A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate

Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless, several empirical studies seem to show that the performance of such models is not always appropriate [Boulier(1992)]. In this paper we propose a new specification: the Quadratic Moving Average Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators (Method of Moments and Maximum Likelihood) are studied. Two statistical tests are presented, the first one tests for homoskedasticity and the second one, discriminates between ARCH and QMACH specification. A Monte Carlo study is presented in order to illustrate some of the theoretical results. An empirical study is undertaken for the DM-US exchange rate.

A marxian model of the breakdown of capitalism

This paper sets out a Marxian model that is based on the one by Stephen Marglin with one sector and continuous substitution. It is extended by adding technical progress and land as a factor of production. It is then shown that capital accumulation causes the preconditions for the breakdown of capitalism to emerge; that is, it causes the organic composition of capital to rise, the rate of profit to fall and the rate of exploitation to rise. A compressed history of the idea of the breakdown of capitalism is then set out and an explanation is given as to how the model relates to this and how it may serve as the basis for further research.

A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom

This paper investigates underlying changes in the UK economy over the past thirtyfive years using a small open economy DSGE model. Using Bayesian analysis, we find UK monetary policy, nominal price rigidity and exogenous shocks, are all subject to regime shifting. A model incorporating these changes is used to estimate the realised monetary policy and derive the optimal monetary policy for the UK. This allows us to assess the effectiveness of the realised policy in terms of stabilising economic fluctuations, and, in turn, provide an indication of whether there is room for monetary authorities to further improve their policies.

Complex landslide behaviour and structural controlled by the structures: A 3D conceptual model example of Åknes rockslide, Norway

Åknes is an active complex large rockslide of approximately 30?40 Mm3 located within the Proterozoic gneisses of western Norway. The observed surface displacements indicate that this rockslide is divided into several blocks moving in different directions at velocities of between 3 and 10 cm year?1. Because of regional safety issues and economic interests this rockslide has been extensively monitored since 2004. The understanding of the deformation mechanism is crucial for the implementation of a viable monitoring system. Detailed field investigations and the analysis of a digital elevation model (DEM) indicate that the movements and the block geometry are controlled by the main schistosity (S1) in gneisses, folds, joints and regional faults. Such complex slope deformations use pre-existing structures, but also result in new failure surfaces and deformation zones, like preferential rupture in fold-hinge zones. Our interpretation provides a consistent conceptual three-dimensional (3D) model for the movements measured by various methods that is crucial for numerical stability modelling. In addition, this reinterpretation of the morphology confirms that in the past several rockslides occurred from the Åknes slope. They may be related to scars propagating along the vertical foliation in folds hinges. Finally, a model of the evolution of the Åknes slope is presented.

Blow-up, concentration phenomenon and global existence for the Keller-Segel model in high dimension

"Vegeu el resum a l'inici del document del fitxer adjunt."

Description of an in vivo model for the assessment of eosinophil chemoattractants in the mouse

Chemokines (chemoattractant cytokines) induce potent and selective chemotaxis of leukocyte subsets in vitro. Here, we review briefly the chemokines shown to induce eosinophil chemotaxis in vitro and describe a novel model for the study of the ability of chemokines to stimulate eosinophil migration in vivo. Eosinophils were purified from the blood of mice over-expressing the IL-5 gene and labelled with 111In. Only the C-C chemokines, eotaxin and MIP-1alpha, but not RANTES, MCP-1, MCP-3, MCP-4, MIP-1ß, KC and MIP-2, effectively induced the recruitment of 111In-eosinophils in mouse skin. We suggest that this mouse model will be useful in assessing the role of endogenously-generated chemokines in mediating eosinophil migration to sites of allergic inflammation in vivo.

A Grounded Theory Model of the Counselling Referral Process in Primary Care Methadone Treatment in Ireland.

