Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

Violão: a imagem que fez escola. São Paulo 1900-1960

Pós-graduação em História - FCLAS

Microsatellite analysis supports clonal propagation and reduced divergence of Trypanosoma vivax from asymptomatic to fatally infected livestock in South America compared to West Africa

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Percutaneous aortic valve replacement for severe aortic stenosis in high-risk patients using the second- and current third-generation self-expanding CoreValve prosthesis: device success and 30-day clinical outcome

OBJECTIVES: We sought to determine both the procedural performance and safety of percutaneous implantation of the second (21-French [F])- and third (18-F)-generation CoreValve aortic valve prosthesis (CoreValve Inc., Irvine, California). BACKGROUND: Percutaneous aortic valve replacement represents an emerging alternative therapy for high-risk and inoperable patients with severe symptomatic aortic valve stenosis. METHODS: Patients with: 1) symptomatic, severe aortic valve stenosis (area <1 cm2); 2) age > or =80 years with a logistic EuroSCORE > or =20% (21-F group) or age > or =75 years with a logistic EuroSCORE > or =15% (18-F group); or 3) age > or =65 years plus additional prespecified risk factors were included. Introduction of the 18-F device enabled the transition from a multidisciplinary approach involving general anesthesia, surgical cut-down, and cardiopulmonary bypass to a truly percutaneous approach under local anesthesia without hemodynamic support. RESULTS: A total of 86 patients (21-F, n = 50; 18-F, n = 36) with a mean valve area of 0.66 +/- 0.19 cm2 (21-F) and 0.54 +/- 0.15 cm2 (18-F), a mean age of 81.3 +/- 5.2 years (21-F) and 83.4 +/- 6.7 years (18-F), and a mean logistic EuroSCORE of 23.4 +/- 13.5% (21-F) and 19.1 +/- 11.1% (18-F) were recruited. Acute device success was 88%. Successful device implantation resulted in a marked reduction of aortic transvalvular gradients (mean pre 43.7 mm Hg vs. post 9.0 mm Hg, p < 0.001) with aortic regurgitation grade remaining unchanged. Acute procedural success rate was 74% (21-F: 78%; 18-F: 69%). Procedural mortality was 6%. Overall 30-day mortality rate was 12%; the combined rate of death, stroke, and myocardial infarction was 22%. CONCLUSIONS: Treatment of severe aortic valve stenosis in high-risk patients with percutaneous implantation of the CoreValve prosthesis is feasible and associated with a lower mortality rate than predicted by risk algorithms.

Index-Oriented Methodologies for Landslide Consequence Analysis: An Application to a Mountain Community in the French Alps

Consequence analysis is a key aspect of anchoring assessment of landslide impacts to present and long-term development planning. Although several approaches have been developed over the last decade, some of them are difficult to apply in practice, mainly because of the lack of valuable data on historical damages or on damage functions. In this paper, two possible consequence indicators based on a combination of descriptors of the exposure of the elements at risk are proposed in order to map the potential impacts of landslides and highlight the most vulnerable areas. The first index maps the physical vulnerability due to landslide; the second index maps both direct damage (physical, structural, functional) and indirect damage (socio-economic impacts) of landslide hazards. The indexes have been computed for the 200 km2 area of the Barcelonnette Basin (South French Alps), and their potential applications are discussed.

Germanic Mythology in Music: Cultural Memory and Conflict within the Framework of Modern Globalization

The multi-layered enactment of a national past in music has been strongly intertwined with the usage of mythological elements. Having often been compiled as a coherent narrative during the emergence of the European nation-states (like the Finnish Kalevala), the mythological material has often been perceived as a form of historical truth and national justification. This focal role is also apparent in various music genres ranging from folk revival to metal in post-1989 Europe. Within the globalized context, however, local-national interpretations can collide with earlier nationalist appropriations. This complex and sometimes politically conflicting situation becomes particularly evident with groups falling back on symbols and narrations that had previously been employed by Nazi-Germany. While Nazi-Germany had, among others, tried replace the Christmas tradition with elements and songs from Germanic (and other) mythological sources, modern Neo-Nazi music groups often employ central mythological names (like Odin or Tyr) and iconic elements (like Vikings and warriors) in song lyrics and CD cover designs. However, while many covers and lyrics are legally forbidden in Germany, Scandinavian and Baltic groups (like the Faroese Viking metal group Tyr and the Latvian pagan metal band Skyforger) employ similar elements of Norse mythology, which are often combined with traditional material. Discussing selected case studies, this paper highlights central discursive points of colliding historical-national associations and individual interpretations of the mythological elements in musical contexts. How far can the material be disassociated from the earlier historical political usage and instrumentalization? Is this necessary ? And how can the specific global-local conflict points be approached by a theoretical framework ?

