Panicca: panic on cross-section averages

The cross-section average (CA) augmentation approach of Pesaran (2007) and Pesaran et al. (2013), and the principal components-based panel analysis of non-stationarity in idiosyncratic and common components (PANIC) of Bai and Ng (2004, 2010) are among the most popular “second-generation” approaches for cross-section correlated panels. One feature of these approaches is that they have different strengths and weaknesses. The purpose of the current paper is to develop PANICCA, a combined approach that exploits the strengths of both CA and PANIC.

Aggregate volatility risk and the cross-section of stock returns: Australian evidence

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of stock returns only when market volatility is rising. The asymmetric volatility effect is persistent throughout the sample period and is robust after controlling for size, book-to-market, momentum, and liquidity issues. There is some evidence that aggregate volatility risk is a priced factor, especially in months with increasing market volatility.

Crescimento endogeno, distribuição de renda e política fiscal: uma análise cross-section para os estados brasileiros

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Determinantes do crescimento: uma comparação das regressões em sistemas de equações cross-section com regressões em painel

Essa tese se propõe fazer uma comparação entre duas técnicas alternativas para estudo de impactos marginais de variáveis sócio-econômicas sobre as taxas de crescimento per-capita de grupos de países durante período de 1965 1985: regressão em sistemas de equações com dados em seções transversais, usada por Barro Sala-i-Martin (1995), entre outros, e a regressão em painel com coeficientes individuais. Tentaremos mostrar que os resultados associados certas variáveis são bastante diferentes procuraremos entender algumas causas dessas diferenças. Além disso, estaremos preocupados em avaliar como os resultados são afetados ao alterarmos conjunto de países estudado, em particular quando tomamos grupos de países com uma série de características semelhantes.

Monetary policy and the cross-section of stock returns: a FAVAR approach

We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Sorte versus habilidade, uma abordagem através de cross section da indústria de fundos de ações no Brasil

Neste trabalho testa-se inicialmente se fundos com gestão ativa apresentam alfa (excesso de retorno) em relação aos índices de referência de fundos passivos. Simulações via bootstrap visam indicar se o excesso de retorno apresentado pode ser atribuído apenas à sorte. Com esta metodologia concluiu-se que a carteira agregada de fundos de investimentos de ação com gestão ativa no Brasil não apresenta excesso de retorno em relação aos principais índices da bolsa brasileira, quando líquidos de taxas e despesas. As simulações de bootstrap sugerem que uma quantidade maior de fundos apresenta retornos ajustados ao benchmark do que o esperado pelo efeito da aleatoriedade nos resultados.

Investigation of the two-photon absorption cross-section in perylene tetracarboxylic derivatives: Nonlinear spectra and molecular structure

We investigated the 2PA absorption spectrum of a family of perylene tetracarboxylic derivatives ( PTCDs): bis( benzimidazo) perylene ( AzoPTCD), bis( benzimidazo) thioperylene ( Monothio BZP), n-pentylimidobenzimidazoperylene ( PazoPTCD), and bis( n-butylimido) perylene ( BuPTCD). These compounds present extremely high two-photon absorption, which makes them attractive for applications in photonics devices. The two-photon absorption cross-section spectra of perylene derivatives obtained via Z-scan technique were fitted by means of a sum-over-states ( SOS) model, which described with accuracy the different regions of the 2PA cross-section spectra. Frontier molecular orbital calculations show that all molecules present similar features, indicating that nonlinear optical properties in PTCDs are mainly determined by the central portion of the molecule, with minimal effect from the lateral side groups. In general, our results pointed out that the differences in the 2PA cross-sections among the compounds are mainly due to the nonlinearity resonance enhancement.

eta ->gamma gamma decay width via the Primakoff cross section

Incoherent eta photoproduction in nuclei is evaluated at forward angles within 4 to 9 GeV using a multiple scattering Monte Carlo cascade calculation with full eta-nucleus final-state interactions. The Primakoff, nuclear coherent and nuclear incoherent components of the cross sections fit remarkably well previous measurements for Be and Cu from Cornell, suggesting a destructive interference between the Coulomb and nuclear coherent amplitudes for Cu. The inelastic background of the data is consistently attributed to the nuclear incoherent part, which is clearly not isotropic as previously considered in Cornell's analysis. The respective Primakoff cross sections from Be and Cu give Gamma(eta ->gamma gamma)=0.476(62) keV, where the quoted error is only statistical. This result is consistent with the Particle Data Group average of 0.510(26) keV and in sharp contrast (similar to 50%) with the value of 0.324(46) keV obtained at Cornell.

Measurement of the p(p)over-bar -> WZ+X cross section at root s=1.96 TeV and limits on WWZ trilinear gauge couplings

We present measurements of the process p (P) over bar -> WZ + X -> l 'nu(l ')l (l) over bar at root s = 1:96 TeV,where l and l ' are electrons or muons. Using 1 fb(-1) of data from the D0 experiment, we observe 13 candidates with an expected background of 4.5 +/- 0.6 events and measure a cross section sigma(WZ) = 2.7(-1.3)(+1.7) pb. From the number of observed events and the Z boson transverse momentum distribution, we limit the trilinear WWZ gauge couplings to -0: 17 <= lambda(Z) <= 0.21 (Delta k(Z) <= 0.29(lambda(Z) = 0) at the 95% C.L. for a form factor scale Lambda = 2 TeV. Further, assuming that Delta g(1)(Z) = Delta k(Z), we find -0.12 <= Delta k(Z) <= 0.29(lambda(Z) = 0) at the 95% C. L. These are the most restrictive limits on the WWZ couplings available to date.

Absorption cross section of electromagnetic waves for Schwarzschild black holes

The absorption cross section of black holes has been investigated for various fields. Nevertheless, the absorption cross section of Schwarzschild black holes for the electromagnetic field has been only calculated in the low- and high-frequency approximations until now. Here we compute it numerically for arbitrary frequencies.

Measurement of the t(t)over-bar production cross section in p(p)over-bar collisions at root s=1.96 TeV using kinematic characteristics of lepton plus jets events

We present a measurement of the top quark pair production cross section in p (p) over bar collisions at root s=1.96 TeV utilizing 425 pb(-1) of data collected with the D0 detector at the Fermilab Tevatron Collider. We consider the final state of the top quark pair containing one high-p(T) electron or muon and at least four jets. We exploit specific kinematic features of t (t) over bar events to extract the cross section. For a top quark mass of 175 GeV, we measure sigma(t (t) over bar)=6.4(-1.2)(+1.3)(stat)+/- 0.7(syst)+/- 0.4(lum) pb, in good agreement with the standard model prediction.

Charmonium-pion cross section from QCD sum rules

The J/psipi --> (D) over barD*, D (D) over bar*, (D) over bar *D* and (D) over barD cross sections as a function of roots are evaluated in a QCD sum rule calculation. We study the Borel sum rule for the four point function involving pseudoscalar and vector meson currents, up to dimension four in the operator product expansion. We find that our results are smaller than the J/psipi --> charmed mesons cross sections obtained with models based on meson exchange, but are close to those obtained with quark exchange models. (C) 2002 Elsevier B.V. B.V. All rights reserved.