On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Stochastic uncoupled dynamics and Nash equilibrium

In this paper we consider dynamic processes, in repeated games, that are subject to the natural informational restriction of uncoupledness. We study the almost sure convergence to Nash equilibria, and present a number of possibility and impossibility results. Basically, we show that if in addition to random moves some recall is introduced, then successful search procedures that are uncoupled can be devised. In particular, to get almost sure convergence to pure Nash equilibria when these exist, it su±ces to recall the last two periods of play.

Constant coefficient tests for random coefficient regression

Random coefficient regression models have been applied in differentfields and they constitute a unifying setup for many statisticalproblems. The nonparametric study of this model started with Beranand Hall (1992) and it has become a fruitful framework. In thispaper we propose and study statistics for testing a basic hypothesisconcerning this model: the constancy of coefficients. The asymptoticbehavior of the statistics is investigated and bootstrapapproximations are used in order to determine the critical values ofthe test statistics. A simulation study illustrates the performanceof the proposals.

General preferences for consumption goods in the random matching model of commodity money

This paper generalizes the original random matching model of money byKiyotaki and Wright (1989) (KW) in two aspects: first, the economy ischaracterized by an arbitrary distribution of agents who specialize in producing aparticular consumption good; and second, these agents have preferences suchthat they want to consume any good with some probability. The resultsdepend crucially on the size of the fraction of producers of each goodand the probability with which different agents want to consume eachgood. KW and other related models are shown to be parameterizations ofthis more general one.

Unravelling the enigmatic origin of calcitic nanofibres in soils and caves: purely physicochemical or biogenic processes?

Calcitic nanofibres are ubiquitous habits of sec- ondary calcium carbonate (CaCO3 ) accumulations observed in calcareous vadose environments. Despite their widespread occurrence, the origin of these nanofeatures remains enig- matic. Three possible mechanisms fuel the debate: (i) purely physicochemical processes, (ii) mineralization of rod-shaped bacteria, and (iii) crystal precipitation on organic templates. Nanofibres can be either mineral (calcitic) or organic in na- ture. They are very often observed in association with needle fibre calcite (NFC), another typical secondary CaCO3 habit in terrestrial environments. This association has contributed to some confusion between both habits, however they are truly two distinct calcitic features and their recurrent asso- ciation is likely to be an important fact to help understanding the origin of nanofibres. In this paper the different hypotheses that currently exist to explain the origin of calcitic nanofibres are critically reviewed. In addition to this, a new hypothe- sis for the origin of nanofibres is proposed based on the fact that current knowledge attributes a fungal origin to NFC. As this feature and nanofibres are recurrently observed together, a possible fungal origin for nanofibres which are associated with NFC is investigated. Sequential enzymatic digestion of the fungal cell wall of selected fungal species demonstrates that the fungal cell wall can be a source of organic nanofibres. The obtained organic nanofibres show a striking morpho- logical resemblance when compared to their natural coun- terparts, emphasizing a fungal origin for part of the organic nanofibres observed in association with NFC. It is further hy- pothesized that these organic nanofibres may act as templates for calcite nucleation in a biologically influenced mineraliza- tion process, generating calcitic nanofibres. This highlights the possible involvement of fungi in CaCO3 biomineraliza- tion processes, a role still poorly documented. Moreover, on a global scale, the organomineralization of organic nanofi- bres into calcitic nanofibres might be an overlooked process deserving more attention to specify its impact on the biogeo- chemical cycles of both Ca and C.

Is confidence in decisions related to feedback? Evidence-and lack of evidence-from random samples of real-world managerial behavior?

Confidence in decision making is an important dimension of managerialbehavior. However, what is the relation between confidence, on the onehand, and the fact of receiving or expecting to receive feedback ondecisions taken, on the other hand? To explore this and related issuesin the context of everyday decision making, use was made of the ESM(Experience Sampling Method) to sample decisions taken by undergraduatesand business executives. For several days, participants received 4 or 5SMS messages daily (on their mobile telephones) at random moments at whichpoint they completed brief questionnaires about their current decisionmaking activities. Issues considered here include differences between thetypes of decisions faced by the two groups, their structure, feedback(received and expected), and confidence in decisions taken as well as inthe validity of feedback. No relation was found between confidence indecisions and whether participants received or expected to receivefeedback on those decisions. In addition, although participants areclearly aware that feedback can provide both confirming and disconfirming evidence, their ability to specify appropriatefeedback is imperfect. Finally, difficulties experienced inusing the ESM are discussed as are possibilities for further researchusing this methodology.