Transregional Interactions between Jansenists, other Catholics, and Protestants in Seventeenth Century Northern Europe

This paper discusses the theological and cultural exchanges between Catholic clergy and theologians, and specifically between the neo-Augustinian-minded, the so-called “Jansenists”, and other Catholics, in Northern Europe during the seventeenth century. It also explores the Jansenists’ encounters and theological engagement with Protestantism. In this period, interaction and transfer between French Jansenist Catholics and other Catholics in other countries took place in various ways: 1. Via traveling and migration: French theologians and clergy returned home from their travels with reports about the situation of Catholicism and Protestantism in other countries; moreover, in the second half of the 17th century, French Jansenists fled to the northern Netherlands. 2. Via networking: it is little known that for a brief period on the North Sea island of Nordstrand, adherents to Port-Royal were buying land, and clergy of the Flemish Oratory provided pastoral care for the island’s Catholics. This project was not successful, but at the end it strengthened the network between French “Jansenists” and Catholics in the Dutch Republic. 3. Via publications by leading Jansenists and their counterparts. In this paper, the focus is on the view of Protestantism held by Jansenist writers.

A summative evaluation of a HIV/AIDS Early Childhood Care, Education and Development Teacher Training Workshop in Mongu, Zambia

Objective. To conduct a summative evaluation of an Early Childhood Care, Education and Development (ECCED) Teacher Training Workshop in Mongu, Zambia by assessing changes in knowledge, attitudes and intent to use the information. ^ Study design. A matched cohort survey design was used with additional qualitative data collected by structured observation of workshop sessions, daily facilitator and participant debriefs and participant interviews. ^ Results. Matching pre and post tests were completed by 27 individuals in addition to daily debriefs, structured workshop observation and participant interviews with 22% of the group. The participant population was predominantly female individuals aged 15-44 years old that had completed high school and additional post-secondary training, been teaching children aged 0 – 8 years for 2-5 years in the Western Province and received other HIV/AIDS and ECCED education. Pre-tests indicated a strong understanding of ECCED principles and misconceptions regarding HIV transmission, prevention and the disease's impact on early childhood development. The workshop was found to significantly increase the participants' knowledge of topics covered by the curriculum (paired t-test, N=27, p = 0.004, 95% CI 1.8, 8.6). Participants began with a more limited understanding of HIV/AIDS than ECCED, but the mean gain was much greater at 7.4 +/- 12.3 points. Significantly more participants believed at post-test that HIV/AIDS education should increase for future educators. The 77.8% of participants that increased their knowledge scores at post-test expressed significantly less fear of having a child with HIV/AIDS in the classroom (Independent Samples t-test, N= 27, p = 0.011). Overall participant fear decreased 15.5%. 92.6% and 88.9% of participants planned at post-test to respectively use and share the taught information in their daily professional lives and reported on innovative strategies to communicate with the community. ^ Conclusions. Teacher training workshops can significantly increase HIV/AIDS awareness and promote positive attitudes in educators working with children affected by HIV/AIDS. Using participant suggested teaching techniques such as poems and songs and translating the materials to the local language could assist future facilitators to both culturally and professionally relate to the workshop audience as well as increase participant capacity to share the information with the local community. ^

In-situ sediment temperature and pore water chloride concentration at pockmarks of the Nigerian continental margin

A joint research expedition between the French IFREMER and the German MARUM was conducted in 2011 using the R/V 'Pourquoi pas?' to study gas hydrate distributions in a pockmark field (1141-1199 m below sea surface) at the continental margin of Nigeria. The seafloor drill rig MeBo of MARUM was used to recover sediments as deep as 56.74 m below seafloor. The presence of gas hydrates in specific core sections was deduced from temperature anomalies recorded during continuous records of infrared thermal scanning and anomalies in pore water chloride concentrations. In situ sediment temperature measurements showed elevated geothermal gradients of up to 258 °C/km in the center of the so-called pockmark A which is up to 4.6 times higher than that in the background sediment (72 °C/km). The gas hydrate distribution and thermal regime in the pockmark are largely controlled by the intensity, periodicity and direction of fluid flow. The joint interaction between fluid flow, gas hydrate formation and dissolution, and the thermal regime governs pockmark formation and evolution on the Nigerian continental margin.

