A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate

Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless, several empirical studies seem to show that the performance of such models is not always appropriate [Boulier(1992)]. In this paper we propose a new specification: the Quadratic Moving Average Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators (Method of Moments and Maximum Likelihood) are studied. Two statistical tests are presented, the first one tests for homoskedasticity and the second one, discriminates between ARCH and QMACH specification. A Monte Carlo study is presented in order to illustrate some of the theoretical results. An empirical study is undertaken for the DM-US exchange rate.

Estructuración e integración de la información del planeamiento urbanístico en modelo de datos SIG y publicación en servicio estándar OGC

Consiste en la estructuración en bases SIG del planeamiento urbanístico municipal de Ullastrell para la publicación en Internet a través del servidor de mapas del Consell Comarcal del Vallès Occidental. Como resultados principales, cabe destacar: Una geobase de datos con los datos del municipio de Ullastrell con capacidad para integrar la información del resto de municipios de la comarca. Un geoservicio (WMS) que permitirá la visualización y consulta del planeamiento urbanístico y su normativa con la progresiva integración del resto de municipios que forman parte de la comarca. Definición de un protocolo que servirá como guía a los ayuntamientos con tal de estructurar la información espacial del planeamiento urbanístico y facilitar su transformación a formato de datos espaciales SIG.

Creació d’un servidor de mapes OGC per a la consulta i publicació d’indicadors de l’Institut d’Estudis Regionals i Metropolitans de Barcelona (IERMB)

L’objectiu del projecte és la creació d’una proposta de servei d’Internet que proporcioni mapes temàtics per a la visualització i consulta de dades estadístiques territorials dels estudis i enquestes de l’Institut d’Estudis Regionals i Metropolitans de Barcelona (IERMB) en un entorn HTML. A més es fa servir el programari lliure de codi obert MapServer CGI per representar la informació geogràfica del servidor de mapes, així com també la programació amb codi HTML i les llibreries de codi JavaScript, OpenLayers + ExtJS i MapFish (que fa possible una interfície molt més agradable i entenedora connectant la part client i la part servidor).

FGF signaling controls caudal hindbrain specification through Ras-ERK1/2 pathway

Background: During early steps of embryonic development the hindbrain undergoes a regionalization process along the anterior-posterior (AP) axis that leads to a metameric organization in a series of rhombomeres (r). Refinement of the AP identities within the hindbrain requires the establishment of local signaling centers, which emit signals that pattern territories in their vicinity. Previous results demonstrated that the transcription factor vHnf1 confers caudal identity to the hindbrain inducing Krox20 in r5 and MafB/Kreisler in r5 and r6, through FGF signaling [1].Results: We show that in the chick hindbrain, Fgf3 is transcriptionally activated as early as 30 min after mvHnf1 electroporation, suggesting that it is a direct target of this transcription factor. We also analyzed the expression profiles of FGF activity readouts, such as MKP3 and Pea3, and showed that both are expressed within the hindbrain at early stages of embryonic development. In addition, MKP3 is induced upon overexpression of mFgf3 or mvHnf1 in the hindbrain, confirming vHnf1 is upstream FGF signaling. Finally, we addressed the question of which of the FGF-responding intracellular pathways were active and involved in the regulation of Krox20 and MafB in the hindbrain. While Ras-ERK1/2 activity is necessary for MKP3, Krox20 and MafB induction, PI3K-Akt is not involved in that process.Conclusion: Based on these observations we propose that vHnf1 acts directly through FGF3, and promotes caudal hindbrain identity by activating MafB and Krox20 via the Ras-ERK1/2 intracellular pathway.

Panel index VAR models: Specification, Estimation, Testing and Leading Indicators

This paper proposes a method to conduct inference in panel VAR models with cross unit interdependencies and time variations in the coefficients. The approach can be used to obtain multi-unit forecasts and leading indicators and to conduct policy analysis in a multiunit setups. The framework of analysis is Bayesian and MCMC methods are used to estimate the posterior distribution of the features of interest. The model is reparametrized to resemble an observable index model and specification searches are discussed. As an example, we construct leading indicators for inflation and GDP growth in the Euro area using G-7 information.

Female labour supply in Spain: The importance of behavioural assumptions and unobserved heterogeneity specification

We estimate four models of female labour supply using a Spanish sampleof married women from 1994, taking into account the complete form of theindividual s budget set. The models differ in the hypotheses relating tothe presence of optimisation errors and/or the way non-workers contributeto the likelihood function. According to the results, the effects of wagesand non-labour income on the labour supply of Spanish married women dependon the specification used. The model which has both preference andoptimisation errors and allows for both voluntarily and involuntarilyunemployed females desiring to participate seems to better fit the evidencefor Spanish married women.

Alternative tests for correct specification of conditional predictive densities

We propose new methods for evaluating predictive densities that focus on the models' actual predictive ability in finite samples. The tests offer a simple way of evaluatingthe correct specification of predictive densities, either parametric or non-parametric.The results indicate that our tests are well sized and have good power in detecting mis-specification in predictive densities. An empirical application to the Survey ofProfessional Forecasters and a baseline Dynamic Stochastic General Equilibrium modelshows the usefulness of our methodology.

