Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.

Wage differentials between Permanent and Temporal Contracts: Further Evidence

The main objective of this paper is to estimate wage differentials between permanent and temporal workers for different qualification levels and decompose such differentials to see which factors contribute more to explain them. The data we use is the "Encuesta de Estructura Salarial", a survey carried out in 1995 in all countries of the European Union, which contains very detailed information on wages and other characteristics for about 180.000 workers. The empirical results indicate that (a) the wage gap between permanent and temporal workers increases with qualification and it is smaller for females than for males, (b) when decomposing average wage differentials for each qualification level, we observe that the vast majority of such differential is explainedby differences in characteristics, and in particular by differences in tenure and occupation. With respect to differences in returns, our results indicate that the returns to tenure are higher for temporal workres relative to permanent workers for both males and females and for every qualification level. Returns to occupation are higher for permanent than for temporal workers, and the differenceis particularly high for females.

Alvará com força de Ley, por que Vossa Magestade ha por bem renovar a inteira, e inviolavel observancia da Ley de doze de setembro de mil seiscentos cincoenta e tres, em quanto nella se estabeleceo, que os indios do Graõ Pará, e Maranhaõ sejão governados no temporal pelos Governadores, Ministros, e pelos seus principaes, e justiças seculares, com inhibição das administrações dos regulares, derogando todas as Leys, Regimentos, Ordens, e Disposições contrarias : para V. Magestade ver / Antonio José Galvão o fez

Coleção Marcio Moreira Alves.

Uncovering Ecosystem Service Bundles through Social Preferences

11 p.

Optimal Monetary Policy with Asymmetric Preferences for Output

Using a model of an optimizing monetary authority which has preferences that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical evidence that the authority has asymmetric preferences for unemployment. We extend this model to weigh inflation and output and show that the empirical evidence using these series also supports an asymmetric preference hypothesis, only in our case, preferences are asymmetric for output. We also find evidence that the monetary authority targets potential output rather than some higher output level as would be the case in an extended Barro and Gordon (1983) model.

Temporal and spatial changes in milfoil distribution and biomass associated with weevils in Fish Lake, WI

During the course of an eight year monitoring effort, the Wisconsin Department of Natural Resources documented a significant decline in milfoil biomass and distribution in Fish Lake, Wisconsin. Average milfoil biomass declined by 40- 50% from 374-524 g dw m -2 during 1991-93 to 265 g dw m -2 during both 1994 and 1995. Milfoil recovered fully in 1996- 98 to 446- 564 g dw m -2 . The size of the milfoil bed, as discerned from aerial photographs, shrank from a maximum coverage of 40 ha in 1991 to less than 20 ha during 1995. During the “crash” of 1994-95, milfoil plants exhibited typical signs of weevil-induced damage, including darkened, brittle, hollowed-out growing tips, and the arching and collapse of stems associated with loss of buoyancy. Monitoring of weevils and stem damage during 1995-98 showed highest densities and heaviest damage occurred near shore and subsequently fanned out into deeper water from core infestation sites each spring. The extent of milfoil stem damage was positively correlated with weevil densities (monthly sampling). However, weevil densities and stem damage were lower during 1995 (when milfoil biomass was in decline) than during 1996-98 (when milfoil biomass was fully recovered).

Spatial and Temporal Variation of LURR and Its Implication for the Tendency of Earthquake Occurrence in Southern California

Based on the theory of LURR and its recent development, spatial and temporal variation of Y/Y-c (value of LURR/critical value of LURR) in the Southern California region during the period from 1980 through March, 2001 was studied. According to the previous study on the fault system and stress field in Southern California, we zoned the Southern California region into 11 parts in each of which the stress field is almost uniform. With the time window of one year, time moving step of three months, space window of a circle region with a radius of 100 km and space moving step of 0.25 degree in latitude and longitude direction, the evolution of Y/Y-c were snapshot. The scanning results show that obvious Y/Y-c anomalies occurred before 5/6 of strong earthquakes considered with a magnitude of 6.5 or greater. The critical regions of Y/Y-c are near the epicenters of the strong earthquakes and the Y/Y-c anomalies occur months to years prior to the earthquakes. The tendency of earthquake occurrence in the California region is briefly discussed on the basis of the examination of Y/Y-c.

