linear programming relaxations and a primal-dual index heuristic

We develop a mathematical programming approach for the classicalPSPACE - hard restless bandit problem in stochastic optimization.We introduce a hierarchy of n (where n is the number of bandits)increasingly stronger linear programming relaxations, the lastof which is exact and corresponds to the (exponential size)formulation of the problem as a Markov decision chain, while theother relaxations provide bounds and are efficiently computed. Wealso propose a priority-index heuristic scheduling policy fromthe solution to the first-order relaxation, where the indices aredefined in terms of optimal dual variables. In this way wepropose a policy and a suboptimality guarantee. We report resultsof computational experiments that suggest that the proposedheuristic policy is nearly optimal. Moreover, the second-orderrelaxation is found to provide strong bounds on the optimalvalue.

Pension plan funding and stock market efficiency

The paper argues that the market signifficantly overvalues firms with severely underfunded pension plans. These companies earn lower stock returns than firms with healthier pension plans for at least five years after the first emergence of the underfunding. The low returns are not explained by risk, price momentum, earnings momentum, or accruals. Further, the evidence suggests that investors do not anticipate the impact of the pension liability on future earnings, and they are surprised when the negative implications of underfunding ultimately materialize. Finally, underfunded firms have poor operating performance, and they earn low returns, although they are value companies.

Income and body mass index in Europe

The problem of obesity is alarming public health authorities around the world. Therefore, it is important to study its determinants. In this paper we explore the empirical relationship between household income and body mass index (BMI) in nine European Union countries. Our findings suggest that the association is negative for women, but we find no statistically significant relationship for men. However, we show that the different relationship for men and women appears to be driven by the negative relationship for women between BMI and individual income from work. We tentatively conclude that the negative relationship between household income and BMI for women may simply be capturing the wage penalty that obese women suffer in the labor market.

Anàlisi de les revistes indexades al Journal of Citation Reports del Social Science Citation Index. Període 1997-2005

En aquest estat de la qüestió, s’hi presenten els resultats d’una anàlisi sobre l’evolució i les característiques principals de les revistes de geografia incloses al Journal of Citation Reports dins de la versió del Social Science Citation Index i, per tant, amb factor d’impacte. El període d’estudi escollit ha estat el que va de 1997 a 2005, és a dir, al llarg dels darrers nou anys amb dades disponibles. En total, hi han aparegut incloses trenta-nou revistes, una bona part de les quals ha romàs a la llista durant tot el temps estudiat. Hi ha hagut deu publicacions que han estat situades entre les cinc amb més factor d’impacte de cada any, i cap no ha estat la primera més de dos anys seguits. S’han trobat divuit temàtiques diferents en el conjunt de les revistes, en destaquen les de caire generalista i les de geografia econòmica i regional. Una gran majoria dels volums està publicada per editorials, Blackwell Publishing n’és la més destacada. L’origen de les revistes és clarament anglosaxó, només n’hi trobem dues d’escrites en una altra llengua. La segona part de l’article descriu totes les publicacions contemplades en els nou anys estudiats, amb una petita ressenya de cadascuna

Is bank debt special for the transmission of monetary policy? Evidence from the stock market

We combine existing balance sheet and stock market data with two new datasets to studywhether, how much, and why bank lending to firms matters for the transmission of monetarypolicy. The first new dataset enables us to quantify the bank dependence of firms precisely,as the ratio of bank debt to total assets. We show that a two standard deviation increase inthe bank dependence of a firm makes its stock price about 25% more responsive to monetarypolicy shocks. We explore the channels through which this effect occurs, and find that thestock prices of bank-dependent firms that borrow from financially weaker banks display astronger sensitivity to monetary policy shocks. This finding is consistent with the banklending channel, a theory according to which the strength of bank balance sheets mattersfor monetary policy transmission. We construct a new database of hedging activities andshow that the stock prices of bank-dependent firms that hedge against interest rate riskdisplay a lower sensitivity to monetary policy shocks. This finding is consistent with aninterest rate pass-through channel that operates via the direct transmission of policy ratesto lending rates associated with the widespread use of floating-rates in bank loans and creditline agreements.

Descripció de la tipologia d'usuaris derivats al servei de Teràpia Ocupacional Domiciliària a la comarca d'Osona: estudi descriptiu preliminar

Introducció Aquest treball, aborda l'atenció domiciliaria a les persones amb dependència des de la perspectiva de la teràpia ocupacional a la comarca d’Osona. Conèixer aquesta tipologia de persones i la seva problemàtica, ha de servir per adaptar les infraestructures d’aquests serveis a fi de donar millor resposta a les seves necessitats. Objectiu Descriure la tipologia d'usuaris que es deriven al servei de Teràpia Ocupacional Domiciliària a la comarca d'Osona Metodologia S'ha realitzat un estudi descriptiu preliminar d'una mostra (n=65) de usuaris de la base de dades del Banc D'ajudes Tècniques (BAT Osona) del Consell Comarcal d'Osona. En aquest estudi s'han analitzat les variables de sexe, edat, nivell funcional, diagnòstic, situació familiar, agents derivadors, motius de derivació i problemàtica principal detectada. Resultats S'indica un perfil femení de la mostra (72,09%), amb una mitjana d'edat de 74,41 anys. A nivell funcional, la mitjana de puntuació ha estat de 65 punts en l'Ìndex de Barthel, en persones amb patologia osteoarticular en el 18,60% dels casos. La situació familiar situa un perfil compartit de persones que viuen en família (41,86%) o soles (39,53%). En les derivacions al servei, el 58,13% dels casos es fa des dels Ajuntaments i per dificultats en el quarto de bany (46,51%). La problemàtica més detectada en aquests domicilis és la dificultat per l'accés a la banyera (67,40%). Conclusió Aquests resultats ens indiquen una clara tipologia de persones que s’han d’atendre i unes problemàtiques en la seva vivenda que provoquen serioses dificultats de desenvolupament funciona. Es precís, en futures investigacions acotar encara més aquets perfils i problemàtiques a fi de precisar les estratègies d’intervenció i optimitzar millor aquest tipus de recursos.

