Forecasting Inflation Using Dynamic Model Averaging

We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coe¢ cient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.

Alliance evolutions over the course of short-term dynamic psychotherapy: A case study

Background: Alliance evolutions, i.e. ruptures and resolutions over the course of psychotherapy, have been shown to be important descriptive features in different forms of psychotherapy, and in particular in psychodynamic psychotherapy. This case study of a client presenting elements of adjustment disorder undergoing short-term dynamic psychotherapy is drawn from a systematic naturalistic study and aims at illustrating, on a session-by-session-level, the processes of alliance ruptures and resolutions, by comparing both the client's and the therapist's perspectives. Method: Two episodes of alliance evolution were more fully studied, in relation to the evolution of transference, as well as the client's defensive functioning and core conflictual theme. These concepts were measured by means of valid, reliable observer-rater methods, based on session transcripts: the Defense Mechanisms Rating Scales (DMRS) for defensive functioning and the Core Conflictual Relationship Theme (CCRT) for the conflicts. Alliance was measured after each session using the Helping Alliance questionnaire (HAq-II). Results: The results indicated that these episodes of alliance rupture and resolutions may be understood as key moments of the whole therapeutic process reflecting the client's main relationship stakes. Illustrations are provided based on the client's in-session processes and related to the alliance development over the course of the entire therapy.

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Dynamic Relational Contracts under Complete Information

This paper considers a long-term relationship between two agents who both undertake a costly action or investment that together produces a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. Two cases are considered: (i) where agents are risk neutral and are subject to limited liability constraints and (ii) where agents are risk averse, have quasi-linear preferences in consumption and actions but where limited liability constraints do not bind. The question asked is how to structure the investments and division of the surplus over time so as to avoid expropriation. In the risk-neutral case, there may be an initial phase in which one agent overinvests and the other underinvests. However, both actions and surplus converge monotonically to a stationary state in which there is no overinvestment and surplus is at its maximum subject to the constraints. In the risk-averse case, there is no overinvestment. For this case, we establish that dynamics may or may not be monotonic depending on whether or not it is possible to sustain a first-best allocation. If the first-best allocation is not sustainable, then there is a trade-off between risk sharing and surplus maximization. In general, surplus will not be at its constrained maximum even in the long run.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Agents mòbils en situacions d'emergència: gestió dinàmica de serveis

Aquest projecte consisteix en el disseny i desenvolupament d'una arquitectura de serveis sota el paradigma dels agents inteligents. El propòsit d'ADASMI (Architecture for Dynamic Agent Service Management and Interaction) és permetre la gestió i utilització de serveis per altres agents. L'arquitectura s'ha implementat utilitzant la plataforma d'agents de JADE i es pot utilitzar amb qualsevol altra plataforma que compleixi els estàndards d'IEEE FIPA. A més, és prou flexible com per adaptar-se en entorns dinàmics, com per exemple les xarxes ad-hoc en situacions d'emergència.

Creació d'un media center amb software lliure

Treball de recerca realitzat per un alumne d'ensenyament secundari i guardonat amb un Premi CIRIT per fomentar l'esperit científic del Jovent l'any 2009. L’objectiu d’aquest treball de recerca és la creació d’un dispositiu encarregat de centralitzar totes les necessitats multimèdia de casa nostra i distribuir aquest contingut a tots els terminals de la xarxa local d’una manera senzilla i automatitzada. Aquest dispositiu s’ha dissenyat per estar connectat a una televisió d’alta definició, que permetrà la reproducció i l’organització de tot el nostre multimèdia d’una manera còmoda i fàcil. El media center s’encarrega de gestionar la nostra filmoteca, fototeca, biblioteca musical i sèries de TV de manera transparent i automàtica. A més a més, l’usuari pot accedir a tot el multimèdia emmagatzemat al media center des de qualsevol dispositiu de la xarxa local a través de protocols com CIFS o UPnP, en un intent de replicar el cloud computing a escala local. El dispositiu ha estat dissenyat per a suportar tot tipus de formats i subtítols, assegurant la compatibilitat total amb arxius lliures de DRM. El seu disseny minimalista i silenciós el fa perfecte per a substituir el reproductor de DVD de la sala. Tot això sense oblidar el seu baix consum, de l’ordre d’un 75% inferior al d’un PC convencional.

Experimentació amb un receptor software GPS-Galileo d'alta sensibilitat per a entorns interiors

Este proyecto se centra en el análisis de señales GPS, utilizando un receptor software desarrollado con Matlab en un proyecto de investigación para la Agencia Espacial Europea (ESA), llevado a cabo por parte del departamento de Telecomunicaciones e Ingeniería de Sistemas de la ETSE. Este software utiliza técnicas de procesado de señal de alta sensibilidad (HS-GNSS) que permite al usuario determinar su posición en entornos de difícil propagación como puede ser el caso de los escenarios interiores. Los datos experimentales se analizan en función del nivel de multipath que afecta a la señal de cada uno de los satélites, y la degradación que los escenarios interiores provocan en las señales, a causa del mobiliario, paredes, personas, etc. Para analizar los datos experimentales, se ha utilizado una métrica presentada en el congreso internacional EuCAP 2009, con la que es posible caracterizar las señales en función del nivel de multipath.

Análisis de prestaciones de sistemas de comunicaciones inalámbricas en aplicaciones de robótica: sistema software

Una característica importante de la robótica es la comunicación entre sistema base y robot que puede establecerse de forma remota. Ello representa la base del proyecto que se describe a continuación, el cual se descompone de dos partes, una por cada miembro del proyecto: sistema software y sistema hardware. En el sistema software analizaremos las diferentes tecnologías inalámbricas (características, funcionamiento, seguridad, etc.), se realizará una comparativa de los diferentes módulos de comunicación y finalmente decidiremos aquellos que nos interesa para la implementación en Radiofrecuencia (RF) y Bluetooth. En este sistema también estudiaremos la interfaz gráfica que se utilizará, así como los programas creados en este entorno para realizar las implementaciones. En el sistema hardware trataremos de realizar el control de dos periféricos de forma independiente, un servomotor y un sonar, que nos servirán como ejemplo para analizar una posible comunicación entre varios robots y un PC. Por lo tanto, en este apartado analizaremos a fondo los diferentes componentes que harán posible tanto la comunicación, vía RF y Bluetooth, como el control de los diferentes dispositivos.

MSight: an image analysis software for liquid chromatography-mass spectrometry.

Images obtained from high-throughput mass spectrometry (MS) contain information that remains hidden when looking at a single spectrum at a time. Image processing of liquid chromatography-MS datasets can be extremely useful for quality control, experimental monitoring and knowledge extraction. The importance of imaging in differential analysis of proteomic experiments has already been established through two-dimensional gels and can now be foreseen with MS images. We present MSight, a new software designed to construct and manipulate MS images, as well as to facilitate their analysis and comparison.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.