Does online information drive offline revenues? Only for specific products and consumer segments!

While many offline retailers have developed informational websites that offer information on products and prices, the key question for such informational websites is whether they can increase revenues via web-to-store shopping. The current paper draws on the information search literature to specify and test hypotheses regarding the offline revenue impact of adding an informational website. Explicitly considering marketing efforts, a latent class model distinguishes consumer segments with different short-term revenue effects, while a Vector Autoregressive model on these segments reveals different long-term marketing response. We find that the offline revenue impact of the informational website critically depends on the product category and customer segment. The lower online search costs are especially beneficial for sensory products and for customers distant from the store. Moreover, offline revenues increase most for customers with high web visit frequency. We find that customers in some segments buy more and more expensive products, suggesting that online search and offline purchases are complements. In contrast, customers in a particular segment reduce their shopping trips, suggesting their online activities partially substitute for experiential shopping in the physical store. Hence, offline retailers should use specific online activities to target specific product categories and customer segments.

Illiquidity shocks and the comovement between stocks:new evidence using smooth transition

This paper extends the smooth transition conditional correlation model by studying for the first time the impact that illiquidity shocks have on stock market return comovement. We show that firms that experience shocks that increase illiquidity are less liquid than firms that experience shocks that decrease illiquidity. Shocks that increase illiquidity have no statistical impact on comovement. However, shocks that reduce illiquidity lead to a fall in comovement, a pattern that becomes stronger as the illiquidity of the firm increases. This discovery is consistent with increased transparency and an improvement in price efficiency. We find that a small number of firms experience a double illiquidity shock. For these firms, at the first shock, a rise in illiquidity reduces comovement while a fall in illiquidity raises comovement. The second shock partly reverses these changes as a rise in illiquidity is associated with a rise in comovement and a fall in illiquidity is associated with a fall in comovement. These results have important implications for portfolio construction and also for the measurement and evolution of market beta and the cost of capital as it suggests that investors can achieve higher returns for the same amount of market risk because of the greater diversification benefits that exist. We also find that illiquidity, friction, firm size and the pre-shock correlation are all associated with the magnitude of the correlation change. © 2013 Elsevier B.V.

Bid-ask spread dynamics in foreign exchange markets

The aim of this paper is to examine the short term dynamics of foreign exchange rate spreads. Using a vector autoregressive model (VAR) we show that most of the variation in the spread comes from the long run dependencies between past and future spreads rather than being caused by changes in inventory, adverse selection, cost of carry or order processing costs. We apply the Integrated Cumulative Sum of Squares (ICSS) algorithm of Inclan and Tiao (1994) to discover how often spread volatility changes. We find that spread volatility shifts are relatively uncommon and shifts in one currency spread tend not to spillover to other currency spreads. © 2013.

Are European equity markets efficient? New evidence from fractal analysis

We report an empirical analysis of long-range dependence in the returns of eight stock market indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range dependence. The issue of disentangling short-range and long-range dependence is examined. Pre-filtering by fitting a (short-range) autoregressive model eliminates part of the long-range dependence when the latter is present, while failure to pre-filter leaves open the possibility of conflating short-range and long-range dependence. There is a strong evidence of long-range dependence for the small central European Czech stock market index PX-glob, and a weaker evidence for two smaller western European stock market indices, MSE (Spain) and SWX (Switzerland). There is little or no evidence of long-range dependence for the other five indices, including those with the largest capitalizations among those considered, DJIA (US) and FTSE350 (UK). These results are generally consistent with prior expectations concerning the relative efficiency of the stock markets examined. © 2011 Elsevier Inc.

Combination of Global and Local Attributional Similarities for Synonym Detection

2000 Mathematics Subject Classification: 68T50.

Trading between perceived risks and benefits related to biosimilar biological treatment in Crohn’s disease; discrete choice experiment among gastroenterologists

Objective: The objective of the study is to explore preferences of gastroenterologists for biosimilar drugs in Crohn’s Disease and reveal trade-offs between the perceived risks and benefits related to biosimilar drugs. Method: Discrete choice experiment was carried out involving 51 Hungarian gastroenterologists in May, 2014. The following attributes were used to describe hypothetical choice sets: 1) type of the treatment (biosimilar/originator) 2) severity of disease 3) availability of continuous medicine supply 4) frequency of the efficacy check-ups. Multinomial logit model was used to differentiate between three attitude types: 1) always opting for the originator 2) willing to consider biosimilar for biological-naïve patients only 3) willing to consider biosimilar treatment for both types of patients. Conditional logit model was used to estimate the probabilities of choosing a given profile. Results: Men, senior consultants, working in IBD center and treating more patients are more likely to willing to consider biosimilar for biological-naïve patients only. Treatment type (originator/biosimilar) was the most important determinant of choice for patients already treated with biologicals, and the availability of continuous medicine supply in the case biological-naïve patients. The probabilities of choosing the biosimilar with all the benefits offered over the originator under current reimbursement conditions are 89% vs 11% for new patients, and 44% vs 56% for patients already treated with biological. Conclusions: Gastroenterologists were willing to trade between perceived risks and benefits of biosimilars. The continuous medical supply would be one of the major benefits of biosimilars. However, benefits offered in the scenarios do not compensate for the change from the originator to the biosimilar treatment of patients already treated with biologicals.

