Leading indicator properties of US high-yield credit spreads

In this paper we examine the out-of-sample forecast performance of high-yield credit spreads regarding real-time and revised data on employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise. Our main findings suggest the use of few factors obtained by pooling information from a number of sector-specific high-yield credit spreads. This can be justified by observing that, especially for employment, there is a gain from using a principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks, such as an AR, and ARDL models that use either the term spread or the aggregate high-yield spread as exogenous regressor. Moreover, forecasts based on real-time data are generally comparable to forecasts based on revised data. JEL Classification: C22; C53; E32 Keywords: Credit spreads; Principal components; Forecasting; Real-time data.

El procés d'avaluació i intervenció psicològica a pacients amb trastorns per abús d' alcohol i/o altres substàncies psicotròpiques

Aquest treball, realitzat al Centre d'Atenció i Seguiment de Drogodependències (CASD) de Nou Barris, ha tingut com a objectiu principal observar el rol del psicòleg clínic en el procés d'avaluació i intervenció psicoterapèutica en pacients que presenten un trastorn per dependència de substàncies psicotròpiques.

Los canales informativos : punta de lanza de los portales españoles

En els últims anys la paraula portal ha aparegut íntimament lligada als avatars de l'economia digital. En aquest article, i a partir d'una metodologia d'avaluació de recursos digitals, s'analitzen els canals sobre actualitat i sobre Internet de tres portals generalistes espanyols (eresMas, Inicia i Terra) per tal d'observar si el seu contingut i el tractament que aquest rep són satisfactoris de cara a l'ús que els internautes fan d'aquells.

Alternative ways to estimate change points in multinomial sequences. An application to an authorship attribution problem

The statistical analysis of literary style is the part of stylometry that compares measurable characteristicsin a text that are rarely controlled by the author, with those in other texts. When thegoal is to settle authorship questions, these characteristics should relate to the author’s style andnot to the genre, epoch or editor, and they should be such that their variation between authors islarger than the variation within comparable texts from the same author.For an overview of the literature on stylometry and some of the techniques involved, see for exampleMosteller and Wallace (1964, 82), Herdan (1964), Morton (1978), Holmes (1985), Oakes (1998) orLebart, Salem and Berry (1998).Tirant lo Blanc, a chivalry book, is the main work in catalan literature and it was hailed to be“the best book of its kind in the world” by Cervantes in Don Quixote. Considered by writterslike Vargas Llosa or Damaso Alonso to be the first modern novel in Europe, it has been translatedseveral times into Spanish, Italian and French, with modern English translations by Rosenthal(1996) and La Fontaine (1993). The main body of this book was written between 1460 and 1465,but it was not printed until 1490.There is an intense and long lasting debate around its authorship sprouting from its first edition,where its introduction states that the whole book is the work of Martorell (1413?-1468), while atthe end it is stated that the last one fourth of the book is by Galba (?-1490), after the death ofMartorell. Some of the authors that support the theory of single authorship are Riquer (1990),Chiner (1993) and Badia (1993), while some of those supporting the double authorship are Riquer(1947), Coromines (1956) and Ferrando (1995). For an overview of this debate, see Riquer (1990).Neither of the two candidate authors left any text comparable to the one under study, and thereforediscriminant analysis can not be used to help classify chapters by author. By using sample textsencompassing about ten percent of the book, and looking at word length and at the use of 44conjunctions, prepositions and articles, Ginebra and Cabos (1998) detect heterogeneities that mightindicate the existence of two authors. By analyzing the diversity of the vocabulary, Riba andGinebra (2000) estimates that stylistic boundary to be near chapter 383.Following the lead of the extensive literature, this paper looks into word length, the use of the mostfrequent words and into the use of vowels in each chapter of the book. Given that the featuresselected are categorical, that leads to three contingency tables of ordered rows and therefore tothree sequences of multinomial observations.Section 2 explores these sequences graphically, observing a clear shift in their distribution. Section 3describes the problem of the estimation of a suden change-point in those sequences, in the followingsections we propose various ways to estimate change-points in multinomial sequences; the methodin section 4 involves fitting models for polytomous data, the one in Section 5 fits gamma modelsonto the sequence of Chi-square distances between each row profiles and the average profile, theone in Section 6 fits models onto the sequence of values taken by the first component of thecorrespondence analysis as well as onto sequences of other summary measures like the averageword length. In Section 7 we fit models onto the marginal binomial sequences to identify thefeatures that distinguish the chapters before and after that boundary. Most methods rely heavilyon the use of generalized linear models