Spatio-Temporal Scanning and Statistical Test of the Accelerating Moment Release (AMR) Model Using Australian Earthquake Data

The Accelerating Moment Release (AMR) preceding earthquakes with magnitude above 5 in Australia that occurred during the last 20 years was analyzed to test the Critical Point Hypothesis. Twelve earthquakes in the catalog were chosen based on a criterion for the number of nearby events. Results show that seven sequences with numerous events recorded leading up to the main earthquake exhibited accelerating moment release. Two occurred near in time and space to other earthquakes preceded by AM R. The remaining three sequences had very few events in the catalog so the lack of AMR detected in the analysis may be related to catalog incompleteness. Spatio-temporal scanning of AMR parameters shows that 80% of the areas in which AMR occurred experienced large events. In areas of similar background seismicity with no large events, 10 out of 12 cases exhibit no AMR, and two others are false alarms where AMR was observed but no large event followed. The relationship between AMR and Load-Unload Response Ratio (LURR) was studied. Both methods predict similar critical region sizes, however, the critical point time using AMR is slightly earlier than the time of the critical point LURR anomaly.

Aproximación fenomenológica al concepto de refugio temporal: anacronismos de una construcción inestable

Ponencia leída en el Foro de Comunicaciones IkasArt III (BEC Barakaldo, 2011.11.11)[por Skype]

Fish assemblages and benthic habitats of Buck Island Reef National Monument (St. Croix, U.S. Virgin Islands) and the surrounding seascape: A characterization of spatial and temporal patterns

Since 1999, NOAA’s Biogeography Branch of the Center for Coastal Monitoring and Assessment (CCMA-BB) has been working with federal and territorial partners to characterize, monitor, and assess the status of the marine environment around northeastern St. Croix, U.S. Virgin Islands. This effort is part of the broader NOAA Coral Reef Conservation Program’s (CRCP) National Coral Reef Ecosystem Monitoring Program (NCREMP). With support from CRCP’s NCREMP, CCMA conducts the “Caribbean Coral Reef Ecosystem Monitoring project” (CREM) with goals to: (1) spatially characterize and monitor the distribution, abundance, and size of marine fauna associated with shallow water coral reef seascapes (mosaics of coral reefs, seagrasses, sand and mangroves); (2) relate this information to in situ fine-scale habitat data and the spatial distribution and diversity of habitat types using benthic habitat maps; (3) use this information to establish the knowledge base necessary for enacting management decisions in a spatial setting; (4) establish the efficacy of those management decisions; and (5) develop data collection and data management protocols. The monitoring effort in northeastern St. Croix was conducted through partnerships with the National Park Service (NPS) and the Virgin Islands Department of Planning and Natural Resources (VI-DPNR). The geographical focal point of the research is Buck Island Reef National Monument (BIRNM), a protected area originally established in 1961 and greatly expanded in 2001; however, the work also encompassed a large portion of the recently created St. Croix East End Marine Park (EEMP). Project funding is primarily provided by NOAA CRCP, CCMA and NPS. In recent decades, scientific and non-scientific observations have indicated that the structure and function of the coral reef ecosystem around northeastern St. Croix have been adversely impacted by a wide range of environmental stressors. The major stressors have included the mass Diadema die off in the early 1980s, a series of hurricanes beginning with Hurricane Hugo in 1989, overfishing, mass mortality of Acropora corals due to disease and several coral bleaching events, with the most severe mass bleaching episode in 2005. The area is also an important recreational resource supporting boating, snorkeling, diving and other water based activities. With so many potential threats to the marine ecosystem and a dramatic change in management strategy in 2003 when the park’s Interim Regulations (Presidential Proclamation No. 7392) established BIRNM as one of the first fully protected marine areas in NPS system, it became critical to identify existing marine fauna and their spatial distributions and temporal dynamics. This provides ecologically meaningful data to assess ecosystem condition, support decision making in spatial planning (including the evaluation of efficacy of current management strategies) and determine future information needs. The ultimate goal of the work is to better understand the coral reef ecosystems and to provide information toward protecting and enhancing coral reef ecosystems for the benefit of the system itself and to sustain the many goods and services that it offers society. This Technical Memorandum contains analysis of the first six years of fish survey data (2001-2006) and associated characterization of the benthos (1999-2006). The primary objectives were to quantify changes in fish species and assemblage diversity, abundance, biomass and size structure and to provide spatially explicit information on the distribution of key species or groups of species and to compare community structure inside (protected) versus outside (fished) areas of BIRNM. (PDF contains 100 pages).

