Efficient estimation using the characteristic function : theory and applications with high frequency data

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Studies on grain refinement and alloying additions on the microstructure and mechanical properties of Mg-8Zn-4Al alloy

MAGNESIUM ALLOYS have strong potential for weight reduction in a wide range of technical applications because of their low density compared to other structural metallic materials. Therefore, an extensive growth of magnesium alloys usage in the automobile sector is expected in the coming years to enhance the fuel efficiency through mass reduction. The drawback associated with the use of commercially cheaper Mg-Al based alloys, such as AZ91, AM60 and AM50 are their inferior creep properties above 100ºC due to the presence of discontinuous Mg17A112 phases at the grain boundaries. Although rare earth-based magnesium alloys show better mechanical properties, it is not economically viable to use these alloys in auto industries. Recently, many new Mg-Al based alloy systems have been developed for high temperature applications, which do not contain the Mg17Al12 phase. It has been proved that the addition of a high percentage of zinc (which depends upon the percentage of Al) to binary Mg-Al alloys also ensures the complete removal of the Mg17Al12 phase and hence exhibits superior high temperature properties.ZA84 alloy is one such system, which has 8%Zn in it (Mg-8Zn-4Al-0.2Mn, all are in wt %) and shows superior creep resistance compared to AZ and AM series alloys. These alloys are mostly used in die casting industries. However, there are certain large and heavy components, made up of this alloy by sand castings that show lower mechanical properties because of their coarse microstructure. Moreover, further improvement in their high temperature behaviour through microstructural modification is also an essential task to make this alloy suitable for the replacement of high strength aluminium alloys used in automobile industry. Grain refinement is an effective way to improve the tensile behaviour of engineering alloys. In fact, grain refinement of Mg-Al based alloys is well documented in literature. However, there is no grain refiner commercially available in the market for Mg-Al alloys. It is also reported in the literature that the microstructure of AZ91 alloy is modified through the minor elemental additions such as Sb, Si, Sr, Ca, etc., which enhance its high temperature properties because of the formation of new stable intermetallics. The same strategy can be used with the ZA84 alloy system to improve its high temperature properties further without sacrificing the other properties. The primary objective of the present research work, “Studies on grain refinement and alloying additions on the microstructure and mechanical properties of Mg-8Zn-4Al alloy” is twofold: 1. To investigate the role of individual and combined additions of Sb and Ca on the microstructure and mechanical properties of ZA84 alloy. 2. To synthesis a novel Mg-1wt%Al4C3 master alloy for grain refinement of ZA84 alloy and investigate its effects on mechanical properties.

Financial crisis: theory and practice

In the last 50 years, we have had approximately 40 events with characteristics related to financial crisis. The most severe crisis was in 1929, when the financial markets plummet and the US gross domestic product decline in more than 30 percent. Recently some years ago, a new crisis developed in the United States, but instantly caused consequences and effects in the rest of the world. This new economic and financial crisis has increased the interest and motivation for the academic community, professors and researchers, to understand the causes and effects of the crisis, to learn from it. This is the one of the main reasons for the compilation of this book, which begins with a meeting of a group of IAFI researchers from the University of Barcelona, where researchers form Mexico and Spain, explain causes and consequences of the crisis of 2007. For that reason, we believed this set of chapters related to methodologies, applications and theories, would conveniently explained the characteristics and events of the past and future financial crisis This book consists in 3 main sections, the first one called "State of the Art and current situation", the second named "Econometric applications to estimate crisis time periods" , and the third one "Solutions to diminish the effects of the crisis". The first section explains the current point of view of many research papers related to financial crisis, it has 2 chapters. In the first one, it describe and analyzes the models that historically have been used to explain financial crisis, furthermore, it proposes to used alternative methodologies such as Fuzzy Cognitive Maps. On the other hand , Chapter 2 , explains the characteristics and details of the 2007 crisis from the US perspective and its comparison to 1929 crisis, presenting some effects in Mexico and Latin America. The second section presents two econometric applications to estimate possible crisis periods. For this matter, Chapter 3, studies 3 Latin-American countries: Argentina, Brazil and Peru in the 1994 crisis and estimates the multifractal characteristics to identify financial and economic distress. Chapter 4 explains the crisis situations in Argentina (2001), Mexico (1994) and the recent one in the United States (2007) and its effects in other countries through a financial series methodology related to the stock market. The last section shows an alternative to prevent the effects of the crisis. The first chapter explains the financial stability effects through the financial system regulation and some globalization standards. Chapter 6, study the benefits of the Investor activism and a way to protect personal and national wealth to face the financial crisis risks.

