Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Von Neumann-Morgenstern Stable Sets in Matching Problems

The following properties of the core of a one well-known: (i) the core is non-empty; (ii) the core is a lattice; and (iii) the set of unmatched agents is identical for any two matchings belonging to the core. The literature on two-sided matching focuses almost exclusively on the core and studies extensively its properties. Our main result is the following characterization of (von Neumann-Morgenstern) stable sets in one-to-one matching problem only if it is a maximal set satisfying the following properties : (a) the core is a subset of the set; (b) the set is a lattice; (c) the set of unmatched agents is identical for any two matchings belonging to the set. Furthermore, a set is a stable set if it is the unique maximal set satisfying properties (a), (b) and (c). We also show that our main result does not extend from one-to-one matching problems to many-to-one matching problems.

The Effects of the Length of the Period of Commitment on the Size of Stable International Environmental Agreements

This paper extends the standard model of self-enforcing dynamic international environmental agreements by allowing the length of the period of commitment of such agreements to vary as a parameter. It analyzes the pattern of behavior of the size of stable coalitions, the stock of pollutant and the emission rate as a function of the length of the period of commitment. It is shown that the length of the period of commitment can have very significant effects on the equilibrium. Three distinct intervals for the length of the period of commitment are identified, across which the equilibrium and its dynamic behavior differ considerably. Whereas for sufficiently high values of the period of commitment only self-enforcing agreements of two countries are possible, for sufficiently low such values full cooperation can be generated. Lengths of periods of commitment between those two thresholds are characterized by an inverse relationship between the length of commitment and the membership size of the agreement. This suggests that considerable attention should be given to the determination of the length of such international agreements.

Copper Doped Methylene Blue Sensitized Poly(vinyl alcohol)–Acrylamide Films for Stable Diffraction Efficiency

Copper doped methylene blue sensitized poly(vinyl alcohol) (MBPVA)–acrylamide films were fabricated to improve the storage life of recorded gratings. The films were fabricated using gravity settling method and the copper chloride concentration was optimized as 3:18 10 3 mol/l for a dye concentration of 6:2 10 4 mol/l. The gratings recorded on the optimized film constitution could be stored for months with stable diffraction efficiency (24%) without any chemical or thermal fixing techniques. The resolution of the material is found to be unaffected with the addition of copper chloride.

Copper Doped Methylene Blue Sensitized Poly(vinyl alcohol)–Acrylamide Films for Stable Diffraction Efficiency

Copper doped methylene blue sensitized poly(vinyl alcohol) (MBPVA)–acrylamide films were fabricated to improve the storage life of recorded gratings. The films were fabricated using gravity settling method and the copper chloride concentration was optimized as 3:18 10 3 mol/l for a dye concentration of 6:2 10 4 mol/l. The gratings recorded on the optimized film constitution could be stored for months with stable diffraction efficiency (24%) without any chemical or thermal fixing techniques. The resolution of the material is found to be unaffected with the addition of copper chloride.

Copper Doped Methylene Blue Sensitized Poly(vinyl alcohol)–Acrylamide Filmsfor Stable Diffraction Efficiency

Copper doped methylene blue sensitized poly(vinyl alcohol) (MBPVA)–acrylamide films were fabricated to improve the storage life of recorded gratings. The films were fabricated using gravity settling method and the copper chloride concentration was optimized as 3:18 10 3 mol/l for a dye concentration of 6:2 10 4 mol/l. The gratings recorded on the optimized film constitution could be stored for months with stable diffraction efficiency (24%) without any chemical or thermal fixing techniques. The resolution of the material is found to be unaffected with the addition of copper chloride.