Invariant-free deduction systems for temporal logic

In this thesis we propose a new approach to deduction methods for temporal logic. Our proposal is based on an inductive definition of eventualities that is different from the usual one. On the basis of this non-customary inductive definition for eventualities, we first provide dual systems of tableaux and sequents for Propositional Linear-time Temporal Logic (PLTL). Then, we adapt the deductive approach introduced by means of these dual tableau and sequent systems to the resolution framework and we present a clausal temporal resolution method for PLTL. Finally, we make use of this new clausal temporal resolution method for establishing logical foundations for declarative temporal logic programming languages. The key element in the deduction systems for temporal logic is to deal with eventualities and hidden invariants that may prevent the fulfillment of eventualities. Different ways of addressing this issue can be found in the works on deduction systems for temporal logic. Traditional tableau systems for temporal logic generate an auxiliary graph in a first pass.Then, in a second pass, unsatisfiable nodes are pruned. In particular, the second pass must check whether the eventualities are fulfilled. The one-pass tableau calculus introduced by S. Schwendimann requires an additional handling of information in order to detect cyclic branches that contain unfulfilled eventualities. Regarding traditional sequent calculi for temporal logic, the issue of eventualities and hidden invariants is tackled by making use of a kind of inference rules (mainly, invariant-based rules or infinitary rules) that complicates their automation. A remarkable consequence of using either a two-pass approach based on auxiliary graphs or aone-pass approach that requires an additional handling of information in the tableau framework, and either invariant-based rules or infinitary rules in the sequent framework, is that temporal logic fails to carry out the classical correspondence between tableaux and sequents. In this thesis, we first provide a one-pass tableau method TTM that instead of a graph obtains a cyclic tree to decide whether a set of PLTL-formulas is satisfiable. In TTM tableaux are classical-like. For unsatisfiable sets of formulas, TTM produces tableaux whose leaves contain a formula and its negation. In the case of satisfiable sets of formulas, TTM builds tableaux where each fully expanded open branch characterizes a collection of models for the set of formulas in the root. The tableau method TTM is complete and yields a decision procedure for PLTL. This tableau method is directly associated to a one-sided sequent calculus called TTC. Since TTM is free from all the structural rules that hinder the mechanization of deduction, e.g. weakening and contraction, then the resulting sequent calculus TTC is also free from this kind of structural rules. In particular, TTC is free of any kind of cut, including invariant-based cut. From the deduction system TTC, we obtain a two-sided sequent calculus GTC that preserves all these good freeness properties and is finitary, sound and complete for PLTL. Therefore, we show that the classical correspondence between tableaux and sequent calculi can be extended to temporal logic. The most fruitful approach in the literature on resolution methods for temporal logic, which was started with the seminal paper of M. Fisher, deals with PLTL and requires to generate invariants for performing resolution on eventualities. In this thesis, we present a new approach to resolution for PLTL. The main novelty of our approach is that we do not generate invariants for performing resolution on eventualities. Our method is based on the dual methods of tableaux and sequents for PLTL mentioned above. Our resolution method involves translation into a clausal normal form that is a direct extension of classical CNF. We first show that any PLTL-formula can be transformed into this clausal normal form. Then, we present our temporal resolution method, called TRS-resolution, that extends classical propositional resolution. Finally, we prove that TRS-resolution is sound and complete. In fact, it finishes for any input formula deciding its satisfiability, hence it gives rise to a new decision procedure for PLTL. In the field of temporal logic programming, the declarative proposals that provide a completeness result do not allow eventualities, whereas the proposals that follow the imperative future approach either restrict the use of eventualities or deal with them by calculating an upper bound based on the small model property for PLTL. In the latter, when the length of a derivation reaches the upper bound, the derivation is given up and backtracking is used to try another possible derivation. In this thesis we present a declarative propositional temporal logic programming language, called TeDiLog, that is a combination of the temporal and disjunctive paradigms in Logic Programming. We establish the logical foundations of our proposal by formally defining operational and logical semantics for TeDiLog and by proving their equivalence. Since TeDiLog is, syntactically, a sublanguage of PLTL, the logical semantics of TeDiLog is supported by PLTL logical consequence. The operational semantics of TeDiLog is based on TRS-resolution. TeDiLog allows both eventualities and always-formulas to occur in clause heads and also in clause bodies. To the best of our knowledge, TeDiLog is the first declarative temporal logic programming language that achieves this high degree of expressiveness. Since the tableau method presented in this thesis is able to detect that the fulfillment of an eventuality is prevented by a hidden invariant without checking for it by means of an extra process, since our finitary sequent calculi do not include invariant-based rules and since our resolution method dispenses with invariant generation, we say that our deduction methods are invariant-free.

