When mothers work and fathers care. Joint household fertility decisions in Denmark and Spain

We analyze second birth decisions within the theoretical framework of joint household decision making, comparing two countires that represent the international extremes in terms of women's career behaviour, Denmark and Spain. Using all 8 ECHP panels we apply discrete time estimations of the likelihood of a second birth and show that in Spain, fertility behaviour continues to conform to the classic "Becker model" while in Denmark we identify a radically new behavioral pattern according to which career-women's fertility is conditional of their partners' contribution to care for the children.

Randomized observation periods for the compound Poisson risk model: Dividends

In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.

On circuit functionality in boolean networks.

It has been proved, for several classes of continuous and discrete dynamical systems, that the presence of a positive (resp. negative) circuit in the interaction graph of a system is a necessary condition for the presence of multiple stable states (resp. a cyclic attractor). A positive (resp. negative) circuit is said to be functional when it "generates" several stable states (resp. a cyclic attractor). However, there are no definite mathematical frameworks translating the underlying meaning of "generates." Focusing on Boolean networks, we recall and propose some definitions concerning the notion of functionality along with associated mathematical results.

Do expectations matter? The Great Moderation revisited

We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and bond markets. Expectations explain the dynamics of inflation and of interest rates but their importance is roughly unchanged over time. Systems with and without expectations display similar reduced form characteristics. Including or excluding expectations hardly changes the economic explanation of the Great Moderation. Results are robust to changes in the structure of the empirical model.

Insurance with frequent trading

This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature ofthe implied securities needed for Pareto optimality suggests that insuch contexts complete markets is a very reasonable assumption.

Improved multiexponential transient spectroscopy by iterative deconvolution

The analysis of multiexponential decays is challenging because of their complex nature. When analyzing these signals, not only the parameters, but also the orders of the models, have to be estimated. We present an improved spectroscopic technique specially suited for this purpose. The proposed algorithm combines an iterative linear filter with an iterative deconvolution method. A thorough analysis of the noise effect is presented. The performance is tested with synthetic and experimental data.

Can we identify Walrasian allocations?

[eng] We consider a discrete time, pure exchange infinite horizon economy with two or more consumers and at least one concumption good per period. Within the framework of decentralized mechanisms, we show that for a given consumption trade at any period of time, say at time one, the consumers will need, in general, an infinite dimensional (informational) space to identigy such a trade as an intemporal Walrasian one. However, we show and characterize a set of enviroments where the Walrasian trades at each period of time can be achieved as the equilibrium trades of a sequence of decentralized competitive mechanisms, using only both current prices and quantities to coordinate decisions.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Can we identify Walrasian allocations?

[eng] We consider a discrete time, pure exchange infinite horizon economy with two or more consumers and at least one concumption good per period. Within the framework of decentralized mechanisms, we show that for a given consumption trade at any period of time, say at time one, the consumers will need, in general, an infinite dimensional (informational) space to identigy such a trade as an intemporal Walrasian one. However, we show and characterize a set of enviroments where the Walrasian trades at each period of time can be achieved as the equilibrium trades of a sequence of decentralized competitive mechanisms, using only both current prices and quantities to coordinate decisions.

Hierarchical modeling gave plausible estimates of associations between metabolic syndrome and components of antiretroviral therapy.

OBJECTIVE: Hierarchical modeling has been proposed as a solution to the multiple exposure problem. We estimate associations between metabolic syndrome and different components of antiretroviral therapy using both conventional and hierarchical models. STUDY DESIGN AND SETTING: We use discrete time survival analysis to estimate the association between metabolic syndrome and cumulative exposure to 16 antiretrovirals from four drug classes. We fit a hierarchical model where the drug class provides a prior model of the association between metabolic syndrome and exposure to each antiretroviral. RESULTS: One thousand two hundred and eighteen patients were followed for a median of 27 months, with 242 cases of metabolic syndrome (20%) at a rate of 7.5 cases per 100 patient years. Metabolic syndrome was more likely to develop in patients exposed to stavudine, but was less likely to develop in those exposed to atazanavir. The estimate for exposure to atazanavir increased from hazard ratio of 0.06 per 6 months' use in the conventional model to 0.37 in the hierarchical model (or from 0.57 to 0.81 when using spline-based covariate adjustment). CONCLUSION: These results are consistent with trials that show the disadvantage of stavudine and advantage of atazanavir relative to other drugs in their respective classes. The hierarchical model gave more plausible results than the equivalent conventional model.

Conditional maximum likelihood timing recovery: estimators and bounds

This paper is concerned with the derivation of new estimators and performance bounds for the problem of timing estimation of (linearly) digitally modulated signals. The conditional maximum likelihood (CML) method is adopted, in contrast to the classical low-SNR unconditional ML (UML) formulationthat is systematically applied in the literature for the derivationof non-data-aided (NDA) timing-error-detectors (TEDs). A new CML TED is derived and proved to be self-noise free, in contrast to the conventional low-SNR-UML TED. In addition, the paper provides a derivation of the conditional Cramér–Rao Bound (CRB ), which is higher (less optimistic) than the modified CRB (MCRB)[which is only reached by decision-directed (DD) methods]. It is shown that the CRB is a lower bound on the asymptotic statisticalaccuracy of the set of consistent estimators that are quadratic with respect to the received signal. Although the obtained boundis not general, it applies to most NDA synchronizers proposed in the literature. A closed-form expression of the conditional CRBis obtained, and numerical results confirm that the CML TED attains the new bound for moderate to high Eg/No.

