A Contraction Mapping Approach for Robust Estimation of Lagged Autocorrelation

We consider the zero-crossing rate (ZCR) of a Gaussian process and establish a property relating the lagged ZCR (LZCR) to the corresponding normalized autocorrelation function. This is a generalization of Kedem's result for the lag-one case. For the specific case of a sinusoid in white Gaussian noise, we use the higher-order property between lagged ZCR and higher-lag autocorrelation to develop an iterative higher-order autoregressive filtering scheme, which stabilizes the ZCR and consequently provide robust estimates of the lagged autocorrelation. Simulation results show that the autocorrelation estimates converge in about 20 to 40 iterations even for low signal-to-noise ratio.

Power Allocation in MIMO Wiretap Channel with Statistical CSI and Finite-Alphabet Input

In this paper, we consider the problem of power allocation in MIMO wiretap channel for secrecy in the presence of multiple eavesdroppers. Perfect knowledge of the destination channel state information (CSI) and only the statistical knowledge of the eavesdroppers CSI are assumed. We first consider the MIMO wiretap channel with Gaussian input. Using Jensen's inequality, we transform the secrecy rate max-min optimization problem to a single maximization problem. We use generalized singular value decomposition and transform the problem to a concave maximization problem which maximizes the sum secrecy rate of scalar wiretap channels subject to linear constraints on the transmit covariance matrix. We then consider the MIMO wiretap channel with finite-alphabet input. We show that the transmit covariance matrix obtained for the case of Gaussian input, when used in the MIMO wiretap channel with finite-alphabet input, can lead to zero secrecy rate at high transmit powers. We then propose a power allocation scheme with an additional power constraint which alleviates this secrecy rate loss problem, and gives non-zero secrecy rates at high transmit powers.

Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed’s reaction function (FRF) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of three switching regimes, two characterized by low volatility and the remaining regime by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the rate of inflation and the economic activity index depends on the regime. The estimation results also show robust empirical evidence that the importance of the term spread in the FRF has increased over the sample period and the FRF has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period.

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

The role of the term spread in an augmented Taylor rule: An empirical investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of switching regimes, one characterized by low volatility and the other by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the term spread, inflation and the economic activity index depend on the regime. The estimation results also show robust empirical evidence that the ATR has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period. However, a closer look at the Greenspan period shows the existence of two alternative regimes and that the response of the Fed funds rate to inflation has not been significant during this period once the term spread is considered.

Aplicación del análisis de componentes principales a la inmunización financiera: el caso del mercado español de deuda pública

This work is licensed under a Creative Commons Attribution 3.0 License.

Payments for Water Ecosystem Services in Latin America: Evidence from Reported Experience

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A Zona do Euro e a Teoria de Áreas Monetárias Ótimas: uma análise utilizando um Vetor Autorregressivo Aumentado por Fatores Dinâmicos (FAVAR)

Este trabalho tem como objetivos analisar as semelhanças das respostas dos países da Zona do Euro aos choques na política monetária e no câmbio (identificados através de restrições de sinais nas funções impulso-resposta) e investigar a simetria das flutuações na taxa de crescimento do nível de atividade na região através da análise da importância relativa da resposta do crescimento do PIB destes países aos choques comum e específico identificados pelo modelo FAVAR utilizado, que foi estimado através de um método Bayesiano desenvolvido para incorporar prioris de Litterman (1986). A importância do choque comum (relativamente ao específico) nos diversos países, fornece uma medida do grau de integração dos diversos membros da Zona do Euro. O trabalho contribui para a análise do grau de integração dos países da Zona do Euro ao utilizar uma metodologia que permite o uso de um amplo conjunto de variáveis e ao identificar o grau de simetria das flutuações na taxa de crescimento do nível de atividade dos membros da região através da identificação dos choques comuns e específicos. Foram utilizados dados trimestrais de 1999.I a 2013.I para os 17 países da região. Os resultados encontrados apontam para a existência de uma maior integração entre as grandes economias da Zona do Euro ( com exceção da França) e uma integração menor para as menores economias (com exceção da Finlândia).