Regional Labor Market Disparities

Regionale Arbeitsmärkte unterscheiden sich erheblich hinsichtlich wesentlicher Kennzahlen wie der Arbeitslosenquote, des Lohnniveaus oder der Beschäftigungsentwicklung. Wegen ihrer Persistenz sind diese Unterschiede von hoher Relevanz für die Politik. Die wirtschaftswissenschaftliche Literatur liefert bereits theoretische Modelle für die Analyse regionaler Arbeitsmärkte. In der Regel sind diese Modelle aber nicht dazu geeignet, regionale Arbeitsmarktunterschiede endogen zu erklären. Das bedeutet, dass sich die Unterschiede regionaler Arbeitsmärkte in der Regel nicht aus den Modellzusammenhängen selbst ergeben, sondern „von außen“ eingebracht werden müssen. Die empirische Literatur liefert Hinweise, dass die Unterschiede zwischen regionalen Arbeitsmärkten auf die Höhe der regionalen Arbeitsnachfrage zurückzuführen sind. Die Arbeitsnachfrage wiederum leitet sich aus den Gütermärkten ab: Es hängt von der Entwicklung der regionalen Gütermärkte ab, wie viele Arbeitskräfte benötigt werden. Daraus folgt, dass die Ursachen für Unterschiede regionaler Arbeitsmärkte in den Unterschieden zwischen den regionalen Gütermärkten zu suchen sind. Letztere werden durch die Literatur zur Neuen Ökonomischen Geographie (NÖG) untersucht. Die Literatur zur NÖG erklärt Unterschiede regionaler Gütermärkte, indem sie zentripetale und zentrifugale Kräfte gegenüberstellt. Zentripetale Kräfte sind solche, welche hin zur Agglomeration ökonomischer Aktivität wirken. Im Zentrum dieser Diskussion steht vor allem das Marktpotenzial: Unternehmen siedeln sich bevorzugt an solchen Standorten an, welche nahe an großen Märkten liegen. Erwerbspersonen wiederum bevorzugen solche Regionen, welche ihnen entsprechende Erwerbsaussichten bieten. Beides zusammen bildet einen sich selbst verstärkenden Prozess, der zur Agglomeration ökonomischer Aktivität führt. Dem stehen jedoch zentrifugale Kräfte gegenüber, welche eine gleichmäßigere Verteilung ökonomischer Aktivität bewirken. Diese entstehen beispielsweise durch immobile Produktionsfaktoren oder Ballungskosten wie etwa Umweltverschmutzung, Staus oder hohe Mietpreise. Sind die zentripetalen Kräfte hinreichend stark, so bilden sich Zentren heraus, in denen sich die ökonomische Aktivität konzentriert, während die Peripherie ausdünnt. In welchem Ausmaß dies geschieht, hängt von dem Verhältnis beider Kräfte ab. Üblicherweise konzentriert sich die Literatur zur NÖG auf Unterschiede zwischen regionalen Gütermärkten und geht von der Annahme perfekter Arbeitsmärkte ohne Arbeitslosigkeit aus. Die Entstehung und Persistenz regionaler Arbeitsmarktunterschiede kann die NÖG daher üblicherweise nicht erklären. An dieser Stelle setzt die Dissertation an. Sie erweitert die NÖG um Friktionen auf dem Arbeitsmarkt, um die Entstehung und Persistenz regionaler Arbeitsmarktunterschiede zu erklären. Sie greift dazu auf eine empirische Regelmäßigkeit zurück: Zahlreiche Studien belegen einen negativen Zusammenhang zwischen Lohn und Arbeitslosigkeit. In Regionen, in denen die Arbeitslosigkeit hoch ist, ist das Lohnniveau gering und umgekehrt. Dieser Zusammenhang wird als Lohnkurve bezeichnet. Auf regionaler Ebene lässt sich die Lohnkurve mithilfe der Effizienzlohntheorie erklären, die als theoretische Grundlage in der Dissertation Anwendung findet. Konzentriert sich nun die ökonomische Aktivität aufgrund der zentripetalen Kräfte in einer Region, so ist in diesem Zentrum die Arbeitsnachfrage höher. Damit befindet sich das Zentrum auf einer günstigen Position der Lohnkurve mit geringer Arbeitslosigkeit und hohem Lohnniveau. Umgekehrt findet sich die Peripherie auf einer ungünstigen Position mit hoher Arbeitslosigkeit und geringem Lohnniveau wieder. Allerdings kann sich die Lohnkurve in Abhängigkeit des Agglomerationsgrades verschieben. Das komplexe Zusammenspiel der endogenen Agglomeration mit den Arbeitsmarktfriktionen kann dann unterschiedliche Muster regionaler Arbeitsmarktdisparitäten hervorrufen. Die Dissertation zeigt auf, wie im Zusammenspiel der NÖG mit Effizienzlöhnen regionale Arbeitsmarktdisparitäten hervorgerufen werden. Es werden theoretische Modelle formuliert, die diese Interaktionen erklären und welche die bestehende Literatur durch spezifische Beiträge erweitern. Darüber hinaus werden die zentralen Argumente der Theorie einem empirischen Test unterworfen. Es kann gezeigt werden, dass das zentrale Argument – der positive Effekt des Marktpotentials auf die Arbeitsnachfrage – relevant ist. Außerdem werden Politikimplikationen abgeleitet und der weitere Forschungsbedarf aufgezeigt.