Temperature Stable Low Loss Ceramic Dielectrics in (1-x)ZnAI2O4-xTiO2 System for Microwave Substrate Applications

The microwave dielectric properties of ZnAl2O4 spinels were investigated and their properties were tailored by adding different mole fractions of Ti02. The samples were synthesized using the mixed oxide rout.e. The phase purity and crystal structure were identified using X-ray diffraction technique. The sintered specimens were characterized in the microwave frequency range (3-13 GHz). The ZnA12O4 ceramics exhibited interesting dielectric properties (dielectric constant (e,.) = 8.5, unloaded quality factor (Q.) = 4590 at 12.27 GHz and temperature coefficient of resonant frequency (Tf) = -79 ppm/°C). Addition of Ti02 into the spinel improved its properties and the Tf approached zero for 0.83ZnAl2O4- 0.17TiO2• This temperature compensated composition has excellent microwave dielectric properties (Cr _ 12.67, Q, = 9950 at 10.075 GHz) which can be exploited for microwave substrate applications

Statistical signal extraction using stable processes

The standard models for statistical signal extraction assume that the signal and noise are generated by linear Gaussian processes. The optimum filter weights for those models are derived using the method of minimum mean square error. In the present work we study the properties of signal extraction models under the assumption that signal/noise are generated by symmetric stable processes. The optimum filter is obtained by the method of minimum dispersion. The performance of the new filter is compared with their Gaussian counterparts by simulation.

A compositional approach to stable isotope data analysis

Isotopic data are currently becoming an important source of information regarding sources, evolution and mixing processes of water in hydrogeologic systems. However, it is not clear how to treat with statistics the geochemical data and the isotopic data together. We propose to introduce the isotopic information as new parts, and apply compositional data analysis with the resulting increased composition. Results are equivalent to downscale the classical isotopic delta variables, because they are already relative (as needed in the compositional framework) and isotopic variations are almost always very small. This methodology is illustrated and tested with the study of the Llobregat River Basin (Barcelona, NE Spain), where it is shown that, though very small, isotopic variations comp lement geochemical principal components, and help in the better identification of pollution sources

Differences in added stable gain between manufacturers, audiometric configurations, earmold styles, and frequency bands

Added stable gain (ASG) was measured to assess the differences in feedback reduction algorithms across six manufacturers, two earmold styles, ten audiograms, and three frequency bands.

Stable Isotope Analysis Reveals That Agricultural Habitat Provides an Important Dietary Component for Nonbreeding Dunlin

Although shorebirds spending the winter in temperate areas frequently use estuarine and supratidal (upland) feeding habitats, the relative contribution of each habitat to individual diets has not been directly quantified. We quantified the proportional use that Calidris alpina pacifica (Dunlin) made of estuarine vs. terrestrial farmland resources on the Fraser River Delta, British Columbia, using stable isotope analysis (δ13C, δ15N) of blood from 268 Dunlin over four winters, 1997 through 2000. We tested for individual, age, sex, morphological, seasonal, and weather-related differences in dietary sources. Based on single- (δ13C) and dual-isotope mixing models, the agricultural habitat contributed approximately 38% of Dunlin diet averaged over four winters, with the balance from intertidal flats. However, there was a wide variation among individuals in the extent of agricultural feeding, ranging from about 1% to 95% of diet. Younger birds had a significantly higher terrestrial contribution to diet (43%) than did adults (35%). We estimated that 6% of adults and 13% of juveniles were obtaining at least 75% of their diet from terrestrial sources. The isotope data provided no evidence for sex or overall body size effects on the proportion of diet that is terrestrial in origin. The use of agricultural habitat by Dunlin peaked in early January. Adult Dunlin obtained a greater proportion of their diet terrestrially during periods of lower temperatures and high precipitation, whereas no such relationship existed for juveniles. Seasonal variation in the use of agricultural habitat suggests that it is used more during energetically stressful periods. The terrestrial farmland zone appears to be consistently important as a habitat for juveniles, but for adults it may provide an alternative feeding site used as a buffer against starvation during periods of extreme weather. Loss or reduction of agricultural habitat adjacent to estuaries may negatively impact shorebird fitness, with juveniles disproportionately affected.