Metacommunity Structure Along Resource and Disturbance Gradients in Everglades Wetlands

We evaluated metacommunity hypotheses of landscape arrangement (indicative of dispersal limitation) and environmental gradients (hydroperiod and nutrients) in structuring macroinvertebrate and fish communities in the southern Everglades. We used samples collected at sites from the eastern boundary of the southern Everglades and from Shark River Slough, to evaluate the role of these factors in metacommunity structure. We used eigenfunction spatial analysis to model community structure among sites and distance-based redundancy analysis to partition the variability in communities between spatial and environmental filters. For most animal communities, hydrological parameters had a greater influence on structure than nutrient enrichment, however both had large effects. The influence of spatial effects indicative of dispersal limitation was weak and only periphyton infauna appeared to be limited by regional dispersal. At the landscape scale, communities were well-mixed, but strongly influenced by hydrology. Local-scale species dominance was influenced by water-permanence and nutrient enrichment. Nutrient enrichment is limited to water inflow points associated with canals, which may explain its impact in this data set. Hydroperiod and nutrient enrichment are controlled by water managers; our analysis indicates that the decisions they make have strong effects on the communities at the base of the Everglades food web.

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

A field experiment on a steel Gerber-truss bridge for damage detection utilizing vehicle-induced vibrations

A field experiment was conducted on a real continuous steel Gerber-truss bridge with artificial damage applied. This article summarizes the results of the experiment for bridge damage detection utilizing traffic-induced vibrations. It investigates the sensitivities of a number of quantities to bridge damage including the identified modal parameters and their statistical patterns, Nair’s damage indicator and its statistical pattern and different sets of measurement points. The modal parameters are identified by autoregressive time-series models. The decision on bridge health condition is made and the sensitivity of variables is evaluated with the aid of the Mahalanobis–Taguchi system, a multivariate pattern recognition tool. Several observations are made as follows. For the modal parameters, although bridge damage detection can be achieved by performing Mahalanobis–Taguchi system on certain modal parameters of certain sets of measurement points, difficulties were faced in subjective selection of meaningful bridge modes and low sensitivity of the statistical pattern of the modal parameters to damage. For Nair’s damage indicator, bridge damage detection could be achieved by performing Mahalanobis–Taguchi system on Nair’s damage indicators of most sets of measurement points. As a damage indicator, Nair’s damage indicator was superior to the modal parameters. Three main advantages were observed: it does not require any subjective decision in calculating Nair’s damage indicator, thus potential human errors can be prevented and an automatic detection task can be achieved; its statistical pattern has high sensitivity to damage and, finally, it is flexible regarding the choice of sets of measurement points.

Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás

ALVES, Janaína da Silva. Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás. Revista Ciências Administrativas, Fotaleza, v. 13, n. 1, p.147-157, ago. 2007.

Méthodes de Bootstrap pour les modèles à facteurs

Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás

ALVES, Janaína da Silva. Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás. Revista Ciências Administrativas, Fotaleza, v. 13, n. 1, p.147-157, ago. 2007.