Testing for Hidden Information and Action in Automobile Insurance Market

I test the presence of hidden information and action in the automobile insurance market using a data set from several Colombian insurers. To identify the presence of hidden information I find a common knowledge variable providing information on policyholder s risk type which is related to both experienced risk and insurance demand and that was excluded from the pricing mechanism. Such unused variable is the record of policyholder s traffic offenses. I find evidence of adverse selection in six of the nine insurance companies for which the test is performed. From the point of view of hidden action I develop a dynamic model of effort in accident prevention given an insurance contract with bonus experience rating scheme and I show that individual accident probability decreases with previous accidents. This result brings a testable implication for the empirical identification of hidden action and based on that result I estimate an econometric model of the time spans between the purchase of the insurance and the first claim, between the first claim and the second one, and so on. I find strong evidence on the existence of unobserved heterogeneity that deceives the testable implication. Once the unobserved heterogeneity is controlled, I find conclusive statistical grounds supporting the presence of moral hazard in the Colombian insurance market.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Stock return comovements and integration within the Latin American integrated market

Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

Features of the Atlantic diet and its healthiness: Theory and evidence from social science

In order to understand diets, why and how they change and can be influenced, it is important to understand how food choices are made. The has been the subject of, considerable study within many of the social science disciplines and the humanities. The paper draws on the theoretical and empirical work of psychologists, sociologists, economists, market researchers, anthropologists, geographers and historians to understand better the forces behind food choice, derive some general empirical messages from the literature, to shed light on food choice in a European context and to address the question of whether there is, or has been, a recognisably Atlantic diet. The paper proceeds to analyse the characteristics of the food consumption patterns in the Atlantic diet countries, examines whether their food consumption patterns are homogenous (i.e. similar across the countries of this group), whether they are specific (i.e. different from the ones in other country groups) and finally evaluates the nutritional composition of the Atlantic diet against the WHO/FAO recommendations for a healthy and wholesome diet.

A comparison of extreme value theory approaches for determining value at risk

This paper compares a number of different extreme value models for determining the value at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also proposed, where the tail events are modeled using the generalised Pareto distribution, and normal market conditions are captured by the empirical distribution function. The value at risk estimates from this approach are compared with those of standard nonparametric extreme value tail estimation approaches, with a small sample bias-corrected extreme value approach, and with those calculated from bootstrapping the unconditional density and bootstrapping from a GARCH(1,1) model. The results indicate that, for a holdout sample, the proposed semi-nonparametric extreme value approach yields superior results to other methods, but the small sample tail index technique is also accurate.

