Testing for multicointegration in panel data with common factors

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis. The paper also deals with the issue of cross-section dependence using approximate common factor models. Finite sample performance is investigated through Monte Carlo simulations. Finally, we illustrate the use of the procedure investigating inventories, sales and production relationship for a panel of US industries.

Regression analysis of spatial data.

Many of the most interesting questions ecologists ask lead to analyses of spatial data. Yet, perhaps confused by the large number of statistical models and fitting methods available, many ecologists seem to believe this is best left to specialists. Here, we describe the issues that need consideration when analysing spatial data and illustrate these using simulation studies. Our comparative analysis involves using methods including generalized least squares, spatial filters, wavelet revised models, conditional autoregressive models and generalized additive mixed models to estimate regression coefficients from synthetic but realistic data sets, including some which violate standard regression assumptions. We assess the performance of each method using two measures and using statistical error rates for model selection. Methods that performed well included generalized least squares family of models and a Bayesian implementation of the conditional auto-regressive model. Ordinary least squares also performed adequately in the absence of model selection, but had poorly controlled Type I error rates and so did not show the improvements in performance under model selection when using the above methods. Removing large-scale spatial trends in the response led to poor performance. These are empirical results; hence extrapolation of these findings to other situations should be performed cautiously. Nevertheless, our simulation-based approach provides much stronger evidence for comparative analysis than assessments based on single or small numbers of data sets, and should be considered a necessary foundation for statements of this type in future.

Empirical study of correlated survival times for recurrent events with proportional hazards margins and the effect of correlation and censoring.

Background: In longitudinal studies where subjects experience recurrent incidents over a period of time, such as respiratory infections, fever or diarrhea, statistical methods are required to take into account the within-subject correlation. Methods: For repeated events data with censored failure, the independent increment (AG), marginal (WLW) and conditional (PWP) models are three multiple failure models that generalize Cox"s proportional hazard model. In this paper, we revise the efficiency, accuracy and robustness of all three models under simulated scenarios with varying degrees of within-subject correlation, censoring levels, maximum number of possible recurrences and sample size. We also study the methods performance on a real dataset from a cohort study with bronchial obstruction. Results: We find substantial differences between methods and there is not an optimal method. AG and PWP seem to be preferable to WLW for low correlation levels but the situation reverts for high correlations. Conclusions: All methods are stable in front of censoring, worsen with increasing recurrence levels and share a bias problem which, among other consequences, makes asymptotic normal confidence intervals not fully reliable, although they are well developed theoretically.

The Persistence of Finnish Equity Fund Performance

Tutkimuksen tavoitteena on selvittää, esiintyykö suomeen sijoittavilla osakerahastoilla menestyksen pysyvyyttä. Tutkimusaineisto koostuu kaikista suomalaisista osakerahastoista, jotka toimivat ajanjaksolla 15.1.1998-13.1.2005. Aineisto on vapaa selviytymisvinoumasta. Suorituskyvyn mittareina käytetään CAPM-alfaa sekä kolmi- ja nelifaktori-alfaa. Empiirisessä osassa osakerahastojen menestyksen pysyvyyttä testataan Spearmanin järjestyskorrelaatiotestillä. Evidenssi menestyksen pysyvyydestä jäi vähäiseksi, vaikkakin sitä esiintyi satunnaisesti kaikilla menestysmittareilla joillakin ranking- ja sijoitusperiodin yhdistelmillä. CAPM-alfalla tarkasteltuna tilastollisesti merkitsevää menestyksen pysyvyyttä esiintyi selvästi useammin kuin muilla menestysmittareilla. Tulokset tukevat viimeaikaisia kansainvälisiä tutkimuksia, joiden mukaan menestyksen pysyvyys riippuu usein mittaustavasta. Menestysmittareina käytettyjen regressiomallien merkitsevyystestit osoittavat multifaktorimallien selittävän osakerahastojen tuottoja CAPM:a paremmin. Lisätyt muuttujat parantavat merkittävästi CAPM:n selitysvoimaa.

Empirical study of correlated survival times for recurrent events with proportional hazards margins and the effect of correlation and censoring.