Wigner higher-order spectra: definition, properties, computation and application to transient signal analysis

The Wigner higher order moment spectra (WHOS)are defined as extensions of the Wigner-Ville distribution (WD)to higher order moment spectra domains. A general class oftime-frequency higher order moment spectra is also defined interms of arbitrary higher order moments of the signal as generalizations of the Cohen’s general class of time-frequency representations. The properties of the general class of time-frequency higher order moment spectra can be related to theproperties of WHOS which are, in fact, extensions of the properties of the WD. Discrete time and frequency Wigner higherorder moment spectra (DTF-WHOS) distributions are introduced for signal processing applications and are shown to beimplemented with two FFT-based algorithms. One applicationis presented where the Wigner bispectrum (WB), which is aWHOS in the third-order moment domain, is utilized for thedetection of transient signals embedded in noise. The WB iscompared with the WD in terms of simulation examples andanalysis of real sonar data. It is shown that better detectionschemes can be derived, in low signal-to-noise ratio, when theWB is applied.

Virtuaalitodellisuuslaboratorion laiteympäristön kehittäminen - ohjaimet ja ohjelmistot

Tämä diplomityö on tehty osana HumanICT-projektia, jonka tavoitteena on kehittää uusi, virtuaalitekniikoita hyödyntävä, työkoneiden käyttäjäliityntöjen suunnittelumenetelmä. Työn tarkoituksena oli kehittää VTT:n Tuotteet ja tuotanto tutkimusyksikköön kuluvan Ihminen-kone-turvallisuus ryhmän nykyistä virtuaalitodellisuuslaboratoriota siten, että sitä voidaan käyttää työkoneiden suunnittelussa sekä monipuolisissa ergonomiatarkasteluissa. Itse ympäristön kehittäminen pitää sisällään uuden ohjainjärjestelmän suunnittelun sekä sen implementoinnin nykyisin käytössä olevaan virtuaaliympäristöön. Perinteisesti ohjaamosimulaattorit ovat olleet sovelluskohteisiin räätälöityjä, joten ne ovat kalliita ja niiden konfiguroinnin muuttaminen on vaikeaa, joskus jopa mahdotonta. Tämän työntarkoituksena oli kehittää PC-tietokoneeseen ja yleiseen käyttöjärjestelmään perustuva ohjainjärjestelmä, joka on nopeasti kytkettävissä erilaisiin virtuaaliympäristön sovelluksiin, kuten ohjaamomalleihin. Työssä tarkasteltiin myös tapoja mallintaa fysikaalisia ilmiöitä reaaliaikasovelluksissa, eli on-line simuloinnissa. Tämän tarkastelun perusteella etsittiin ja valittiin jatkokäsittelyyn ohjelmistoja, joiden reaaliaikaisen dynamiikan simulointialgoritmitolivat kaikkein kehittyneimpiä ja monipuolisia.

Ennakoivan Bluetooth -verkon hyödyntäminen paikkatietoon pohjautuvan opastusjärjestelmän toteutuksessa

Tekniikan kehitys ja elämänrytmin kiihtyminen ajaa eteenpäin sekä tarvetta että mahdollisuuksia toteuttaahenkilökohtaisia opastusjärjestelmiä. Lyhyen kantaman langattomat kommunikaatioteknologiat mahdollistavat erilaisten paikkasidonnaisten palveluiden, kuten opastusjärjestelmien toteuttamisen kohtuullisilla kustannuksilla. Markkinoilla olevista järjestelmistä sisätiloihin sijoittuvaan reaaliaikaiseen opastukseen soveltuvaa järjestelmää on vaikea löytää ja useimmat niistä hyödyntävät WLAN -tekniikkaa, joka ei ole kovin laajasti tuettuna matkapuhelimen kaltaisissa kannettavissa päätelaitteissa. Tässä työssä tuodaan esille Bluetooth -tekniikalla toteutettavien reaaliaikaisten järjestelmien ongelmia ja esitellään yksi ratkaisumalli. Toimintaa vaikeuttaa lähinnä pitkä yhteyden muodostumisaika, joka koostuu verkon laitteiden hakemiseen kuluvasta pitkästä vaikeasti kestoltaan arvioitavasta ajasta ja valittuun kohteeseen yhteyden muodostamiseen kuluneesta ajasta. Toteutetussa Bluetooth -opastusjärjestelmässä opastettavien laitteiden hakeminen liityntäpistettä vaihdettaessa on voitu jättää pois, koska yhteyden muodostamiseen vaaditut tiedot välitetään liityntäpisteille kiinteän Ethernet -verkon välityksellä. Työntuloksena syntyneen opastusjärjestelmän käyttökokemukset osoittavat opastusverkon suunnittelun olevan haastava tehtävä, mutta verkon toimintakuntoon saattamisen jälkeen järjestelmän suorituskykyyn saadaan huomattava parannus. Demonstraatiototeutus rajoittaa käytettävän laitteiston Linux-pohjaisiin järjestelmiin, vaikka laajemman käyttöönoton varmistamiseksi järjestelmä tulisi tehdä siirrettäväksiesimerkiksi Symbian -alustalle.

Ruin problems under IBNR Dynamics

In this paper, we consider a discrete-time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg-type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non-delayed risk model, and numerical simulations are carried out with Belgian market data.