Decision theory and real estate development: a note on uncertainty

Real estate development appraisal is a quantification of future expectations. The appraisal model relies upon the valuer/developer having an understanding of the future in terms of the future marketability of the completed development and the future cost of development. In some cases the developer has some degree of control over the possible variation in the variables, as with the cost of construction through the choice of specification. However, other variables, such as the sale price of the final product, are totally dependent upon the vagaries of the market at the completion date. To try to address the risk of a different outcome to the one expected (modelled) the developer will often carry out a sensitivity analysis on the development. However, traditional sensitivity analysis has generally only looked at the best and worst scenarios and has focused on the anticipated or expected outcomes. This does not take into account uncertainty and the range of outcomes that can happen. A fuller analysis should include examination of the uncertainties in each of the components of the appraisal and account for the appropriate distributions of the variables. Similarly, as many of the variables in the model are not independent, the variables need to be correlated. This requires a standardised approach and we suggest that the use of a generic forecasting software package, in this case Crystal Ball, allows the analyst to work with an existing development appraisal model set up in Excel (or other spreadsheet) and to work with a predetermined set of probability distributions. Without a full knowledge of risk, developers are unable to determine the anticipated level of return that should be sought to compensate for the risk. This model allows the user a better understanding of the possible outcomes for the development. Ultimately the final decision will be made relative to current expectations and current business constraints, but by assessing the upside and downside risks more appropriately, the decision maker should be better placed to make a more informed and “better”.

The economic theory of international business: a supply chain perspective

This paper proposes a way of addressing unresolved issues in international business theory by modelling the multinational enterprise as a coordinator of supply chains. It identifies a new market seeking strategy that is an alternative to conventional strategies such as exporting, licensing and FDI, and analyses the conditions under which it will be adopted by firms. The new strategy involves the off-shoring of production and the out-sourcing of R&D, and is implemented through co-operation between a source country firm and a host country firm.

Can sentiment surveys pre-empt real estate market activities?

We evaluate a number of real estate sentiment indices to ascertain current and forward-looking information content that may be useful for forecasting the demand and supply activities. Our focus lies on sector-specific surveys targeting the players from the supply-side of both residential and non-residential real estate markets. Analyzing the dynamic relationships within a Vector Auto-Regression (VAR) framework, we test the efficacy of these indices by comparing them with other coincident indicators in predicting real estate returns. Overall, our analysis suggests that sentiment indicators convey important information which should be embedded in the modeling exercise to predict real estate market returns. Generally, sentiment indices show better information content than broad economic indicators. The goodness of fit of our models is higher for the residential market than for the non-residential real estate sector. The impulse responses, in general, conform to our theoretical expectations. Variance decompositions and out-of-sample predictions generally show desired contribution and reasonable improvement respectively, thus upholding our hypothesis. Quite remarkably, consistent with the theory, the predictability swings when we look through different phases of the cycle. This perhaps suggests that, e.g. during recessions, market players’ expectations may be more accurate predictor of the future performances, conceivably indicating a ‘negative’ information processing bias and thus conforming to the precautionary motive of consumer behaviour.

Ideological dominance in recreation provision: towards a theory of Local Authority response to Compulsory Competitive Tendering in Britain

This paper considers how the delivery of public leisure services in Britain has been affected by the imposition of Compulsory Competitive Tendering (CCT) on the management of facilities. In particular, it focuses on the changing relationship between the central and local levels of government, theorising a tripartite local response to CCT, incorporating local statism, post-Fordist rejection of CCT and post- Fordist compliance with the aims of the central administration. The paper then discusses the actual implementation of CCT, relating the theorised responses to those witnessed in practice. This results in the delineation of a continuum of stances, ranging from pragmatic forms of local statism, such as the protection of the former direct labour force, to centrist attempts to combine the ethics of socialism with the mechanics of the market, to an outright rejection of state organisation and control. The paper concludes that although legitimate attempts have been made to protect local services, the outcome of the CCT process has undoubtedly been the regeneration of public leisure provision away from its service roots towards a market model of provision.

Entrepreneurial opportunities, implicit contracts and market making for complex consumer goods

This article extends the theory of entrepreneurial opportunity exploitation, outlining how under certain conditions, opportunity exploitation is dependent on market making innovations. Where adverse selection and moral hazard characterize markets, consumers are likely to withdraw regardless of product quality. In order to overcome consumer resistance, entrepreneurs must signal credible commitments. But because consumers purchase without fully specifying requirements, entrepreneurs' commitments take the partial form of implicit contracts, creating strong mutual commitments to repeated transactions. These commitments enable novel markets to function, but introduce additional costs. This article illustrates the theory with the historic case of Singer in sewing machines