Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Green vs. Lempert functions: a minimal example

The Lempert function for a set of poles in a domain of Cn at a point z is obtained by taking a certain infimum over all analytic disks going through the poles and the point z, and majorizes the corresponding multi-pole pluricomplex Green function. Coman proved that both coincide in the case of sets of two poles in the unit ball. We give an example of a set of three poles in the unit ball where this equality fails.

On the system of the functions x (s) / (s-r)k

"Vegeu el resum a l'inici del document del fitxer adjunt."

Beurling-Landau densities of weighted Fekete sets and correlation kernel estimates

Vegeu el resum a l'inici del document del fitxer adjunt.

Reduction theorems for operators on the cones of monotone functions

For a quasilinear operator on the semiaxis a reduction theorem is proved on the cones of monotone functions in Lp - Lq setting for 0 < q < ∞, 1<= p < ∞. The case 0 < p < 1 is also studied for operators with additional properties. In particular, we obtain critera for three-weight inequalities for the Hardy-type operators with Oinarov' kernel on monotone functions in the case 0 < q < p <= 1.

Krein's strings whose spectral functions are of polynomial growth

In case Krein's strings with spectral functions of polynomial growth a necessary and su fficient condition for the Krein's correspondence to be continuous is given.

Transnational study of roles/functions and associated ICT competencies for Higher Education teachers

Aquest estudi forma part del projecte eLene-TLC1 Virtual Campus (2007-2008) recolzat pel programa eLearning de la Comissió Europea. L'objectiu d'aquest projecte és que els professors i els estudiants facin el millor ús possible de les TIC en l'educació superior, preparant als professors per als estudiants de la generació xarxa, permetent als estudiants a la transferència de coneixements i pràctiques de la vida quotidiana per al seu aprenentatge i estimular tant la integració plena de pràctiques innovadores d'ensenyament i d'aprenentatge possibilitades per un entorn tecnològic en constant evolució. Per tal de cobrir part d'aquest objectiu general, es va concebre un estudi per examinar les competències en TIC professors d'Educació Superior en entorns d'aprenentatge en línia.

Comparing methods for dimensionality reduction when data are density functions

Functional Data Analysis (FDA) deals with samples where a whole function is observedfor each individual. A particular case of FDA is when the observed functions are densityfunctions, that are also an example of infinite dimensional compositional data. In thiswork we compare several methods for dimensionality reduction for this particular typeof data: functional principal components analysis (PCA) with or without a previousdata transformation and multidimensional scaling (MDS) for diferent inter-densitiesdistances, one of them taking into account the compositional nature of density functions. The difeerent methods are applied to both artificial and real data (householdsincome distributions)

Hilbert space on probability density functions with Aitchison geometry

Compositional data analysis motivated the introduction of a complete Euclidean structure in the simplex of D parts. This was based on the early work of J. Aitchison (1986) and completed recently when Aitchinson distance in the simplex was associated with an inner product and orthonormal bases were identified (Aitchison and others, 2002; Egozcue and others, 2003). A partition of the support of a random variable generates a composition by assigning the probability of each interval to a part of the composition. One can imagine that the partition can be refined and the probability density would represent a kind of continuous composition of probabilities in a simplex of infinitely many parts. This intuitive idea would lead to a Hilbert-space of probability densitiesby generalizing the Aitchison geometry for compositions in the simplex into the set probability densities

Modelling world investment markets using threshold conditional correlation models

In this paper we propose a parsimonious regime-switching approach to model the correlations between assets, the threshold conditional correlation (TCC) model. This method allows the dynamics of the correlations to change from one state (or regime) to another as a function of observable transition variables. Our model is similar in spirit to Silvennoinen and Teräsvirta (2009) and Pelletier (2006) but with the appealing feature that it does not suffer from the course of dimensionality. In particular, estimation of the parameters of the TCC involves a simple grid search procedure. In addition, it is easy to guarantee a positive definite correlation matrix because the TCC estimator is given by the sample correlation matrix, which is positive definite by construction. The methodology is illustrated by evaluating the behaviour of international equities, govenrment bonds and major exchange rates, first separately and then jointly. We also test and allow for different parts in the correlation matrix to be governed by different transition variables. For this, we estimate a multi-threshold TCC specification. Further, we evaluate the economic performance of the TCC model against a constant conditional correlation (CCC) estimator using a Diebold-Mariano type test. We conclude that threshold correlation modelling gives rise to a significant reduction in portfolio´s variance.

Negative Fukui functions: new insights based on electronegativity equalization

The occurrence of negative values for Fukui functions was studied through the electronegativity equalization method. Using algebraic relations between Fukui functions and different other conceptual DFT quantities on the one hand and the hardness matrix on the other hand, expressions were obtained for Fukui functions for several archetypical small molecules. Based on EEM calculations for large molecular sets, no negative Fukui functions were found

Critical thoughts on computing atom condensed Fukui functions

Different procedures to obtain atom condensed Fukui functions are described. It is shown how the resulting values may differ depending on the exact approach to atom condensed Fukui functions. The condensed Fukui function can be computed using either the fragment of molecular response approach or the response of molecular fragment approach. The two approaches are nonequivalent; only the latter approach corresponds in general with a population difference expression. The Mulliken approach does not depend on the approach taken but has some computational drawbacks. The different resulting expressions are tested for a wide set of molecules. In practice one must make seemingly arbitrary choices about how to compute condensed Fukui functions, which suggests questioning the role of these indicators in conceptual density-functional theory

Select-divide-and-conquer method for large-scale configuration interaction

A select-divide-and-conquer variational method to approximate configuration interaction (CI) is presented. Given an orthonormal set made up of occupied orbitals (Hartree-Fock or similar) and suitable correlation orbitals (natural or localized orbitals), a large N-electron target space S is split into subspaces S0,S1,S2,...,SR. S0, of dimension d0, contains all configurations K with attributes (energy contributions, etc.) above thresholds T0={T0egy, T0etc.}; the CI coefficients in S0 remain always free to vary. S1 accommodates KS with attributes above T1≤T0. An eigenproblem of dimension d0+d1 for S0+S 1 is solved first, after which the last d1 rows and columns are contracted into a single row and column, thus freezing the last d1 CI coefficients hereinafter. The process is repeated with successive Sj(j≥2) chosen so that corresponding CI matrices fit random access memory (RAM). Davidson's eigensolver is used R times. The final energy eigenvalue (lowest or excited one) is always above the corresponding exact eigenvalue in S. Threshold values {Tj;j=0, 1, 2,...,R} regulate accuracy; for large-dimensional S, high accuracy requires S 0+S1 to be solved outside RAM. From there on, however, usually a few Davidson iterations in RAM are needed for each step, so that Hamiltonian matrix-element evaluation becomes rate determining. One μhartree accuracy is achieved for an eigenproblem of order 24 × 106, involving 1.2 × 1012 nonzero matrix elements, and 8.4×109 Slater determinants

Linear response functions for a vibrational configuration interaction state

Linear response functions are implemented for a vibrational configuration interaction state allowing accurate analytical calculations of pure vibrational contributions to dynamical polarizabilities. Sample calculations are presented for the pure vibrational contributions to the polarizabilities of water and formaldehyde. We discuss the convergence of the results with respect to various details of the vibrational wave function description as well as the potential and property surfaces. We also analyze the frequency dependence of the linear response function and the effect of accounting phenomenologically for the finite lifetime of the excited vibrational states. Finally, we compare the analytical response approach to a sum-over-states approach