On the performance of small-area estimators: Fixed vs. random area parameters

Most methods for small-area estimation are based on composite estimators derived from design- or model-based methods. A composite estimator is a linear combination of a direct and an indirect estimator with weights that usually depend on unknown parameters which need to be estimated. Although model-based small-area estimators are usually based on random-effects models, the assumption of fixed effects is at face value more appropriate.Model-based estimators are justified by the assumption of random (interchangeable) area effects; in practice, however, areas are not interchangeable. In the present paper we empirically assess the quality of several small-area estimators in the setting in which the area effects are treated as fixed. We consider two settings: one that draws samples from a theoretical population, and another that draws samples from an empirical population of a labor force register maintained by the National Institute of Social Security (NISS) of Catalonia. We distinguish two types of composite estimators: a) those that use weights that involve area specific estimates of bias and variance; and, b) those that use weights that involve a common variance and a common squared bias estimate for all the areas. We assess their precision and discuss alternatives to optimizing composite estimation in applications.

On moments and tail behaviors of storage processes

We study the existence of moments and the tail behaviour of the densitiesof storage processes. We give sufficient conditions for existence andnon-existence of moments using the integrability conditions ofsubmultiplicative functions with respect to Lévy measures. Then, we studythe asymptotical behavior of the tails of these processes using the concaveor convex envelope of the release rate function.

Reconstruction of metal pollution and recent sedimentation processes in Havana Bay (Cuba): A tool for coastal ecosystem management.

Since 1998 the highly polluted Havana Bay ecosystem has been the subject of a mitigation program. In order to determine whether pollution-reduction strategies were effective, we have evaluated the historical trends of pollution recorded in sediments of the Bay. A sediment core was dated radiometrically using natural and artificial fallout radionuclides. An irregularity in the (210)Pb record was caused by an episode of accelerated sedimentation. This episode was dated to occur in 1982, a year coincident with the heaviest rains reported in Havana over the XX century. Peaks of mass accumulation rates (MAR) were associated with hurricanes and intensive rains. In the past 60 years, these maxima are related to strong El Niño periods, which are known to increase rainfall in the north Caribbean region. We observed a steady increase of pollution (mainly Pb, Zn, Sn, and Hg) since the beginning of the century to the mid 90s, with enrichment factors as high as 6. MAR and pollution decreased rapidly after the mid 90s, although some trace metal levels remain high. This reduction was due to the integrated coastal zone management program introduced in the late 90s, which dismissed catchment erosion and pollution.

A simple randomized algorithm for consistent sequential prediction of ergodic time series

We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from recent developments of the theory of the prediction of individual sequences. We show that if thesequence is a realization of a stationary and ergodic random process then the average number of mistakes converges, almost surely, to that of the optimum, given by the Bayes predictor.

Early attentional processes distinguish selective from global motor inhibitory control : An electrical neuroimaging study

The rapid stopping of specific parts of movements is frequently required in daily life. Yet, whether selective inhibitory control of movements is mediated by a specific neural pathway or by the combination between a global stopping of all ongoing motor activity followed by the re-initiation of task-relevant movements remains unclear. To address this question, we applied time-wise statistical analyses of the topography, global field power and electrical sources of the event-related potentials to the global vs selective inhibition stimuli presented during a Go/NoGo task. Participants (n = 18) had to respond as fast as possible with their two hands to Go stimuli and to withhold the response from the two hands (global inhibition condition, GNG) or from only one hand (selective inhibition condition, SNG) when specific NoGo stimuli were presented. Behaviorally, we replicated previous evidence for slower response times in the SNG than in the Go condition. Electrophysiologically, there were two distinct phases of event-related potentials modulations between the GNG and the SNG conditions. At 110âeuro"150 ms post-stimulus onset, there was a difference in the strength of the electric field without concomitant topographic modulation, indicating the differential engagement of statistically indistinguishable configurations of neural generators for selective and global inhibitory control. At 150âeuro"200 ms, there was topographic modulation, indicating the engagement of distinct brain networks. Source estimations localized these effects within bilateral temporo-parieto-occipital and within parieto-central networks, respectively. Our results suggest that while both types of motor inhibitory control depend on global stopping mechanisms, selective and global inhibition still differ quantitatively at early attention-related processing phases.

Minimum distance estimation of stationary and non-stationary ARFIMA processes

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator iseasy to compute and is consistent and asymptotically normally distributed for fractionallyintegrated (FI) processes with an integration order d strictly greater than -0.75. Therefore, it can be applied to both stationary and non-stationary processes. Deterministic components are also allowed in the DGP. Furthermore, as a by-product, the estimation procedure provides an immediate check on the adequacy of the specified model. This is so because the criterion function, when evaluated at the estimated values, coincides with the Box-Pierce goodness of fit statistic. Empirical applications and Monte-Carlo simulations supporting the analytical results and showing the good performance of the estimator in finite samples are also provided.