Let's talk: how communication affects contract design

We study experimentally how the ability to communicate affects the frequency and effectiveness of flexible and inflexible contracts in a bilateral trade context where sellers can adjust trade quality after observing a post-contractual cost shock and a discretionary buyer transfer. In the absence of communication, we find that rigid contracts are more frequent and lead to higher earnings for both buyer and seller. By contrast, in the presence of communication, flexible contracts are much more frequent and considerably more productive, both for buyers and sellers. Also, both buyer and seller earn considerably more from flexible with communication than rigid without communication. Our results show quite strongly that communication, a normal feature in contracting, can remove the potential cost of flexibility (disagreements caused by conflicting perceptions). We offer an explanation based on social norms.

Gènere i immigració en les narratives visuals de les noies dels països del sud d’Àsia escolaritzades a Catalunya

Aquesta recerca aborda la interpretació de les relacions entre escolarització, immigració i gènere de forma complexa mitjançant la construcció d’una recerca visual narrativa i d’històries de vida amb el grup de noies/dones immigrades procedent dels països del sud d’Àsia que viuen i han estat escolaritzades –totalment o parcialment– a Catalunya. La investigació dóna visibilitat a les trajectòries d’èxit escolar de les noies/dones immigrades al seu pas per l’escola secundària, tot narrant: les seves expectatives i desitjos, els moments i canvis, les identitats i relacions, així com els aprenentatges assolits i les perspectives de futur. La recerca s’ha portat a terme a partir d’observar, entrevistar i conversar amb diversos grups de noies immigrades (principalment de la regió del Panjab de l’Índia i el Pakistan) en 4 centres educatius i 1 entitat, de l’àmbit de Barcelona i la seva àrea metropolitana. La investigació reconstrueix la trajectòria de 20 noies immigrades com a protagonistes. El treball de camp etnogràfic i la construcció de les històries visuals de vida culmina amb l’edició d’un documental audiovisual. De forma resumida, l’anàlisi de les dades realitzada a partir del treball de camp etnogràfic, de les entrevistes en profunditat i les converses en els cinc contextos presentats, s’organitza d’acord amb els següents eixos temàtics: 1. Migracions, espacialització i mobilitat en un context transnacional i local; 2. La construcció de les subjectivitats i del gènere de les adolescents/adultes immigrades; 3. Processos d’escolarització i formació a Catalunya de les noies/dones immigrades; i 4. Visibilitat, visualitat i representació en la recerca.

Una escola municipal de música per al Prat de Llobregat : anàlisi del seu valor públic

Aquest estudi es proposa analitzar el valor públic del projecte d’Escola Municipal de Música del Prat de Llobregat. A aquest efecte, s’enfoca la mesura del valor públic des de múltiples perspectives d’acord amb els treballs de diversos autors. Després d’observar el procés de concreció del projecte i interpretar les característiques i previsions del servei, podem concloure que es tracta, d’entrada, d’un projecte amb valor públic i que el procés seguit n’ha afegit més. D’altra banda, també constatem que hi ha certs aspectes als quals caldrà estar atents durant el seu desplegament.

Bringing game theory to hypothesis testing: Establishing finite sample bounds on inference

Small sample properties are of fundamental interest when only limited data is avail-able. Exact inference is limited by constraints imposed by speci.c nonrandomizedtests and of course also by lack of more data. These e¤ects can be separated as we propose to evaluate a test by comparing its type II error to the minimal type II error among all tests for the given sample. Game theory is used to establish this minimal type II error, the associated randomized test is characterized as part of a Nash equilibrium of a .ctitious game against nature.We use this method to investigate sequential tests for the di¤erence between twomeans when outcomes are constrained to belong to a given bounded set. Tests ofinequality and of noninferiority are included. We .nd that inference in terms oftype II error based on a balanced sample cannot be improved by sequential sampling or even by observing counter factual evidence providing there is a reasonable gap between the hypotheses.

Diffusion with delayed informational spillovers

I study the relation between the delay in the transmission of spilloversof information and diffusion. When a firm enters or innovates it benefitsfrom the information it gets by observing past entry. Delays in the processof receiving the information reduce the benefits of the spillover and affectthe entry process.I derive the effects this delay has on diffusion, on the dynamics of priceand cost of entry, and on efficiency. I explain why, when spillovers ofinformation are delayed, a zero profit condition requires an initial set ofentrants bigger than zero. I also illustrate how an S-shaped diffusion curvecan be generated. I show that competitive equilibrium entails a slowergeneration of information relative to the social optimum and how a socialplanner can improve efficiency.

