Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Governor's Youth Race and Detention Task Force; Full Force, May 2009

This report, the Full Report, is the culmination of the Task Force’s responsibilities as set out in Executive Order 5, dated October 30, 2007. The Executive Order specifies a number of goals and report requirements.There is a commonly held perception that the use of detention may serve as a deterrent to future delinquency. Data in this report reflect that approximately 40% of youth detained in 2006 were re-detained in 2006. Research conducted by national experts indicates that, particularly for low risk/low level offenders, that the use of detention is not neutral, and may increase the likelihood of recidivism. Comparable data for Iowa are not available (national data studied for this report provide level of risk, but risk level related to detention is not presently available for Iowa). The Task Force finds no evidence suggesting that recidivism levels (as related to detention risk) in Iowa should be different than found in other states. Data in this report also suggest that detention is one of the juvenile justice system’s more costly sanctions ($257 - $340 per day). Other sites and local jurisdictions have been able to redirect savings from the reduced use of juvenile detention to support less costly, community-based detention alternatives without compromising public safety.

Physical activity in free-living, overweight white and black women: divergent responses by race to diet-induced weight loss.

BACKGROUND: Black women are at greater risk of obesity than are white women, perhaps because of their lower levels of physical activity. OBJECTIVE: We compared free-living activity energy expenditure (AEE) in sedentary white and black women (in overweight and normal-weight states) and in never-overweight control subjects. DESIGN: Subjects included 46 women (23 white, 23 black) studied while overweight and after reaching a normal weight and 38 female control subjects (23 white, 15 black). Diet, without exercise training, resulted in a mean weight loss of 13 kg and a body mass index (in kg/m(2)) < 25. Body composition, sleeping energy expenditure, free-living total energy expenditure, and the energy cost of activity and aerobic capacity were assessed before and after weight loss under 4-wk, diet-controlled, weight-stable conditions and in the control subjects. AEE was defined as above-sleep energy expenditure. RESULTS: No significant racial differences in body composition, before or after weight loss, were found. After weight loss, AEE and aerobic capacity increased in the white women and decreased in the black women (P < 0.05 and P < 0.02, respectively). After weight loss, but not before, the white women had a significantly higher mean AEE than did the black women (2448 +/- 979 and 1728 +/- 1373 kJ/d, respectively; P < 0.05), approximating AEEs in the white (2314 +/- 1105) and black (2310 +/- 1251) control subjects. CONCLUSIONS: Relative to the responses of the white women to diet-induced weight loss, the black women became less fit and less physically active. Induction of a normal body weight in overweight black women appeared to produce a more obesity-prone state, favoring weight relapse.

A taxonomical re-evaluation of the Valais chromosome race of the common shrew Sorex araneus (Insectivora: Soricidae)

The common shrew Sorex araneus Linnaeus, 1758 is subject to intense chromosomal polymorphism. About 65 chromosome races are presently known. One of these chromosome races (the Valais race) is karyologically, morphologically, biochemically, and genetically clearly distinct from all other chromosome races of the species. Recent studies of hybrid zones between the Valais race and other chromosome races in the Swiss and French Alps add further strong evidence for the specific taxonomic status of the Valais race. Chromosomes and diagnostic protein markers reveal sharp frequency clines and strong heterozygote deficits. In one hybrid zone, the maintenance of the strong genetic differentiation of the hybridizing taxa was confirmed by a study with autosomal microsatellites indicating minimal gene flow. A microsatellite marker on the Y-chromosome showed complete absence of male mediated gene flow suggesting hybrid male sterility. To clarify the taxonomic status of this taxon, additional analyses were conducted. A morphometric analysis of the mandible indicated the Valais race is morphologically as distinct from neighbouring chromosome races of S. araneus as from other related Sorex species. In a phylogeny based on complete mitochondrial DNA cytochrome b gene sequences, the Valais race clearly appears as the sister taxon to all other races of S. araneus. Therefore, the chromosome race Valais of S. araneus herein is elevated to specific status and the name Sorex antinorii Bonaparte, 1840 is applied.

The changing relationship between commodity prices and equity prices in commodity exporting

We explore the linkage between equity and commodity markets, focusing in particular on its evolution over time. We document that a country's equity market valuehas significant out-of-sample predictive ability for the future global commodity priceindex for several primary commodity-exporting countries. The out-of-sample predictive ability of the equity market appears around 2000s. The results are robust to usingseveral control variables as well as firm-level equity data. Finally, our results indicatethat exchange rates are a better predictor of commodity prices than equity markets,especially at very short horizons.

International Equity on Greenhouse Gas Emissions and World Levels: an integrated analysis through distributive welfare indices

Up until now, analyses of the international distribution of pollutant emissions have not paid sufficient attention to the implications that, in terms of social welfare, the combined evolution of the global world average entails. In this context, this paper proposes the use of environmental welfare indices, taken and adapted from the literature on social welfare and inequality, in order to make a comprehensive examination of the international equity factor and the mean factor in this field. The proposed methodology is implemented empirically in order to explore the evolution in distributive-based environmental welfare on a global level for the three main pollutants with greenhouse gas effects: CO2, CH4 and NO, both globally and for selected years during the period of 1990- 2005. The main results found are as follows: firstly, typically, the environmental welfare associated with the overall greenhouse gases decreased significantly over the period, due primarily to the role of CO2; secondly, in contrast, the global welfare associated with CH4 and NO improved; and thirdly, typically, the evolutions can be attributed to a greater extent to the mean component than to the distributive component, although there are exceptions. These results would seem to be relevant in policy terms. JEL codes: D39; Q43; Q56. Keywords: environmental welfare: greenhouse gases; environmental equity.

The equity core and the core

In this paper we study the equity core (Selten, 1978) and compare it with the core. A payo vector is in the equity core if no coalition can divide its value among its members proportionally to a given weight system and, in this way, give more to each member than the amount he or she receives in the payo vector. We show that the equity core is a compact extension of the core and that, for non-negative games, the intersection of all equity cores with respect to all weights coincides with the core of the game. Keywords: Cooperative game, equity core, equal division core, core. JEL classi cation: C71