TRIB2 in normal and malignant hematopoiesis - a transcription factor network

Hematopoiesis is the tightly controlled and complex process in which the entire blood system is formed and maintained by a rare pool of hematopoietic stem cells (HSCs), and its dysregulation results in the formation of leukaemia. TRIB2, a member of the Tribbles family of serine/threonine pseudokinases, has been implicated in a variety of cancers and is a potent murine oncogene that induces acute myeloid leukaemia (AML) in vivo via modulation of the essential myeloid transcription factor CCAAT-enhancer binding protein α (C/EBPα). C/EBPα, which is crucial for myeloid cell differentiation, is commonly dysregulated in a variety of cancers, including AML. Two isoforms of C/EBPα exist - the full-length p42 isoform, and the truncated oncogenic p30 isoform. TRIB2 has been shown to selectively degrade the p42 isoform of C/EBPα and induce p30 expression in AML. In this study, overexpression of the p30 isoform in a bone marrow transplant (BMT) leads to perturbation of myelopoiesis, and in the presence of physiological levels of p42, this oncogene exhibited weak transformative ability. It was also shown by BMT that despite their degradative relationship, expression of C/EBPα was essential for TRIB2 mediated leukaemia. A conditional mouse model was used to demonstrate that oncogenic p30 cooperates with TRIB2 to reduce disease latency, only in the presence of p42. At the molecular level, a ubiquitination assay was used to show that TRIB2 degrades p42 by K48-mediated proteasomal ubiquitination and was unable to ubiquitinate p30. Mutation of a critical lysine residue in the C-terminus of C/EBPα abrogated TRIB2 mediated C/EBPα ubiquitination suggesting that this site, which is frequently mutated in AML, is the site at which TRIB2 mediates its degradative effects. The TRIB2-C/EBPα axis was effectively targeted by proteasome inhibition. AML is a very difficult disease to target therapeutically due to the extensive array of chromosomal translocations and genetic aberrations that contribute to the disease. The cell from which a specific leukaemia arises, or leukaemia initiating cell (LIC), can affect the phenotype and chemotherapeutic response of the resultant disease. The LIC has been elucidated for some common oncogenes but it is unknown for TRIB2. The data presented in this thesis investigate the ability of the oncogene TRIB2 to transform hematopoietic stem and progenitor cells in vitro and in vivo. TRIB2 overexpression conferred in vitro serially replating ability to all stem and progenitor cells studied. Upon transplantation, only TRIB2 overexpressing HSCs and granulocyte/macrophage progenitors (GMPs) resulted in the generation of leukaemia in vivo. TRIB2 induced a mature myeloid leukaemia from the GMP, and a mixed lineage leukaemia from the HSC. As such the role of TRIB2 in steady state hematopoiesis was also explored using a Trib2-/- mouse and it was determined that loss of Trib2 had no effect on lineage distribution in the hematopoietic compartment under steady-state conditions. The process of hematopoiesis is controlled by a host of lineage restricted transcription factors. Recently members of the Nuclear Factor 1 family of transcription factors (NFIA, NFIB, NFIC and NFIX) have been implicated in hematopoiesis. Little is known about the role of NFIX in lineage determination. Here we describe a novel role for NFIX in lineage fate determination. In human and murine datasets the expression of Nfix was shown to decrease as cells differentiated along the lymphoid pathway. NFIX overexpression resulted in enhanced myelopoiesis in vivo and in vitro and a block in B cell development at the pre-pro-B cell stage. Loss of NFIX resulted in disruption of myeloid and lymphoid differentiation in vivo. These effects on stem and progenitor cell fate correlated with changes in the expression levels of key transcription factors involved in hematopoietic differentiation including a 15-fold increase in Cebpa expression in Nfix overexpressing cells. The data presented support a role for NFIX as an important transcription factor influencing hematopoietic lineage specification. The identification of NFIX as a novel transcription factor influencing lineage determination will lead to further study of its role in hematopoiesis, and contribute to a better understanding of the process of differentiation. Elucidating the relationship between TRIB2 and C/EBPα not only impacts on our understanding of the pathophysiology of AML but is also relevant in other cancer types including lung and liver cancer. Thus in summary, the data presented in this thesis provide important insights into key areas which will facilitate the development of future therapeutic approaches in cancer treatment.

Predicting Pollicipes pollicipes (Crustacea: Cirripedia) abundance on intertidal rocky shores of SW Portugal: a multi-scale approach based on a simple fetch-based wave exposure index

Understanding and predicting patterns of distribution and abundance of marine resources is important for con- servation and management purposes in small-scale artisanal fisheries and industrial fisheries worldwide. The goose barnacle (Pollicipes pollicipes) is an important shellfish resource and its distribution is closely related to wave exposure at different spatial scales. We modelled the abundance (percent coverage) of P. pollicipes as a function of a simple wave exposure index based on fetch estimates from digitized coastlines at different spatial scales. The model accounted for 47.5% of the explained deviance and indicated that barnacle abundance increases non-linearly with wave exposure at both the smallest (metres) and largest (kilometres) spatial scales considered in this study. Distribution maps were predicted for the study region in SW Portugal. Our study suggests that the relationship between fetch-based exposure indices and P. pollicipes percent cover may be used as a simple tool for providing stakeholders with information on barnacle distribution patterns. This information may improve assessment of harvesting grounds and the dimension of exploitable areas, aiding management plans and support- ing decision making on conservation, harvesting pressure and surveillance strategies for this highly appreciated and socio- economically important marine resource.

Predicción de volatilidad de la rentabilidad diaria del mercado del azúcar y su aplicación en la razón de cobertura

Este trabajo predice la volatilidad de la rentabilidad diaria del precio del azúcar, en el período compren­dido entre 1 de junio de 2011 y el 24 de octubre de 2013. Los datos diarios utilizados fueron los precios del azúcar, del etanol y la tasa de cambio de la moneda de Brasil (Real) en dólares. Se usaron modelos multivariados de volatilidad autoregresiva condicional generalizada. A partir de la predicción de los precios del azúcar se calcula la razón de cobertura de mínima varianza. Los resultados muestran, que la razón de cobertura es 0.37, esto significa que, si un productor adverso al riesgo, que tiene la intención de eliminar un porcentaje de la volatilidad de la rentabilidad diaria del mercado mundial del azúcar, y espera vender 25 contratos de azúcar, cada uno de ellos de 50,84 toneladas (1.271 toneladas), el número de contratos optimo tomando cobertura a futuro será 9 y el número de contratos sin tomar cobertura (de contado) será 16.