Linking Canadian Harvested Juvenile American Black Ducks to Their Natal Areas Using Stable Isotope (δD, δ13C, and δ15N) Methods

Understanding source-sink dynamics of game birds is essential to harvest and habitat management but acquiring this information is often logistically and financially challenging using traditional methods of population surveys and banding studies. This is especially true for species such as the American Black Duck (Anas rubripes), which have low breeding densities and extensive breeding ranges that necessitate extensive surveys and banding programs across eastern North America. Despite this effort, the contribution of birds fledged from various landscapes and habitat types within specific breeding ranges to regional harvest is largely unknown but remains an important consideration in adaptive harvest management and targeted habitat conservation strategies. We investigated if stable isotope (δD, δ13C, δ15N) could augment our present understanding of connectivity between breeding and harvest areas and so provide information relevant to the two main management strategies for black ducks, harvest and habitat management. We obtained specimens from 200 hatch-year Black Duck wings submitted to the Canadian Wildlife Service Species Composition Survey. Samples were obtained from birds harvested in Western, Central, and Eastern breeding/harvest subregions to provide a sample representative of the range and harvest rate of birds harvested in Canada. We sampled only hatch-year birds to provide an unambiguous and direct link between production and harvest areas. Marine origins were assigned to 12%, 7%, and 5% of birds harvested in the Eastern, Central, and Western subregions, respectively. In contrast, 32%, 9%, and 5% of birds were assigned, respectively, to agricultural origins. All remaining birds were assigned to nonagricultural origins. We portrayed probability of origin using a combination of Bayesian statistical and GIS methods. Placement of most eastern birds was western Nova Scotia, eastern New Brunswick, Prince Edward Island, and southern Newfoundland. Agricultural birds from the Central region were consistent with the Saguenay region of Québec and the eastern claybelt with nonagricultural birds originating in the boreal. Western nonagricultural birds were associated with broad boreal origins from southern James Bay to Lake of the Woods and east to Cochrane, Ontario. Our work shows that the geographic origins, landscape, and habitat associations of hatch-year Black Ducks can be inferred using this technique and we recommend that a broad-scale isotopic study using a large sample of Canadian and US harvested birds be implemented to provide a continental perspective of source-sink population dynamics.

Establishing Winter Origins of Migrating Lesser Snow Geese Using Stable Isotopes

Increases in Snow Goose (Chen caerulescens) populations and large-scale habitat changes in North America have contributed to the concentration of migratory waterfowl on fewer wetlands, reducing resource availability, and enhancing risks of disease transmission. Predicting wintering locations of migratory individuals is critical to guide wildlife population management and habitat restoration. We used stable carbon (δ13C), nitrogen (δ15N), and hydrogen (δ2H) isotope ratios in muscle tissue of wintering Snow Geese to discriminate four major wintering areas, the Playa Lake Region, Texas Gulf Coast, Louisiana Gulf Coast, and Arkansas, and infer the wintering locations of individuals collected later during the 2007 and 2008 spring migrations in the Rainwater Basin (RWB) of Nebraska. We predicted the wintering ground derivation of migrating Snow Geese using a likelihood-based approach. Our three-isotope analysis provided an efficient discrimination of the four wintering areas. The assignment model predicted that 53% [95% CI: 37-69] of our sample of Snow Geese from the RWB in 2007 had most likely originated in Louisiana, 38% [23-54] had wintered on Texas Gulf Coast, and 9% [0-20] in Arkansas; the assessment suggested that 89% [73-100] of our 2008 sample had most likely come from Texas Gulf Coast, 9% [0-27] from Louisiana Gulf Coast, and 2% [0-9] from Arkansas. Further segregation of wintering grounds and additional sampling of spring migrating Snow Geese would refine overall assignment and help explain interannual variations in migratory connectivity. The ability to distinguish origins of northbound geese can support the development of spatially-adaptive management strategies for the midcontinent Snow Goose population. Establishing migratory connectivity using isotope assignment techniques can be extended to other waterfowl species to determine critical habitat, evaluate population energy requirements, and inform waterfowl conservation and management strategies.