Inflation Targeting Under Asymmetric Preferences

This paper develops and estimates a game-theoretical model of inflation targeting where the central banker's preferences are asymmetric around the targeted rate. In particular, positive deviations from the target can be weighted more, or less, severely than negative ones in the central banker's loss function. It is shown that some of the previous results derived under the assumption of symmetry are not robust to the generalization of preferences. Estimates of the central banker's preference parameters for Canada, Sweden, and the United Kingdom are statistically different from the ones implied by the commonly used quadratic loss function. Econometric results are robust to different forecasting models for the rate of unemployment but not to the use of measures of inflation broader than the one targeted.

Asymmetric Smiles, Leverage Effects and Structural Parameters.

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Système de superposition arborescente et aspect soliste (le vibraphone et le bending tone) : éléments de détermination d’un langage musical personnel

La version intégrale de cette thèse est disponible uniquement pour consultation individuelle à la Bibliothèque de musique de l’Université de Montréal (http://www.bib.umontreal.ca/MU).

Asymmetric cell division intersects with cell geometry : a method to extrapolate and quantify geometrical parameters of sensory organ precursors

La division cellulaire asymétrique (DCA) consiste en une division pendant laquelle des déterminants cellulaires sont distribués préférentiellement dans une des deux cellules filles. Par l’action de ces déterminants, la DCA générera donc deux cellules filles différentes. Ainsi, la DCA est importante pour générer la diversité cellulaire et pour maintenir l’homéostasie de certaines cellules souches. Pour induire une répartition asymétrique des déterminants cellulaires, le positionnement du fuseau mitotique doit être très bien contrôlé. Fréquemment ceci génère deux cellules filles de tailles différentes, car le fuseau mitotique n’est pas centré pendant la mitose, ce qui induit un positionnement asymétrique du sillon de clivage. Bien qu’un complexe impliquant des GTPases hétérotrimériques et des protéines liant les microtubules au cortex ait été impliqué directement dans le positionnement du fuseau mitotique, le mécanisme exact induisant le positionnement asymétrique du fuseau durant la DCA n'est pas encore compris. Des études récentes suggèrent qu’une régulation asymétrique du cytosquelette d’actine pourrait être responsable de ce positionnement asymétrique du faisceau mitotique. Donc, nous émettons l'hypothèse que des contractions asymétriques d’actine pendant la division cellulaire pourraient déplacer le fuseau mitotique et le sillon de clivage pour créer une asymétrie cellulaire. Nos résultats préliminaires ont démontré que le blebbing cortical, qui est une indication de tension corticale et de contraction, se produit préférentiellement dans la moitié antérieure de cellule précurseur d’organes sensoriels (SOP) pendant le stage de télophase. Nos données soutiennent l'idée que les petites GTPases de la famille Rho pourraient être impliqués dans la régulation du fuseau mitotique et ainsi contrôler la DCA des SOP. Les paramètres expérimentaux développés pour cette thèse, pour étudier la régulation de l’orientation et le positionnement du fuseau mitotique, ouvrirons de nouvelles avenues pour contrôler ce processus, ce qui pourrait être utile pour freiner la progression de cellules cancéreuses. Les résultats préliminaires de ce projet proposeront une manière dont les petites GTPases de la famille Rho peuvent être impliqués dans le contrôle de la division cellulaire asymétrique in vivo dans les SOP. Les modèles théoriques qui sont expliqués dans cette étude pourront servir à améliorer les méthodes quantitatives de biologie cellulaire de la DCA.

Evaluation of Reducibility of Trunk Asymmetry in Lateral Bending

The value of the lateral bending test is important in the assessment of spinal curve mobility and prediction of surgical outcome in the treatment of adolescent idiopathic scoliosis (AIS). However, radiographic bending tests are unable to assess the reducibility of trunk asymmetry. This study aims to exploit surface topography measurement in order to evaluate the changes in shape of the trunk (a) between bending and neutral standing positions, and (b) between standing pre- and post-operative visits, in a cohort of adolescents with AIS having undergone surgical correction; and to correlate the differences measured in cases (a) and (b). Our cohort includes 13 patients with right thoracic AIS. Each patient had their 3D trunk surface digitized with a multi-head InSpeck system in standing posture (at the pre-op and post-op visits) and in maximum voluntary right and left bending (at the pre-op visit). We developed a novel trunk shape analysis method which produces a set of inclined trunk cross-sections allowing comparison between different postures. Two asymmetry indices, trunk rotation (TR) and back surface rotation (BSR), were computed in all cases and a statistical analysis was performed. Our correlation study (Pearson test) showed fair correlations in most cases between the changes in side-bending and those post-surgery, with the strongest relationship (p-value < 0.01) when combining the TR measurements from both bendings. These results provide evidence that the bending test can be used to assess trunk asymmetry reducibility. The proposed approach could provide a non-invasive trunk asymmetry reducibility test for routine clinical use in AIS surgery planning.