A temporal and spatial study of invertebrate communities associated with hard-bottom habitats in the South Atlantic Bight

Species composition, biomass, density, and diversity of benthic invertebrates from six bard-bottom areas were evaluated. Seasonal collections using a dredge, trawl, and suction and grab samplers yielded 432, 525, and 845 taxa, respectively. Based on collections wltb the different gear types, species composition of invertebrates was found to change bathymetrically. Inner- and mlddle-shelf sites were more similar to each other in terms of invertebrate species composition than they were to outer-shelf sites, regardless of season. Sites on the inner and outer shelf were grouped according to latitude; however, results suggest that depth is apparently a more important determinant of invertebrate species composition than either season or latitude. Sponges generally dominated dredge and trawl collections in terms of biomass. Generally, cnidarians, bryozoans, and sponges dominated at sites In terms of number of taxa collected. The most abundant smaller macrofauna collected in suction and grab samples were polychaetes, amphipods, and mollusks. Densities of the numerically dominant species changed botb seasonally and bathymetrically, with very few of these species restricted to a specific bathymetrlc zone. The high diversity of invertebrates from hard-bottom sites is attributed to the large number of rare species. No consistent seasonal changes in diversity or number of species were noted for individual stations or depth zones. In addition, H and its components showed no definite patterns related to depth or latitude. However, more species were collected at middle-shelf sites than at inner- or outer-shelf sites, which may be related to more stable bottom temperature or greater habitat complexity in that area. (PDF file contains 110 pages.)

Fisheries marketing systems and consumer preferences in Puttalam District Sri-Lanka

The aim of this study was to understand the current and historic market situation for inland fish and it’s substitutes in order to identify which of the various production opportunities presented by the seasonal tank resource might have greatest relevance for marginal communities in the Dry-zone. Regional and sub-regional market networks for fish and meat products were investigated, ranking and scoring exercises used to characterise consumer demand in rain-fed areas of North West Province and secondary data sources were used to assess historic patterns of demand and supply [PDF contains 57 pages]