A finite-population revenue management model and a risk-ratio procedure for the joint estimation of population size and parameters

Many dynamic revenue management models divide the sale period into a finite number of periods T and assume, invoking a fine-enough grid of time, that each period sees at most one booking request. These Poisson-type assumptions restrict the variability of the demand in the model, but researchers and practitioners were willing to overlook this for the benefit of tractability of the models. In this paper, we criticize this model from another angle. Estimating the discrete finite-period model poses problems of indeterminacy and non-robustness: Arbitrarily fixing T leads to arbitrary control values and on the other hand estimating T from data adds an additional layer of indeterminacy. To counter this, we first propose an alternate finite-population model that avoids this problem of fixing T and allows a wider range of demand distributions, while retaining the useful marginal-value properties of the finite-period model. The finite-population model still requires jointly estimating market size and the parameters of the customer purchase model without observing no-purchases. Estimation of market-size when no-purchases are unobservable has rarely been attempted in the marketing or revenue management literature. Indeed, we point out that it is akin to the classical statistical problem of estimating the parameters of a binomial distribution with unknown population size and success probability, and hence likely to be challenging. However, when the purchase probabilities are given by a functional form such as a multinomial-logit model, we propose an estimation heuristic that exploits the specification of the functional form, the variety of the offer sets in a typical RM setting, and qualitative knowledge of arrival rates. Finally we perform simulations to show that the estimator is very promising in obtaining unbiased estimates of population size and the model parameters.

Irreversible investment in stochastically cyclical markets

This paper presents a new framework for studying irreversible (dis)investment whena market follows a random number of random-length cycles (such as a high-tech productmarket). It is assumed that a firm facing such market evolution is always unsure aboutwhether the current cycle is the last one, although it can update its beliefs about theprobability of facing a permanent decline by observing that no further growth phasearrives. We show that the existence of regime shifts in fluctuating markets suffices for anoption value of waiting to (dis)invest to arise, and we provide a marginal interpretationof the optimal (dis)investment policies, absent in the real options literature. Thepaper also shows that, despite the stochastic process of the underlying variable has acontinuous sample path, the discreteness in the regime changes implies that the samplepath of the firm s value experiences jumps whenever the regime switches all of a sudden,irrespective of whether the firm is active or not.

Entropy Production In Thermodynamic Climate Models

We present a non-equilibrium theory in a system with heat and radiative fluxes. The obtained expression for the entropy production is applied to a simple one-dimensional climate model based on the first law of thermodynamics. In the model, the dissipative fluxes are assumed to be independent variables, following the criteria of the Extended Irreversible Thermodynamics (BIT) that enlarges, in reference to the classical expression, the applicability of a macroscopic thermodynamic theory for systems far from equilibrium. We analyze the second differential of the classical and the generalized entropy as a criteria of stability of the steady states. Finally, the extreme state is obtained using variational techniques and observing that the system is close to the maximum dissipation rate

One-sided jet at milliarcsecond scales in LSI+61·303

We present Very Long Baseline Interferometry (VLBI) observations of the high mass X-ray binary LSI+61303, carried out with the European VLBI Network (EVN). Over the 11 hour observing run, performed 10 days after a radio outburst, the radio source showed a constant flux density, which allowed sensitive imaging of the emission distribution. The structure in the map shows a clear extension to the southeast. Comparing our data with previous VLBI observations we interpret the extension as a collimated radio jet as found in several other X-ray binaries. Assuming that the structure is the result of an expansion that started at the onset of the outburst, we derive an apparent expansion velocity of 0.003 c, which, in the context of Doppler boosting, corresponds to an intrinsic velocity of at least 0.4 c for an ejection close to the line of sight. From the apparent velocity in all available epochs we are able to establish variations in the ejection angle which imply a precessing accretion disk. Finally we point out that LSI+61303, like SS433 and Cygnus X-1, shows evidence for an emission region almost orthogonal to the relativistic jet.

UBVRI photometry of G, K, M Hipparcos stars. II.

As indicated by Grenon (1989), the data of the present series of reports on the UBVRI photometry of late-type stars in the Hipparcos Input Catalog are to be employed in computations of Hipparcos observing time, as well as in evaluating the observability of faint stars by the satellite. Attention is here given to late type stars in the V = 8-12 range, including distant red giants in the Galactic plane (Hipparcos proposal 189), as well as high proper motion stars included in the G, LTT, LP, and MCC catalogs.