Background: In longitudinal studies where subjects experience recurrent incidents over a period of time, such as respiratory infections, fever or diarrhea, statistical methods are required to take into account the within-subject correlation. Methods: For repeated events data with censored failure, the independent increment (AG), marginal (WLW) and conditional (PWP) models are three multiple failure models that generalize Cox"s proportional hazard model. In this paper, we revise the efficiency, accuracy and robustness of all three models under simulated scenarios with varying degrees of within-subject correlation, censoring levels, maximum number of possible recurrences and sample size. We also study the methods performance on a real dataset from a cohort study with bronchial obstruction. Results: We find substantial differences between methods and there is not an optimal method. AG and PWP seem to be preferable to WLW for low correlation levels but the situation reverts for high correlations. Conclusions: All methods are stable in front of censoring, worsen with increasing recurrence levels and share a bias problem which, among other consequences, makes asymptotic normal confidence intervals not fully reliable, although they are well developed theoretically.

Essays on pricing of risk and international linkage of Russian stock market

Last two decades have seen a rapid change in the global economic and financial situation; the economic conditions in many small and large underdeveloped countries started to improve and they became recognized as emerging markets. This led to growth in the amounts of global investments in these countries, partly spurred by expectations of higher returns, favorable risk-return opportunities, and better diversification alternatives to global investors. This process, however, has not been without problems and it has emphasized the need for more information on these markets. In particular, the liberalization of financial markets around the world, globalization of trade and companies, recent formation of economic and regional blocks, and the rapid development of underdeveloped countries during the last two decades have brought a major challenge to the financial world and researchers alike. This doctoral dissertation studies one of the largest emerging markets, namely Russia. The motivation why the Russian equity market is worth investigating includes, among other factors, its sheer size, rapid and robust economic growth since the turn of the millennium, future prospect for international investors, and a number of important major financial reforms implemented since the early 1990s. Another interesting feature of the Russian economy, which gives motivation to study Russian market, is Russia’s 1998 financial crisis, considered as one of the worst crisis in recent times, affecting both developed and developing economies. Therefore, special attention has been paid to Russia’s 1998 financial crisis throughout this dissertation. This thesis covers the period from the birth of the modern Russian financial markets to the present day, Special attention is given to the international linkage and the 1998 financial crisis. This study first identifies the risks associated with Russian market and then deals with their pricing issues. Finally some insights about portfolio construction within Russian market are presented. The first research paper of this dissertation considers the linkage of the Russian equity market to the world equity market by examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner. Empirical results shows evidence of direct linkage between the Russian equity market and the world market both in regards of returns and volatility. However, the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market, even though the contagion can be clearly seen during the time of the crisis period. The second and the third paper, co-authored with Mika Vaihekoski, investigate whether global, local and currency risks are priced in the Russian stock market from a US investors’ point of view. Furthermore, the dynamics of these sources of risk are studied, i.e., whether the prices of the global and local risk factors are constant or time-varying over time. We utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). Similar to them we find price of global market risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency components. The purpose of the fourth paper is to look at the relationship between the stock and the bond market of Russia. The objective is to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. The Constant Conditional Correlation model by Bollerslev (1990), the Dynamic Conditional Correlation model by Engle (2002), and an asymmetric version of the Dynamic Conditional Correlation model by Cappiello et al. (2006) are used in the analysis. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market and both asset markets exhibit positive asymmetries. The implications of the results in this dissertation are useful for both companies and international investors who are interested in investing in Russia. Our results give useful insights to those involved in minimising or managing financial risk exposures, such as, portfolio managers, international investors, risk analysts and financial researchers. When portfolio managers aim to optimize the risk-return relationship, the results indicate that at least in the case of Russia, one should account for the local market as well as currency risk when calculating the key inputs for the optimization. In addition, the pricing of exchange rate risk implies that exchange rate exposure is partly non-diversifiable and investors are compensated for bearing the risk. Likewise, international transmission of stock market volatility can profoundly influence corporate capital budgeting decisions, investors’ investment decisions, and other business cycle variables. Finally, the weak integration of the Russian market and low correlations between Russian stock and bond market offers good opportunities to the international investors to diversify their portfolios.

Testing for a Unit Root in Panels with Dynamic Factors

This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. We propose unit root tests in this environment and derive their (Gaussian) asymptotic distribution under the null hypothesis of a unit root and local alternatives. We show that these tests have significant asymptotic power when the model has no incidental trends. However, when there are incidental trends in the model and it is necessary to remove heterogeneous deterministic components, we show that these tests have no power against the same local alternatives. Through Monte Carlo simulations, we provide evidence on the finite sample properties of these new tests.

