Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

J2EE

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Heterogeneous life-cycle profiles, income risk and consumption inequality

Was the increase in income inequality in the US due to permanent shocks or merely to an increase in the variance of transitory shocks? The implications for consumption and welfare depend crucially on the answer to this question. We use CEX repeated cross-section data on consumption and income to decompose idiosyncratic changes in income into predictable life-cycle changes, transitory and permanent shocks and estimate the contribution of each to total inequality. Our model fits the joint evolution of consumption and income inequality well and delivers two main results. First, we find that permanent changes in income explain all of the increase in inequality in the 1980s and 90s. Second, we reconcile this finding with the fact that consumption inequality did not increase much over this period. Our results support the view that many permanent changes in income are predictable for consumers, even if they look unpredictable to the econometrician, consistent withmodels of heterogeneous income profiles.

Obtención de líneas de trigo resistentes a Mayetiola destructor Say en la Campiña Sur de Extremadura

La línea H-93-33, homocigota para el gen H27, que confiere resistencia a Mayetiola destructor Say, ha sido cruzada con variedades comerciales de trigo seleccionadas por su calidad harinera y sus características agronómicas. Esos cruzamientos han producido numerosas líneas avanzadas. La línea Ma8, que contiene el gen H27, ha demostrado su resistencia al parásito en condiciones controladas de cámara y campo, y muestra mejores características agronómicas que las variedades comerciales con las que se ha cruzado.