Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

What causes violent crime?

This study uses a new data set of crime ratesfor a large sample of countriesfor the period 1970- 1994, based on information from the United Nations World Crime Surveys, to ana/yze the determinants ofnational homicide and robbery rates. A simple model of the incentives to commit crimes is proposed, which explicit/y considers possible causes of the persistence of crime over time (criminal inertia). Several econometric mode/s are estimated, attempting to capture the . determinonts of crime rates across countries and over time. The empirical mode/s are first run for cross-sections and then applie'd to panel data. The former focus on erplanatory variables that do not change markedly over time, while the panel data techniques consider both the eflect of the business cyc1e (i.e., GDP growth rate) on the crime rate and criminal inertia (accountedfor by the inclusion of the /agged crime rate as an explanatory variable). The panel data techniques a/so consider country-specific eflects, the joint endogeneity of some of the erplanatory variables, and lhe existence of some types of measurement e"ors aJjlicting the crime data. The results showthat increases in income inequality raise crime rates, dete"ence eflects are significant, crime tends to be counter-cyclical, and criminal inertia is significant even after controlling for other potential determinants of homicide and robbery rates.

Balance of payments constrained growth within a consistent stock-flow framework: an application to the economies of CARICOM

Includes bibliography

La cohesión social en los países desarrollados: conceptos e indicadores

Incluye Bibliografía

Colombia: capital público y productividad de la industria manufacturera

Incluye Bibliografía

Matters referred to governments for observations and guidance and for Sixth CDCC Session

Includes bibliography

Pricing and spread components at the Lima Stock Exchange

This paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the equilibrium point of the limit order book per share, and (iii) the pricing, order direction and trading volume dynamic resulting from shocks in the same variables when lagged. The econometric results for intraday data from 2012 show that the short-run dynamic of the most and least liquid shares in the General Index of the Lima Stock Exchange is explained by the direction of order flow, whose price impact is temporary in both cases.

Determinants and home-country effects of FDI outflows: Evidence from Latin American countries

Foreign direct investment (FDI) by Latin American companies has increased sharply since the beginning of the 2000s. While most investment flows correspond to firms from large economies (i.e. Argentina, Brazil, Chile, Mexico and Colombia), small economies have also witnessed the increasing internationalisation of their domestic companies. This study examines the strategies followed by multinational enterprises (MNEs) from Latin America when they decide to invest in other countries, highlighting differences by sector and issuer-country size. To that end a new database, which comprises quantitative information on the main operations abroad of Latin American enterprises (both greenfield, and mergers and acquisitions) was constructed, based on fDi Markets and Thomson Reuters Datastream. It also investigates the home-country effects of outward foreign direct investment (OFDI) by conducting a case study of Costa Rica through a representative sample of firms investing abroad.

Decision making in the product portfolio: methods adopted by Brazil?s innovative companies

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Los usuarios de la Web: conductas de búsqueda de información. En: 2º Congreso Internacional de Investigación en Ciencia de la Información.

El objetivo de este trabajo es investigar las conductas de búsqueda de información en la Web teniendo en cuenta los elementos que intervienen en el proceso. El estudio enfocó a usuarios de una universidad de Argentina. Los estudios de las conductas de los usuarios de la Web, durante el proceso de búsqueda de información, permiten el desarrollo de un área de investigación en biblioteconomía y documentación, con orientación hacia las tecnologías de la información y de la comunicación.Se trata de un estudio que utilizó técnicas de investigación de tipo documental y de campo. La primera se usó para recopilar información destinada a elaborar un marcoteórico conceptual para formar un cuerpo de ideas sobre el objeto de estudio, para enunciar las teorías que sustentan el estudio de los fenómenos y de los procesos. La segunda para la observación en contacto directo con el objeto de estudio, el usuario, y el acopio de testimonios que permitieron confrontar la teoría con la práctica en la búsqueda de la verdad objetiva. Entre los métodos directos de recolección de información se optó por estudiar el universo de las TICs de la Facultad de Humanidades y Ciencias Sociales (FHyCS) de la Universidad Nacional de Misiones (UNaM) para luego encarar el estudio de las conductas de los usuarios (docentes, investigadores y estudiantes) durante el proceso de búsqueda de información en la Web. El tipo de estudio se define como Exploratorio, dado que el objetivo es examinar un tema o problema de investigación poco estudiado en la Argentina. Los resultados obtenidos han permitido detectar algunos agentes que afectan los procesos de búsqueda y los resultados de éstos, como así también la identificación de ciertas facetas humanas y sociales que delinean las conductas de búsqueda de información en la Web. Los estudios de las conductas de búsqueda de información dan cuenta de la dinámica informativa de la institución y de sus posibilidades de mejora y de extensión, contribuyendo con el conocimiento básico para la elaboración de un plan estratégico y participativo, como punto de partida de un proceso de innovación académico-institucional.