Seasonal Dynamic Factor Analysis and Bootstrap Inference: Application to Electricity Market Forecasting

In this work, we propose the Seasonal Dynamic Factor Analysis (SeaDFA), an extension of Nonstationary Dynamic Factor Analysis, through which one can deal with dimensionality reduction in vectors of time series in such a way that both common and specific components are extracted. Furthermore, common factors are able to capture not only regular dynamics (stationary or not) but also seasonal ones, by means of the common factors following a multiplicative seasonal VARIMA(p, d, q) × (P, D, Q)s model. Additionally, a bootstrap procedure that does not need a backward representation of the model is proposed to be able to make inference for all the parameters in the model. A bootstrap scheme developed for forecasting includes uncertainty due to parameter estimation, allowing enhanced coverage of forecasting intervals. A challenging application is provided. The new proposed model and a bootstrap scheme are applied to an innovative subject in electricity markets: the computation of long-term point forecasts and prediction intervals of electricity prices. Several appendices with technical details, an illustrative example, and an additional table are available online as Supplementary Materials.

Valoración de recursos propios en empresas mineras: evidencia y comparación con otros sectores

El capital financiero es muy volátil y si el inversor no obtiene una remuneración adecuada al riesgo que asume puede plantearse el retirar su capital del patrimonio de la empresa y, en consecuencia, producir un cambio estructural en cualquier sector de la economía. El objetivo principal es el estudio de los coeficientes de regresión (coeficiente beta) de los modelos de valoración de activos empleados en Economía Financiera, esto es, el estudio de la variación de la rentabilidad de los activos en función de los cambios que suceden en los mercados. La elección de los modelos utilizados se justifica por la amplia utilización teórica y empírica de los mismos a lo largo de la historia de la Economía Financiera. Se han aplicado el modelo de valoración de activos de mercado (capital asset pricing model, CAPM), el modelo basado en la teoría de precios de arbitraje (arbitrage pricing theory, APT) y el modelo de tres factores de Fama y French (FF). Estos modelos se han aplicado a los rendimientos mensuales de 27 empresas del sector minero que cotizan en la bolsa de Nueva York (New York Stock Exchange, NYSE) o en la de Londres (London Stock Exchange, LSE), con datos del período que comprende desde Enero de 2006 a Diciembre de 2010. Los resultados de series de tiempo y sección cruzada tanto para CAPM, como para APT y FF producen varios errores, lo que sugiere que muchas empresas del sector no han podido obtener el coste de capital. También los resultados muestran que las empresas de mayor riesgo tienden a tener una menor rentabilidad. Estas conclusiones hacen poco probable que se mantenga en el largo plazo el equilibrio actual y puede que sea uno de los principales factores que impulsen un cambio estructural en el sector minero en forma de concentraciones de empresas. ABSTRACT Financial capital is highly volatile and if the investor does not get adequate compensation for the risk faced he may consider withdrawing his capital assets from the company and consequently produce a structural change in any sector of the economy. The main purpose is the study of the regression coefficients (beta) of asset pricing models used in financial economics, that is, the study of variation in profitability of assets in terms of the changes that occur in the markets. The choice of models used is justified by the extensive theoretical and empirical use of them throughout the history of financial economics. Have been used the capital asset pricing model, CAPM, the model XII based on the arbitrage pricing theory (APT) and the three-factor model of Fama and French (FF). These models have been applied to the monthly returns of 27 mining companies listed on the NYSE (New York Stock Exchange) or LSE(London Stock Exchange), using data from the period covered from January 2006 to December 2010. The results of time series and cross sectional regressions for CAPM, APT and FF produce some errors, suggesting that many companies have failed to obtain the cost of capital. Also the results show that higher risk firms tend to have lower profitability. These findings make it unlikely to be mainteined over the long term the current status and could drive structural change in the mining sector in the form of mergers.

How I made $2,000,000 in the stock market.

Mode of access: Internet.

Making money in the stock market,

Mode of access: Internet.

Monasticon anglicanum; a history of the abbies and other monasteries, hospitals, frieries, and cathedral and collegiate churches, with their dependencies, in England and Wales; also of all such Scotch, Irish and French monasteries, as were in any manner connected with religious houses in England. Together with a particular account of their respective foundations, grants, and donations, and a full statement of their possessions, as well temporal as spiritual.

"The index has been compiled by Mr. Richard Taylor."--T.p. iii.

New levels in the stock market,

Mode of access: Internet.

The point and figure method of anticipating stock price movements; complete theory and practice,

Mode of access: Internet.

A catalogue raisonné of the works of the most eminent Dutch, Flemish, and French painters; in which is included a short biographical notice of the artists, with a copious description of their principal pictures; a statement of the prices at which such pictures have been sold at public sales on the continent and in England; a reference to the galleries and private collections, in which a large portion are at present; and the names of the artists by whom they have been engraved; to which is added, a brief notice of the scholars & imitators of the great masters of the above schools:

"Reprinted for Sands and company, London and Edinburgh: 1908."

A catalogue raisonné of the works of the most eminent Dutch, Flemish, and French painters : in which is included a short biographical notice of the artists, with a copious description of their principal of pictures, a statement of the prices at which such pictures have been sold at public sales on the continent and in England, a reference to the galleries and private collections, in which a large portion are at present, and the names of the artists by whom they have been engraved, to which is added, a brief notice of the scholars & imitators of the great masters of the above schools /

Includes indexes.

Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test

Considering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.

Phenolic acids and abscisic acid in Australian Eucalyptus honeys and their potential for floral authentication

Seven phenolic acids related to the botanical origins of nine monofloral Eucalyptus honeys from Australia, along with two abscisic isomers, have been analyzed. The mean content of total phenolic acids ranges from 2.14 mg/100 g honey of black box (Eucalyptus largiflorens) honey to 10.3 mg/100 g honey of bloodwood (Eucalyptus intermedia) honey, confirming an early finding that species-specific differences of phytochemical compositions occur quantitatively among these Eucalyptus honeys. A common profile of phenolic acids, comprising gallic, chlorogenic, coumaric and caffeic acids, can be found in all the Eucalyptus honeys, which could be floral markers for Australian Eucalyptus honeys. Thus, the analysis of phenolic acids could also be used as an objective method for the authentication of botanical origin of Eucalyptus honeys. Moreover, all the honey samples analyzed in this study contain gallic acid as the main phenolic acid, except for stringybox (Eucalyptus globoidia) honey which has ellagic acid as the main phenolic acid. This result indicates that the species-specific differences can also be found in the honey profiles of phenolic acids. Further-more, the analysis of abscisic acid in honey shows that the content of abscisic acid varies from 0.55 mg/100 g honey of black box honey to 4.68 mg/ 100 g honey of bloodwood honey, corresponding to the contents of phenolic acids measured in these honeys. These results have further revealed that the HPLC analysis of honey phytochemical constituents could be used individually and/or jointly for the authentication of the botanical origins of Australian Eucalyptus honeys. (C) 2003 Elsevier Ltd. All rights reserved.