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.

First-passage and escape problems in the Feller process

The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single-neuron firing to volatility of financial assets. While general properties of the process have long been well known, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions.

First-passage and escape problems in the Feller process

The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single-neuron firing to volatility of financial assets. While general properties of the process have long been well known, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions.

Protein phosphatase inhibition assays for okadaic acid detection in shellfish: matrix effects, applicability and comparison with LC-MS/MS analysis

The applicability of the protein phosphatase inhibition assay (PPIA) to the determination of okadaic acid (OA) and its acyl derivatives in shellfish samples has been investigated, using a recombinant PP2A and a commercial one. Mediterranean mussel, wedge clam, Pacific oyster and flat oyster have been chosen as model species. Shellfish matrix loading limits for the PPIA have been established, according to the shellfish species and the enzyme source. A synergistic inhibitory effect has been observed in the presence of OA and shellfish matrix, which has been overcome by the application of a correction factor (0.48). Finally, Mediterranean mussel samples obtained from Rı´a de Arousa during a DSP closure associated to Dinophysis acuminata, determined as positive by the mouse bioassay, have been analysed with the PPIAs. The OA equivalent contents provided by the PPIAs correlate satisfactorily with those obtained by liquid chromatography–tandem mass spectrometry (LC–MS/MS).

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.

Growth of positive words and lower bounds of the growth rate for Thompson's group (F)p

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

Elements of algebraic geometry and the positive theory of partially commutative groups

The first main result of the paper is a criterion for a partially commutative group G to be a domain. It allows us to reduce the study of algebraic sets over G to the study of irreducible algebraic sets, and reduce the elementary theory of G (of a coordinate group over G) to the elementary theories of the direct factors of G (to the elementary theory of coordinate groups of irreducible algebraic sets). Then we establish normal forms for quantifier-free formulas over a non-abelian directly indecomposable partially commutative group H. Analogously to the case of free groups, we introduce the notion of a generalised equation and prove that the positive theory of H has quantifier elimination and that arbitrary first-order formulas lift from H to H * F, where F is a free group of finite rank. As a consequence, the positive theory of an arbitrary partially commutative group is decidable.

Analytic approximation of matrix functions in Lp

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

Positive solutions of nonlinear problems involving the square root of the Laplacian

We consider nonlinear elliptic problems involving a nonlocal operator: the square root of the Laplacian in a bounded domain with zero Dirichlet boundary conditions. For positive solutions to problems with power nonlinearities, we establish existence and regularity results, as well as a priori estimates of Gidas-Spruck type. In addition, among other results, we prove a symmetry theorem of Gidas-Ni-Nirenberg type.

An Introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions

We present a real data set of claims amounts where costs related to damage are recorded separately from those related to medical expenses. Only claims with positive costs are considered here. Two approaches to density estimation are presented: a classical parametric and a semi-parametric method, based on transformation kernel density estimation. We explore the data set with standard univariate methods. We also propose ways to select the bandwidth and transformation parameters in the univariate case based on Bayesian methods. We indicate how to compare the results of alternative methods both looking at the shape of the overall density domain and exploring the density estimates in the right tail.

Two weight inequalities for discrete positive operators

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

Linear Aggregation In The Social Accounting Matrix Framework

In economic literature, information deficiencies and computational complexities have traditionally been solved through the aggregation of agents and institutions. In inputoutput modelling, researchers have been interested in the aggregation problem since the beginning of 1950s. Extending the conventional input-output aggregation approach to the social accounting matrix (SAM) models may help to identify the effects caused by the information problems and data deficiencies that usually appear in the SAM framework. This paper develops the theory of aggregation and applies it to the social accounting matrix model of multipliers. First, we define the concept of linear aggregation in a SAM database context. Second, we define the aggregated partitioned matrices of multipliers which are characteristic of the SAM approach. Third, we extend the analysis to other related concepts, such as aggregation bias and consistency in aggregation. Finally, we provide an illustrative example that shows the effects of aggregating a social accounting matrix model.

Strategies of use of a specific immunoglobulin-rich egg yolk powder in weaning piglets

Two experiments were performed to determine the best strategy of use of the product TRACTcare® 4P (ITPSA) (TC, specific immunoglobulin-rich egg yolk powder within an energetic fatty acid matrix) in piglets from weaning and for 6 weeks, in diets without or with inclusion of antibiotics. Each trial was performed with 144 piglets in 24 pens, in a completely randomized design blocked by initial body weight. Feeds were formulated according to animal requirements in two periods. In the first trial no antibiotics were included in the feeds and no room disinfection from previous trial was performed; treatments were: 1) Negative control (NC); 2) NC+TC on top of the feed within the hopper for the first 3 days on trial (30 g/pig×day), and eventually if diarrhea appeared (TCOT); 3) NC+TC ad libitum provided in an extra hopper within the pen (TCAL); and 4) NC+TC at 5 g/kg added to the feed in the mixer (TC5). In the second trial, treatments were: 1) Positive control: basal diet that included 250 mg/kg amoxiciline (BD)+100 mg/kg colistine (AC); 2) BD+2 g/kg TC (TC2A); 3) BD+5 g/kg TC (TC5A); and 4) BD+8 g/kg TC (TC8A). In diets without antibiotics, the product TC at 5 g/kg in the feed numerically improved BW by 8% compared to Control animals, while G:F was almost identical between both groups. When antibiotics were used in the feed, replacement of colistin at 100 mg/kg for TC at 2 g/kg in feed numerically improved the performance compared to Positive control animals (for the whole trial period ADG 8% better: 390 g vs. 361 g; G:F 1% better: 0.748 kg/kg vs. 0.742 kg/kg), possibly due to the stimulation of feed consumption at weaning. In both trials, the lower number of dead and culled animals from TC5 and TC2A together with higher BW represented an advantage over Control treatments of 6% to 10% animals more and 15% to 17% total BW more at the end of the trial.

A new automated method versus continuous positive airway pressure method for measuring pressure-volume curves in patients with acute lung injury

Objective: To compare pressure–volume (P–V) curves obtained with the Galileo ventilator with those obtained with the CPAP method in patients with ALI or ARDS receiving mechanical ventilation. P–V curves were fitted to a sigmoidal equation with a mean R2 of 0.994 ± 0.003. Lower (LIP) and upper inflection (UIP), and deflation maximum curvature (PMC) points calculated from the fitted variables showed a good correlation between methods with high intraclass correlation coefficients. Bias and limits of agreement for LIP, UIP and PMC obtained with the two methods in the same patient were clinically acceptable.