Acoustic and neural bases for innate recognition of song

In behavior reminiscent of the responsiveness of human infants to speech, young songbirds innately recognize and prefer to learn the songs of their own species. The acoustic and physiological bases for innate recognition were investigated in fledgling white-crowned sparrows lacking song experience. A behavioral test revealed that the complete conspecific song was not essential for innate recognition: songs composed of single white-crowned sparrow phrases and songs played in reverse elicited vocal responses as strongly as did normal song. In all cases, these responses surpassed those to other species’ songs. Although auditory neurons in the song nucleus HVc and the underlying neostriatum of fledglings did not prefer conspecific song over foreign song, some neurons responded strongly to particular phrase types characteristic of white-crowned sparrows and, thus, could contribute to innate song recognition.

Semantic change and intersubjectification: The origin of reprise evidential conditional in Old Catalan

The reprise evidential conditional (REC) is nowadays not very usual in Catalan: it is restricted to journalistic language and to some very formal genres (such as academic or legal language), it is not present in spontaneous discourse. On the one hand, it has been described among the rather new modality values of the conditional. On the other, the normative tradition tended to reject it for being a gallicism, or to describe it as an unsuitable neologism. Thanks to the extraction from text corpora, we surprisingly find this REC in Catalan from the beginning of the fourteenth century to the contemporary age, with semantic and pragmatic nuances and different evidence of grammaticalization. Due to the current interest in evidentiality, the REC has been widely studied in French, Italian and Portuguese, focusing mainly on its contemporary uses and not so intensively on the diachronic process that could explain the origin of this value. In line with this research, that we initiated studying the epistemic and evidential future in Catalan, our aim is to describe: a) the pragmatic context that could have been the initial point of the REC in the thirteenth century, before we find indisputable attestations of this use; b) the path of semantic change followed by the conditional from a ‘future in the past’ tense to the acquisition of epistemic and evidential values; and c) the role played by invited inferences, subjectification and intersubjectification in this change.

De Gaulle and Europe: Historical Revision and Social Science Theory. Program for the Study of Germany and Europe Working Paper Series 8.5

The thousands of books and articles on Charles de Gaulle's policy toward European integration, whether written by historians, social scientists, or commentators, universally accord primary explanatory importance to the General's distinctive geopolitical ideology. In explaining his motivations, only secondary significance, if any at all, is attached to commercial considerations. This paper seeks to reverse this historiographical consensus by examining the four major decisions toward European integration during de Gaulle's presidency: the decisions to remain in the Common Market in 1958, to propose the Foucher Plan in the early 1960s, to veto British accession to the EC, and to provoke the "empty chair" crisis in 1965-1966, resulting in the "Luxembourg Compromise." In each case, the overwhelming bulk of the primary evidence-speeches, memoirs, or government documents-suggests that de Gaulle's primary motivation was economic, not geopolitical or ideological. Like his predecessors and successors, de Gaulle sought to promote French industry and agriculture by establishing protected markets for their export products. This empirical finding has three broader implications: (1) For those interesred in the European Union, it suggests that regional integration has been driven primarily by economic, not geopolitical considerations--even in the "least likely" case. (2) For those interested in the role of ideas in foreign policy, it suggests that strong interest groups in a democracy limit the impact of a leader's geopolitical ideology--even where the executive has very broad institutional autonomy. De Gaulle was a democratic statesman first and an ideological visionary second. (3) For those who employ qualitative case-study methods, it suggests that even a broad, representative sample of secondary sources does not create a firm basis for causal inference. For political scientists, as for historians, there is in many cases no reliable alternative to primary-source research.