SOSoW : SOS Over Wireless, l'APP que ajuda a localitzar-te

SOSoW (SOS Over Wireless) és una aplicació Android que ajuda a ser localitzat en situacions d'emergència extremes, fent ús únicament dels propis sensors de l'smartphone i sense necessitat d'internet ("offline").

Security prices and market transparency: the role of prior information

This paper analyzes the role of traders' priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification. Key words: Market microstructure, Transparency, Prior information

On the asymptotic expansion of the colored Jones polynomial for torus knots

In the asymptotic expansion of the hyperbolic specification of the colored Jones polynomial of torus knots, we identify different geometric contributions, in particular Chern-Simons invariant and Reidemeister torsion.

Agglomeration and location: a nonparametric approach

The aim of this article is to assess the effects of several territorial characteristics, specifically agglomeration economies, on industrial location processes in the Spanish region of Catalonia. Theoretically, the level of agglomeration causes economies which favour the location of new establishments, but an excessive level of agglomeration might cause diseconomies, since congestion effects arise. The empirical evidence on this matter is inconclusive, probably because the models used so far are not suitable enough. We use a more flexible semiparametric specification, which allows us to study the nonlinear relationship between the different types of agglomeration levels and location processes. Our main statistical source is the REIC (Catalan Manufacturing Establishments Register), which has plant-level microdata on location of new industrial establishments. Keywords: agglomeration economies, industrial location, Generalized Additive Models, nonparametric estimation, count data models.

Business Cycle Regimes in CEECs Production: A Threshold SURE Approach

We use a threshold seemingly unrelated regressions specification to assess whether the Central and East European countries (CEECs) are synchronized in their business cycles to the Euro-area. This specification is useful in two ways: First, it takes into account the common institutional factors and the similarities across CEECs in their process of economic transition. Second, it captures business cycle asymmetries by allowing for the presence of two distinct regimes for the CEECs. As the CEECs are strongly affected by the Euro-area these regimes may be associated with Euro-area expansions and contractions. We discuss representation, estimation by maximum likelihood and inference. The methodology is illustrated by using monthly industrial production in 8 CEECs. The results show that apart from Lithuania the rest of the CEECs experience “normal” growth when the Euro-area contracts and “high” growth when the Euro-area expands. Given that the CEECs are “catching up” with the Euro-area this result shows that most CEECs seem synchronized to the Euro-area cycle. Keywords: Threshold SURE; asymmetry; business cycles; CEECs. JEL classification: C33; C50; E32.

In Search of a theory of debt management

A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market approach to debt management is valid even when the government only issues non-contingent bonds. A number of authors conclude from this approach that governments should issue long term debt and invest in short term assets. We argue that the conclusions of this approach are too fragile to serve as a basis for policy recommendations. This is because bonds at different maturities have highly correlated returns, causing the determination of the optimal portfolio to be ill-conditioned. To make this point concrete we examine the implications of this approach to debt management in various models, both analytically and using numerical methods calibrated to the US economy. We find the complete market approach recommends asset positions which are huge multiples of GDP. Introducing persistent shocks or capital accumulation only worsens this problem. Increasing the volatility of interest rates through habits partly reduces the size of these simulations we find no presumption that governments should issue long term debt ? policy recommendations can be easily reversed through small perturbations in the specification of shocks or small variations in the maturity of bonds issued. We further extend the literature by removing the assumption that governments every period costlessly repurchase all outstanding debt. This exacerbates the size of the required positions, worsens their volatility and in some cases produces instability in debt holdings. We conclude that it is very difficult to insulate fiscal policy from shocks by using the complete markets approach to debt management. Given the limited variability of the yield curve using maturities is a poor way to substitute for state contingent debt. The result is the positions recommended by this approach conflict with a number of features that we believe are important in making bond markets incomplete e.g allowing for transaction costs, liquidity effects, etc.. Until these features are all fully incorporated we remain in search of a theory of debt management capable of providing robust policy insights.

Integració de tècniques per a la comprovació eficient de restriccions d'integritat en la generació de programari per entorns web

Estudi elaborat a partir d’una estada al Politecnico de Milano, Itàlia, entre gener i juny del 2006. Un dels principals objectius de l’Enginyeria del Programari és automatitzar el màxim possible el procés de desenvolupament del programari, reduint costos mitjançant la generació automàtica del programari a partir de la seva especificació. Per assolir-ho, entre altres, cal resoldre el problema de la comprovació eficient de restriccions, que són una part fonamental de l’especificació del programari. Aquest és precisament l’àmbit en què s’està desenvolupant una tesi que presentarà un mètode que poden integrar totes les eines generadores de codi per tal d’assolir una implementació eficient de les restriccions d’integritat. En l’actual fase del projecte s’ha treballat per validar el mètode de la tesi, optimitzant-lo pel cas específic de les aplicacions web i estendre’l per poder tractar també aplicacions basades en workflows. Pel que fa a l’optimització del mètode per aplicacions web, s’han definit una sèrie de paràmetres que permeten configurar la implementació del mètode tenint en compte les necessitats específiques de rendiment de cada aplicació web en particular. Respecte als workflows (cada cop més populars i que s’usen com a definició d’alt nivell per a les aplicacions a desenvolupar) s’ha estudiat quins són els tipus de restriccions que impliquen i com després es pot aplicar el mètode de la tesi sobre aquestes restriccions per tal de generar de forma eficient també les aplicacions basades en workflows.