Comparison of experimental and numerical sloshing loads in partially filled tanks

Sloshing describes the movement of liquids inside partially filled tanks, generating dynamic loads on the tank structure. The resulting impact pressures are of great importance in assessing structural strength, and their correct evaluation still represents a challenge for the designer due to the high level of nonlinearities involved, with complex free surface deformations, violent impact phenomena and influence of air trapping. In the present paper, a set of two-dimensional cases, for which experimental results are available, is considered to assess the merits and shortcomings of different numerical methods for sloshing evaluation, namely two commercial RANS solvers (FLOW-3D and LS-DYNA), and two academic software (Smoothed Particle Hydrodynamics and RANS). Impact pressures at various critical locations and global moment induced by water motion in a partially filled rectangular tank, subject to a simple harmonic rolling motion, are evaluated and predictions are compared with experimental measurements. 2012 Copyright Taylor and Francis Group, LLC.

Mystica expresion, en que se refiere la rigorosa sentencia, que contra si mismo se ha de dar en el Tribunal de Dios el pecador, que en esta vida no guardare sus divinos preceptos

Pie de imp. consta en col

On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey.

We examine the predictive ability and consistency properties of exchange rate expectations for the dollar/euro using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. Our results suggest that the PwC panel have some forecasting ability for time horizons from 3 to 9 months, although only for the 3-month ahead expectations we obtain marginal evidence of unbiasedness and efficiency in the forecasts. As for the consistency properties of the exchange rate expectations formation process, we find that survey participants form stabilising expectations in the short-run and destabilising expectations in the long- run and that the expectation formation process is closer to fundamentalists than chartists.

Modelos de desarrollo y sistemas de gestión pública: el SNIP peruano, 2000-2014

Esta Tesis tiene dos partes. La Primera Parte es Teórica y Metodológica y trata de la actual crisis de paradigma en las Ciencias Sociales, y de cómo se puede remontar con la Teoría del Pensamiento Complejo, siempre que sus propuestas se centren en modelos empíricos de Análisis de Redes Sociales debidamente matematizados y estadísticamente refrendados. La propuesta del tesista propone enriquecer el actual homo economicus, incorporando la importancia de las relaciones con el grupo (coactivas, coercitivas o motivacionales), a través de un nuevo objeto de estudio: los Proyectos. Es mediante los Proyectos, donde los individuos y los grupos en los que interactúan, transan y organizan sus esfuerzos. El problema reside en que, no existe hasta la fecha, una sistematización y modelización de los Proyectos como objeto de estudio en las Ciencias Sociales. Sin embargo, hay una amplia experiencia de análisis y sistematización de Proyectos tanto en la Economía de la Empresa (Management, Business Administration), como en la Economía Pública. En esta Tesis se estudia todo lo publicado recientemente sobre los Proyectos de Inversión Pública (PIPs) y su eficiencia en Latinoamérica. En la Segunda Parte, centrada en un Trabajo Empírico y su modelización, el tesista crea una Base de Datos (BdD) primaria, a partir del Banco de Proyectos (BdP) del Ministerio de Economía y Finanzas (MEF) del Perú (2001-2014), que recoge todos los Proyectos de Inversión Pública (PIP), cerca de 400.000 PIPs Iniciales, los tabula en 48 categorías y posteriormente, “deja hablar a los datos” jugando a relacionar, correlacionar, inducir hipótesis y verificarlas mediante un sistema que se centra en la operativa tipo “Big Data”. A esto le denomina “triangular” porque mezcla en el esfuerzo, herramientas de Estadística Descriptiva, Estadística Inferencial y Econometría para poder refrendar el conocimiento inducido, que siempre en ciencia, es una mera certeza probabilística. El tesista concluye que en el caso del Sistema Nacional de Inversión Pública del Perú (SNIP) y más específicamente, de los procesos administrativos que emplea -denominados “Ciclo PIP”-, queda claro que se está trabajando con “fenómenos emergentes” cuyo comportamiento no se adapta a una Distribución Normal. Y que dicho comportamiento errático se debe a que la Inversión Pública es cíclica (Ecuación Evolutiva de Price) y a que el “Ciclo PIP” opera a todo nivel (GN, GR, GL) en función de las relaciones entre los miembros que componen su red. Ergo, es un tema a Analizar con Social Network Analysis (Análisis Social de Redes, ARS). El tesista concluye que las redes de “Ciclo PIP” en el Perú fallan principalmente por problemas de escasez de personal técnico multisectorial debidamente cualificado. A manera de conclusión, propone la creación de una Plataforma Web 3.0 (metadatos), que utilice un Sistema de Razonamiento Basado en Casos (SRBC) para aprovechar el conocimiento que dimana de los éxitos y fracasos de los propios PIPs, con el fin de facilitar las gestiones de los miembros de la red que formulan, evalúan y ejecutan los PIPs en el Perú, tanto a nivel Municipal (GP) como Regional (GR) y Nacional (GN).