Polarization holographic high-density optical data storage in bacteriorhodopsin film

Optical films containing the genetic variant bacteriorhodopsin BR-D96N were experimentally studied in view of their properties as media for holographic storage. Different polarization recording schemes were tested and compared. The influence of the polarization states of the recording and readout waves on the retrieved diffractive image's intensity and its signal-to-noise ratio were analyzed. The experimental results showed that, compared with the other tested polarization relations during holographic recording, the discrimination between the polarization states of diffracted and scattered light is optimized with orthogonal circular polarization of the recording beams, and thus a high signal-to-noise ratio and a high diffraction efficiency are obtained. Using a He-Ne laser (633 nm, 3 mW) for recording and readout, a spatial light modulator as a data input element, and a 2D-CCD sensor for data capture in a Fourier-transform holographic setup, a storage density of 2 x 10(8) bits/cm(2) was obtained on a 60 x 42 mu m(2) area in the BR-D96N film. The readout of encoded binary data was possible with a zero-error rate at the tested storage density. (c) 2005 Optical Society of America.

Can exchange rates forecast commodity prices?

We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policy makers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust. We offer a theoretical resolution, based on the fact that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances. © 2010 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Discounting the Benefits of Climate Change Policies Using Uncertain Rates

Evaluating environmental policies, such as the mitigation of greenhouse gases, frequently requires balancing near-term mitigation costs against long-term environmental benefits. Conventional approaches to valuing such investments hold interest rates constant, but the authors contend that there is a real degree of uncertainty in future interest rates. This leads to a higher valuation of future benefits relative to conventional methods that ignore interest rate uncertainty.

Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

Comparative analysis of corporate risk management practices in Croatian and Slovenian companies

The paper explores differences as well as commonalities in corporate risk management practices and risk exposures in the large non-financial Slovenian and Croatian companies. Comparative analysis of survey results have revealed that the majority of analysed companies in both Croatia and Slovenia are using some form of risk management to manage interest-rate, foreign exchange, or commodity price risk. Regarding the intensity of influence of financial risks on the performance of the analysed companies, the results have shown that the price risk has the highest influence among the Slovenian as well as the Croatian companies. Croatian companies are more affected by currency risk than the Slovenian companies, while the interest-rate risk has been ranged as less important in comparison with commodity price and currency risks. The survey’s results have clearly indicated that Croatian and Slovenian non-financial companies manage financial risks primarily with simple risk management instruments such as natural hedging. In the case of derivatives use, forwards and swaps are by far the most important instruments in both countries, but futures as representatives of standardised derivatives and structured derivatives are more important in the Slovenian than in the Croatian companies.

Cost performance of Irish credit unions

There are 424 credit unions in Ireland with assets under their control of €14.3bn and a membership of 2.5m which equates to about 66% of the economically active population, the highest penetration level of any country. That said, the Irish movement sits at a critical development stage, well behind mature markets such as Canada and the US in terms of product provision, technological sophistication, fragmentation of trade bodies and regulatory environment. This study analyses relative cost efficiency or performance of Irish credit unions using the popular frontier approach which measures an entity’s efficiency relative to a frontier of best practice. Parametric techniques are utilised, with variation in inefficiency being attributed to credit union-specific factors. The stochastic cost frontier parameters and the credit-union specific parameters are simultaneously estimated to produce valid statistical inferences. The study finds that the majority of Irish credit unions are not operating at optimal levels. It further highlights the factors which drive efficiency variation across credit unions and they include technological sophistication, ‘sponsor donated’ resources, interest rate differentials and the levels of bad debt written off

Credit Unions: A Theoretical and Empirical Overview

In 2009 there were over 49,330 credit unions across 98 countries with more than 184 million members and approximately $1,354 billion in assets. There is a great diversity within the credit union movement across these countries. This reflects the various economic, historic and cultural contexts within which credit unions operate. This paper traces the evolution of the credit union movement. It examines credit union objectives, and considers issues relating to efficiency, technology adoption, product diversification, merger, failure and demutualization. The regulatory environment within which credit unions operate is also explored under the themes of interest rate regulation, common bond requirements, taxation, deposit insurance and capital regulation. The overview also considers demutualization and the costs and benefits to credit unions of altering their organizational form.