In terms of the treatment of illicit drug abuse, methadone maintenance is a well researched and widely applied systematic response. The approach to primary care methadone treatment in Ireland is based on the methadone protocol. Primary care plays a central role in the delivery of methadone treatment. Beginning with a view that a system evolves within the constraints and influencing factors of its context, the aim of this thesis is to model the process that has developed by which patients on primary care methadone treatment are referred to counselling. It investigates the role primary care practitioners perceive they have in relation to managing the psychosocial aspects of the methadone patient's treatment regime. It analyzes individual medical practitioner counselling referral mechanisms to determine what common processes operate across different practitioners. It identifies the factors that influence the use of counselling on primary care methadone programmes and structures these in a cause/effect model. This research used interviews and documentary analysis to acquire grounded data. The sample consisted primarily of medical practitioners involved in the delivery of methadone programmes. Others closely involved in the implementation of drug treatment in the primary care context made up the balance of interviewees. The study used a grounded theory methodology to induce the process that was latent in the grounded data. Concepts emerging were grouped under the headings of referral factors, decision making factors and factors related to the unique positioning of primary care at the interface between medicine and society. The core finding was that, in primary care in Ireland, there is no psychological model to complement the pharmacological intervention of methadone substitution. The findings from this study offer insight into the factors at work and their impacts, in the context of the use of counselling in primary care methadone treatment. The study suggests a possible direction for further evolution of opiate abuse treatment in Ireland which would transform it from a harm reduction to a holistic patient centric paradigm.This resource was contributed by The National Documentation Centre on Drug Use.

A metapopulation model for the introgression from genetically modified plants into their wild relatives

Most models on introgression from genetically modified (GM) plants have focused on small spatial scales, modelling gene flow from a field containing GM plants into a single adjacent population of a wild relative. Here, we present a model to study the effect of introgression from multiple plantations into the whole metapopulation of the wild relative. The most important result of the model is that even very low levels of introgression and selection can lead to a high probability that the transgene goes to fixation in the metapopulation. Furthermore, the overall frequency of the transgene in the metapopulation, after a certain number of generations of introgression, depends on the population dynamics. If there is a high rate of migration or a high rate of population turnover, the overall transgene frequency is much higher than with lower rates. However, under an island model of population structure, this increased frequency has only a very small effect on the probability of fixation of the transgene. Considering these results, studies on the potential ecological risks of introgression from GM plants should look not only at the rate of introgression and selection acting on the transgene, but also at the metapopulation dynamics of the wild relative.

Ultramarathon is an outstanding model for the study of adaptive responses to extreme load and stress.

ABSTRACT: Ultramarathons comprise any sporting event involving running longer than the traditional marathon length of 42.195 km (26.2 miles). Studies on ultramarathon participants can investigate the acute consequences of ultra-endurance exercise on inflammation and cardiovascular or renal consequences, as well as endocrine/energetic aspects, and examine the tissue recovery process over several days of extreme physical load. In a study published in BMC Medicine, Schütz et al. followed 44 ultramarathon runners over 4,487 km from South Italy to North Cape, Norway (the Trans Europe Foot Race 2009) and recorded daily sets of data from magnetic resonance imaging, psychometric, body composition and biological measurements. The findings will allow us to better understand the timecourse of degeneration/regeneration of some lower leg tissues such as knee joint cartilage, to differentiate running-induced from age-induced pathologies (for example, retropatelar arthritis) and finally to assess the interindividual susceptibility to injuries. Moreover, it will also provide new information about the complex interplay between cerebral adaptations/alterations and hormonal influences resulting from endurance exercise and provide data on the dose-response relationship between exercise and brain structure/function. Overall, this study represents a unique attempt to investigate the limits of the adaptive response of human bodies.Please see related article: http://www.biomedcentral.com/1741-7015/10/78.

A double layer model of the gas bubble/water interface

Zeta potential is a physico-chemical parameter of particular importance to describe sorption of contaminants at the surface of gas bubbles. Nevertheless, the interpretation of electrophoretic mobilities of gas bubbles is complex. This is due to the specific behavior of the gas at interface and to the excess of electrical charge at interface, which is responsible for surface conductivity. We developed a surface complexation model based on the presence of negative surface sites because the balance of accepting and donating hydrogen bonds is broken at interface. By considering protons adsorbed on these sites followed by a diffuse layer, the electrical potential at the head-end of the diffuse layer is computed and considered to be equal to the zeta potential. The predicted zeta potential values are in very good agreement with the experimental data of H-2 bubbles for a broad range of pH and NaCl concentrations. This implies that the shear plane is located at the head-end of the diffuse layer, contradicting the assumption of the presence of a stagnant diffuse layer at the gas/water interface. Our model also successfully predicts the surface tension of air bubbles in a KCl solution. (c) 2012 Elsevier Inc. All rights reserved.