Estimating and forecasting generalized fractional Long memory stochastic volatility models

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the finite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model.

Volatility spillovers in EMU sovereign bond markets

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.

Extended theory about the allocation of time: Description and application to the increase in the retirement age policies

This paper revises mainstream economic models which include time use in an explicit and endogenous manner, suggesting a extended theory which escape from the main problem existing in the literature. In order to do it, we start by presenting in section 2 the mainstream time use models in economics, showing their main features. Once this is done, we introduce the reader in the main problems this kind of well established models imply, within section 3, being the most highlighted the problem of joint production. Subsequently, we propose an extended theory which solves the problem of joint production; this is extensively described in section 4. Last, but not least, we apply this model to offer a time use analysis of the effect of a policy which increases the retirement age in a life-cycle perspective for a representative individual.

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated financial markets.

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial aspect of constructing optimal dynamic hedging strategies. The paper tests and calculates spillover effects among natural gas spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a result suggests that both natural gas futures and ETF products within and beyond the country might be considered when constructing optimal dynamic hedging strategies for natural gas spot prices.

Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper. Although there has already been significant research on biofuel and biofuel-related crops, much of the previous research has sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility spillovers. However, it must be emphasized that there have been numerous technical errors in the theoretical and empirical research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage their portfolios, so it is possible to calculate an optimal dynamic hedging ratio. This is a very useful and interesting application for the estimation and testing of volatility spillovers. In the empirical analysis, multivariate conditional volatility diagonal BEKK models are estimated for comparing patterns of covolatility spillovers. The paper provides a new way of analyzing and describing the patterns of covolatility spillovers, which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects.

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF futures. The purpose of the paper is to investigate the covolatility spillovers within and across the US energy and financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model, namely Diagonal BEKK. The daily data used are from 1998/12/23 to 2016/4/22. The data set is analyzed in its entirety, and also subdivided into three subset time periods. The empirical results show there is a significant relationship between the Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes.

Diferencias provinciales de bienestar en la España del siglo XX

Comunicación presentada en el Primer Encuentro Anual de la Asociación Española de Historia Económica (AEHE), Barcelona, 9 septiembre 2009.

Sensibilidad de la oferta de capital riesgo a cambios en el marco regulatorio

Este trabajo analiza la eficacia de dos cambios regulatorios sobre la captación de fondos de capital riesgo. En particular, se estudia el efecto de cambios en la tasa impositiva sobre las ganancias de capital y la introducción de una legislación específica que regula la actividad de capital riesgo. Considerando la población de entidades de capital riesgo en España en el periodo 1991-2007, los resultados muestran la eficacia de la introducción de una regulación específica que pretende limitar la doble tributación y aportar seguridad jurídica a los inversores. Por el contrario, no se encuentra suficiente evidencia del efecto de una reducción impositiva en las ganancias de capital en la tributación de las personas físicas, quizá por el efecto indirecto que tiene a través de la demanda de capital riesgo. Estos resultados son importantes para el regulador pues señalan la efectividad de determinadas normas encaminadas al desarrollo de los mercados de capital riesgo.

Diferencias provinciales de bienestar en la España del siglo XX

By using three indicators of the standard of living (income per capita, the Human Development Index and the Physical Quality of Life Index), this article provides new information regarding the evolution of the differences in well-being between the Spanish provinces throughout the 20th century. The results reveal that the disparities were enormous at the beginning of the century, after which a highly significant process of convergence took place, which was comparatively lower in terms of income per person than it was with respect to the HDI or the PQLI. Another noteworthy finding is that, irrespective of the indicator used, the well-being of each province is significantly influenced by that of its neighbours throughout the whole of the period analysed.