Épidémiologie spatiale de la campylobactériose au Québec

La campylobactériose représente la principale cause de gastro-entérite bactérienne dans les pays industrialisés. L’épidémiologie de la maladie est complexe, impliquant plusieurs sources et voies de transmission. L’objectif principal de ce projet était d’étudier les facteurs environnementaux impliqués dans le risque de campylobactériose et les aspects méthodologiques pertinents à cette problématique à partir des cas humains déclarés au Québec (Canada) entre 1996 et 2006. Un schéma conceptuel des sources et voies de transmission de Campylobacter a d’abord été proposé suivant une synthèse des connaissances épidémiologiques tirées d’une revue de littérature extensive. Le risque d’une récurrence de campylobactériose a ensuite été décrit selon les caractéristiques des patients à partir de tables de survie et de modèles de régression logistique. Comparativement au risque de campylobactériose dans la population générale, le risque d’un épisode récurrent était plus élevé pour les quatre années suivant un épisode. Ce risque était similaire entre les genres, mais plus élevé pour les personnes de régions rurales et plus faible pour les enfants de moins de quatre ans. Ces résultats suggèrent une absence d’immunité durable ou de résilience clinique suivant un épisode déclaré et/ou une ré-exposition périodique. L’objectif suivant portait sur le choix de l’unité géographique dans les études écologiques. Neuf critères mesurables ont été proposés, couvrant la pertinence biologique, la communicabilité, l’accès aux données, la distribution des variables d’exposition, des cas et de la population, ainsi que la forme de l’unité. Ces critères ont été appliqués à des unités géographiques dérivées de cadre administratif, sanitaire ou naturel. La municipalité affichait la meilleure performance, étant donné les objectifs spécifiques considérés. Les associations entre l’incidence de campylobactériose et diverses variables (densité de volailles, densité de ruminants, abattoirs, température, précipitations, densité de population, pourcentage de diplomation) ont ensuite été comparées pour sept unités géographiques différentes en utilisant des modèles conditionnels autorégressifs. Le nombre de variables statistiquement significatives variait selon le degré d’agrégation, mais la direction des associations était constante. Les unités plus agrégées tendaient à démontrer des forces d’association plus élevées, mais plus variables, à l’exception de l’abattoir. Cette étude a souligné l’importance du choix de l’unité géographique d’analyse lors d’une utilisation d’un devis d’étude écologique. Finalement, les associations entre l’incidence de campylobactériose et des caractéristiques environnementales ont été décrites selon quatre groupes d’âge et deux périodes saisonnières d’après une étude écologique. Un modèle de Poisson multi-niveau a été utilisé pour la modélisation, avec la municipalité comme unité. Une densité de ruminant élevée était positivement associée avec l’incidence de campylobactériose, avec une force d’association diminuant selon l’âge. Une densité de volailles élevée et la présence d’un abattoir de volailles à fort volume d’abattage étaient également associées à une incidence plus élevée, mais seulement pour les personnes de 16 à 34 ans. Des associations ont également été détectées avec la densité de population et les précipitations. À l’exception de la densité de population, les associations étaient constantes entre les périodes saisonnières. Un contact étroit avec les animaux de ferme explique le plus vraisemblablement les associations trouvées. La spécificité d’âge et de saison devrait être considérée dans les études futures sur la campylobactériose et dans l’élaboration de mesures préventives.

Uso de modelos econométricos en aseguramiento de portafolios

El aseguramiento de portafolio trae consigo unos costos de transacción asociados que son reconocidos por la teoría financiera pero que no han sido objeto de estudio de muchas aproximaciones empíricas. Mediante modelos econométricos de series de tiempo se puede pronosticar el número de rebalanceos necesarios para mantener un portafolio asegurado, así como el tiempo que debe transcurrir entre cada uno de estos. Para tal fin se usan modelos de Datos de Cuenta de Poisson Autorregresivos (ACP) modificados para captar las características de la serie y modelos de Duración Autorregresivos (ACD). Los modelos capturan la autocorrelación de las series y pronostican adecuadamente el costo de transacción asociado a los rebalanceos.