The Mirage of the State: Why the West has failed in Afghanistan, Iraq, Libya, Mali and Central African Republic? Jean Monnet/Robert Schuman Paper Series Vol. 14 No. 15, July 2014

The state still matters. However, the members of the Euro-Atlantic community may be misinterpreting this crucial baseline prior launching their military interventions since 2001. The latest violence and collapse of the state of Iraq after the invasion of Northern Iraq by a radical Sunni Muslim terrorist group, so-called Islamic State of Iraq and Syria (ISIS), demonstrate once again the centrality and requirement of a functioning state in order to maintain violent forces to disrupt domestic and regional stability. Since 2001, the US and its European allies have waged wars against failed-states in order to increase this security and national interests, and then have been involved in some type of state-building.1 This has been the case in Afghanistan, Iraq, Libya, Mali, and Central African Republic (CAR). France went into Mali (2012) and CAR (2013), which preceded two European Union military and civilian Common Security and Defense Policy missions (CSDP), in order to avoid the collapse of these two states. The threat of the collapse of both states was a concern for the members of the Euro-Atlantic community as it could have spread to the region and causing even greater instabilities. In Mali, the country was under radical Islamic pressures coming from the North after the collapse of Libya ensuing the 2011 Western intervention, while in CAR it was mainly an ethno-religious crisis. Failed states are a real concern, as they can rapidly become training grounds for radical groups and permitting all types of smuggling and trafficking.2 In Mali, France wanted to protect its large French population and avoid the fall of Mali in the hands of radical Islamic groups directly or indirectly linked to Al-Qaeda. A fallen Mali could have destabilized the region of the Sahel and ultimately affected the stability of Southern European borders. France wanted to avoid the development of a safe haven across the Sahel where movements of people and goods are uncontrolled and illegal.3 Since the end of the Cold War, Western powers have been involved in stabilizing neighborhoods and regions, like the Balkans, Africa, and Middle East, which at the exceptions of the Balkans, have led to failed policies. 9/11 changes everything. The US, under President George W. Bush, started to wage war against terrorism and all states link to it. This started a period of continuous Western interventions in this post-9/11 era in Afghanistan, Iraq, Libya, Mali and CAR. If history has demonstrated one thing, the members of the Euro-Atlantic community are struggling and will continue to struggle to stabilize Afghanistan, Iraq, Libya, Mali and Central African Republic (CAR) for one simple reason: no clear endgame. Is it the creation of a state à la Westphalian in order to permit these states to operate as the sole guarantor of security? Or is the reestablishment of status quo in these countries permitting to exit and end Western operations? This article seeks to analyze Western interventions in these five countries in order to reflect on the concept of the state and the erroneous starting point for each intervention.4 In the first part, the political status of each country is analyzed in order to understand the internal and regional crisis. In a second time, the concept of the state, framed into the Buzanian trinity, is discussed and applied to the cases. In the last part the European and American civilian-military doctrines are examined in accordance with their latest military interventions and in their broader spectrum.

De Gaulle and Europe: Historical Revision and Social Science Theory. CES Germany & Europe Working Papers, No. 08.5, 1998

The thousands of books and articles on Charles de Gaulle's policy toward European integration, whether written by historians, political scientists, or commentators, universally accord primary explanatory importance to the General's distinctive geopolitical ideology. In explaining his motivations, only secondary significance, if any at all, is attached to commercial considerations. This paper seeks to reverse this historiographical consensus by the four major decisions toward European integration taken under de Gaulle's Presidency: the decisions to remain in the Common Market in 1958, to propose the Fouchet Plan in the early 1960s, to veto British accession to the EC, and to provoke the "empty chair" crisis in 1965-1966, resulting in Luxembourg Compromise. In each case, the overwhelming bulk of the primary evidence speeches, memoirs, or government documents suggests that de Gaulle's primary motivation was economic, not geopolitical or ideological. Like his predecessors and successors, de Gaulle sought to promote French industry and agriculture by establishing protected markets for their export products. This empirical finding has three broader implications: (1) For those interested in the European Union, it suggests that regional integration has been driven primarily by economic, not geopolitical considerations even in the least likely case. (2) For those interested in the role of ideas in foreign policy, it suggests that strong interest groups in a democracy limit the impact of a leaders geopolitical ideology even where the executive has very broad institutional autonomy. De Gaulle was a democratic statesman first and an ideological visionary second. (3) For those who employ qualitative case-study methods, it suggests that even a broad, representative sample of secondary sources does not create a firm basis for causal inference. For political scientists, as for historians, there is in many cases no reliable alternative to primary source research.