A noninvasive method for measuring the velocity of diffuse hydrothermal flow by tracking moving refractive index anomalies

Diffuse flow velocimetry (DFV) is introduced as a new, noninvasive, optical technique for measuring the velocity of diffuse hydrothermal flow. The technique uses images of a motionless, random medium (e.g.,rocks) obtained through the lens of a moving refraction index anomaly (e.g., a hot upwelling). The method works in two stages. First, the changes in apparent background deformation are calculated using particle image velocimetry (PIV). The deformation vectors are determined by a cross correlation of pixel intensities across consecutive images. Second, the 2-D velocity field is calculated by cross correlating the deformation vectors between consecutive PIV calculations. The accuracy of the method is tested with laboratory and numerical experiments of a laminar, axisymmetric plume in fluids with both constant and temperaturedependent viscosity. Results show that average RMS errors are ∼5%–7% and are most accurate in regions of pervasive apparent background deformation which is commonly encountered in regions of diffuse hydrothermal flow. The method is applied to a 25 s video sequence of diffuse flow from a small fracture captured during the Bathyluck’09 cruise to the Lucky Strike hydrothermal field (September 2009). The velocities of the ∼10°C–15°C effluent reach ∼5.5 cm/s, in strong agreement with previous measurements of diffuse flow. DFV is found to be most accurate for approximately 2‐D flows where background objects have a small spatial scale, such as sand or gravel

Valoracion del Impacto de la Informacion en Internet: Altavista, el 'Citation Index' de la red

En el presente artículo se recoge una metodología para la valoración del impacto de la información en Internet, usando las capacidades de indización y recuperación del buscador Altavista. Se aprovecha el contexto para describir la función de los metaelementos del HTML como mecanismo de estructuración y ordenación de la información. Se discuten las limitaciones y fiabilidad del método y se exponen algunos datos que muestran la producción de páginas WWW a nivel de institución y a nivel nacional, así como su comparación con otros países europeos. Se hace especial hincapié en la posibilidad de medir el impacto de estas páginas en función de las veces que son 'enlazadas' desde páginas externas de manera similar a como funciona el 'Citation Index' del Institute for Scientific Information.

The generalized index of maximum and minimum level and its application in decision making

[spa] El índice del máximo y el mínimo nivel es una técnica muy útil, especialmente para toma de decisiones, que usa la distancia de Hamming y el coeficiente de adecuación en el mismo problema. En este trabajo, se propone una generalización a través de utilizar medias generalizadas y cuasi aritméticas. A estos operadores de agregación, se les denominará el índice del máximo y el mínimo nivel medio ponderado ordenado generalizado (GOWAIMAM) y cuasi aritmético (Quasi-OWAIMAM). Estos nuevos operadores generalizan una amplia gama de casos particulares como el índice del máximo y el mínimo nivel generalizado (GIMAM), el OWAIMAM, y otros. También se desarrolla una aplicación en la toma de decisiones sobre selección de productos.

Size dependence of refractive index of Si nanoclusters embedded in SiO2

he complex refractive index of SiO2 layers containing Si nanoclusters (Si-nc) has been measured by spectroscopic ellipsometry in the range from 1.5 to 5.0 eV. It has been correlated with the amount of Si excess accurately measured by x-ray photoelectron spectroscopy and the nanocluster size determined by energy-filtered transmission electron microscopy. The Si-nc embedded in SiO2 have been produced by a fourfold Si+ ion implantation, providing uniform Si excess aimed at a reliable ellipsometric modeling. The complex refractive index of the Si-nc phase has been calculated by the application of the Bruggeman effective-medium approximation to the composite media. The characteristic resonances of the refractive index and extinction coefficient of bulk Si vanish out in Si-nc. In agreement with theoretical simulations, a significant reduction of the refractive index of Si-nc is observed, in comparison with bulk and amorphous silicon. The knowledge of the optical properties of these composite layers is crucial for the realization of Si-based waveguides and light-emitting devices.

The generalized index of maximum and minimum level and its application in decision making

[spa] El índice del máximo y el mínimo nivel es una técnica muy útil, especialmente para toma de decisiones, que usa la distancia de Hamming y el coeficiente de adecuación en el mismo problema. En este trabajo, se propone una generalización a través de utilizar medias generalizadas y cuasi aritméticas. A estos operadores de agregación, se les denominará el índice del máximo y el mínimo nivel medio ponderado ordenado generalizado (GOWAIMAM) y cuasi aritmético (Quasi-OWAIMAM). Estos nuevos operadores generalizan una amplia gama de casos particulares como el índice del máximo y el mínimo nivel generalizado (GIMAM), el OWAIMAM, y otros. También se desarrolla una aplicación en la toma de decisiones sobre selección de productos.

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series