Nova Talenta: 2014-2015

Contenido Introducción 1. Inteligencia emocional, liderazgo transformacional y género: factores que influencian el desempeño organizacional / Ana María Galindo Londoño, Sara Urrego Mayorga; Director: Juan Carlos Espinosa Méndez. 2. El rol de la mujer en el liderazgo / Andrea Patricia Cuestas Díaz; Directora: Francoise Venezia Contreras Torres. 3. Liderazgo transformacional, clima organizacional, satisfacción laboral y desempeño. Una revisión de la literatura / Juliana Restrepo Orozco, Ángela Marcela Ochoa Rodríguez; Directora: Françoise Venezia Contreras Torres. 4. “E-Leadership” una perspectiva al mundo de las compañías globalizadas / Ángela Beatriz Morales Morales, Mónica Natalia Aguilera Velandia; Director: Juan Carlos Espinosa. 5. Liderazgo y cultura. Una revisión / Daniel Alejandro Romero Galindo; Directora: Francoise Venezia Contreras Torres. 6. La investigación sobre la naturaleza del trabajo directivo: una revisión de la literatura / Julián Felipe Rodríguez Rivera, María Isabel Álvarez Rodríguez; Director: Juan Javier Saavedra Mayorga. 7. La mujer en la alta dirección en el contexto colombiano / Ana María Moreno, Juliana Moreno Jaramillo ; Directora: Françoise Venezia Contreras Torres. 8. Influencia de la personalidad en el discurso y liderazgo de George W. Bush después del 11 de septiembre de 2011 / Karen Eliana Mesa Torres; Director: Juan Carlos Espinosa. 9. La investigación sobre el campo del followership: una revisión de la literatura / Christian D. Báez Millán, Leidy J. Pinzón Porras; Director: Juan Javier Saavedra Mayorga. 10. El liderazgo desde la perspectiva del poder y la influencia. Una revisión de la literatura / Lina María García, Juan Sebastián Naranjo; Director: Juan Javier Saavedra Mayorga. 11. El trabajo directivo para líderes y gerentes: una visión integradora de los roles organizacionales / Lina Marcela Escobar Campos, Daniel Mora Barrero; Director: Rafael Piñeros. 12. Participación emocional en la toma de decisiones / Lina Rocío Poveda C., Gloria Johanna Rueda L.; Directora: Francoise Contreras T. 13. Estrés y su relación con el liderazgo / María Camila García Sierra, Diana Paola Rocha Cárdenas; Director: Juan Carlos Espinosa. 14. “Burnout y engagement” / María Paola Jaramillo Barrios, Natalia Rojas Mancipe; Director: Rafael Piñeros.

Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

Corporate social performance and stock returns: UK evidence from disaggregate measures

This study examines the relation between corporate social performance and stock returns in the UK. We closely evaluate the interactions between social and financial performance with a set of disaggregated social performance indicators for environment, employment, and community activities instead of using an aggregate measure. While scores on a composite social performance indicator are negatively related to stock returns, we find the poor financial reward offered by such firms is attributable to their good social performance on the environment and, to a lesser extent, the community aspects. Considerable abnormal returns are available from holding a portfolio of the socially least desirable stocks. These relationships between social and financial performance can be rationalized by multi-factor models for explaining the cross-sectional variation in returns, but not by industry effects.

Separating skill from luck in REIT mutual funds

This study uses a bootstrap methodology to explicitly distinguish between skill and luck for 80 Real Estate Investment Trust Mutual Funds in the period January 1995 to May 2008. The methodology successfully captures non-normality in the idiosyncratic risk of the funds. Using unconditional, beta conditional and alpha-beta conditional estimation models, the results indicate that all but one fund demonstrates poor skill. Tests of robustness show that this finding is largely invariant to REIT market conditions and maturity.

Forecasting by factors, by variables, by both or neither?

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal components and variables can be included jointly, while tackling multiple breaks by impulse-indicator saturation. A forecast-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases. Forecasting US GDP over 1-, 4- and 8-step horizons using the dataset from Stock and Watson (2009) updated to 2011:2 shows factor models are more useful for nowcasting or short-term forecasting, but their relative performance declines as the forecast horizon increases. Forecasts for GDP levels highlight the need for robust strategies, such as intercept corrections or differencing, when location shifts occur as in the recent financial crisis.

Detectando não-linearidades nos retornos dos fundos multimercados

Estudos recentes apontam que diversas estratégias implementadas em hedge funds geram retornos com características não lineares. Seguindo as sugestões encontradas no paper de Agarwal e Naik (2004), este trabalho mostra que uma série de hedge funds dentro da indústria de fundos de investimentos no Brasil apresenta retornos que se assemelham ao de uma estratégia em opções de compra e venda no índice de mercado Bovespa. Partindo de um modelo de fatores, introduzimos um índice referenciado no retorno sobre opções de modo que tal fator possa explicar melhor que os tradicionais fatores de risco a característica não linear dos retornos dos fundos de investimento.