Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

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.

Subjective income expectations, canonical models and income risk

Expectations are central to behaviour. Despite the existence of subjective expectations data, the standard approach is to ignore these, to hypothecate a model of behaviour and to infer expectations from realisations. In the context of income models, we reveal the informational gain obtained from using both a canonical model and subjective expectations data. We propose a test for this informational gain, and illustrate our approach with an application to the problem of measuring income risk.

La transmissió dels models bizantins d’Itàlia a Hispània

Estudi realitzat a partir d’una estada a Roma entre el 7 de gener i el 28 de febrer de 2006. S’ estudia la influència de les produccions bizantines i orientals a la península Ibèrica, a l’època visigoda i més enllà, fins i tot justificant una cronologia dels segles VIII-X dC per a molts dels capitells tradicionalment denominats mossàrabs del nord-oest peninsular. A més, s’enuncia una via per la investigació de les possibles influències llombardes a la península Ibèrica. També es comenten les relacions entre els capitells del nord-est peninsular i els de la Gàl.lia.

Els models d'organització metropolitana: el cas de Montreal

Estudi realitzat a partir d’una estada a l’Institut National de Recherche Scientifique, de Montreal, entre l’1 de setembre i el 30 de desembre de 2005. S’analitza el model d’organització de l’àrea metropolitana de Montreal (Canadà) després de la reforma realitzada entre 2000 i 2002, així com les causes que van conduïr a adoptar-lo.

Evaluating active labor markets in Romania

We evaluate the presence of effects from joining one of four active labour market programs in Romania in the late 1990s compared to the no-program state. Using rich follow-up survey data and propensity score matching, we find that three programs (training and retraining, self-employment assistance, and employment and relocation services) had success in improving participants' economic outcomes and were cost-beneficial from society's perspective. In contrast, public employment was found detrimental for the employment prospects of its participants.

Estudi comparatiu dels models d’organització de les últimes sis seus olímpiques

Transcripció de la intervenció del Sr. Gabriel Colomé en el Curs Universitari sobre Olimpisme que va organitzar el Centre d'Estudis Olí­mpics (CEO-UAB) el febrer de 1992. L'autor amb aquest text es proposa dos objectius principals: d'una banda, analitzar la influència de l'entorn sociopolí­tic sobre l'estructura organitzativa del Comitè Organitzador dels Jocs; de l'altra, veure com afecta el tipus de finançament en l'estructura i la infrastructura dels mateixos Jocs, i quines diferències hi ha entre els Jocs de 1972 i els següents fins a arribar a Barcelona.

Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

A rapid method for testing in vivo the susceptibility of different strains of Trypanosoma cruzi to active chemotherapeutic agents

A method is described which permits to determine in vivo an in a short period of time (4-6 hours) the sensitivity of T. cruzo strains to known active chemotherapeutic agents. By using resistant- and sensitive T. cruzi stains a fairly good correlation was observed between the results obtained with this rapid method (which detects activity against the circulating blood forms) and those obtained with long-term schedules which involve drug adminstration for at least 20 consecutive days and a prolonged period of assessment. This method may be used to characterize susceptibility to active drugs used clinically, provide infomation on the specific action against circulating trypomastigotes and screen active compounds. Differences in the natural susceptibility of Trypanosoma cruzi strains to active drugs have been already reported using different criteria, mostly demanding long-term study of the animal (Hauschka, 1949; Bock, Gonnert & Haberkorn, 1969; Brener, Costa & Chiari, 1976; Andrade & Figueira, 1977; Schlemper, 1982). In this paper we report a method which detects in 4-6 hours the effect of drugs on bloodstream forms in mice with established T. cruzi infections. The results obtained with this method show a fairly good correlation with those obtained by prolonged treatment schedules used to assess the action of drugs in experimental Chagas' disease and may be used to study the sensitivity of T. cruzi strains to active drugs.

Estimation of dynamic latent variable models using simulated nonparametric moments

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. Since 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. Monte Carlo results show that the estimator performs well in comparison to other estimators that have been proposed for estimation of general DLV models.

Generalized factor models: a bayesian approach

There is recent interest in the generalization of classical factor models in which the idiosyncratic factors are assumed to be orthogonal and there are identification restrictions on cross-sectional and time dimensions. In this study, we describe and implement a Bayesian approach to generalized factor models. A flexible framework is developed to determine the variations attributed to common and idiosyncratic factors. We also propose a unique methodology to select the (generalized) factor model that best fits a given set of data. Applying the proposed methodology to the simulated data and the foreign exchange rate data, we provide a comparative analysis between the classical and generalized factor models. We find that when there is a shift from classical to generalized, there are significant changes in the estimates of the structures of the covariance and correlation matrices while there are less dramatic changes in the estimates of the factor loadings and the variation attributed to common factors.

Active cutaneous leishmaniasis in Brazil, induced by Leishmania donovani chagasi

L.d. chagasi was isolated from active cutaneous leishmaniasis in both human and canine infections in an endemic area in Rio de Janeiro, Brazil. Both isolates were identified by molecular and immunological characterization of the parasite using three different methods: electrophoretic mobility of isoenzymes; restriction endonuclease fragment analysis of kDNA and serodeme analysis using monoclonal antibodies. This seems to be the first well documented case in the New World of a "viscerotropic" Leishmania inducing a case of cutaneous leishmaniasis. This observation emphasizes that the diagnosis of the etiologic agent of human or canine visceral leishmaniasis based solely upon clinical and epidemiological critwria may lead to erroneous conclusions.

Species distribution models reveal apparent competitive and facilitative effects of a dominant species on the distribution of tundra plants

Abiotic factors are considered strong drivers of species distribution and assemblages. Yet these spatial patterns are also influenced by biotic interactions. Accounting for competitors or facilitators may improve both the fit and the predictive power of species distribution models (SDMs). We investigated the influence of a dominant species, Empetrum nigrum ssp. hermaphroditum, on the distribution of 34 subordinate species in the tundra of northern Norway. We related SDM parameters of those subordinate species to their functional traits and their co-occurrence patterns with E. hermaphroditum across three spatial scales. By combining both approaches, we sought to understand whether these species may be limited by competitive interactions and/or benefit from habitat conditions created by the dominant species. The model fit and predictive power increased for most species when the frequency of occurrence of E. hermaphroditum was included in the SDMs as a predictor. The largest increase was found for species that 1) co-occur most of the time with E. hermaphroditum, both at large (i.e. 750 m) and small spatial scale (i.e. 2 m) or co-occur with E. hermaphroditum at large scale but not at small scale and 2) have particularly low or high leaf dry matter content (LDMC). Species that do not co-occur with E. hermaphroditum at the smallest scale are generally palatable herbaceous species with low LDMC, thus showing a weak ability to tolerate resource depletion that is directly or indirectly induced by E. hermaphroditum. Species with high LDMC, showing a better aptitude to face resource depletion and grazing, are often found in the proximity of E. hermaphroditum. Our results are consistent with previous findings that both competition and facilitation structure plant distribution and assemblages in the Arctic tundra. The functional and co-occurrence approaches used were complementary and provided a deeper understanding of the observed patterns by refinement of the pool of potential direct and indirect ecological effects of E. hermaphroditum on the distribution of subordinate species. Our correlative study would benefit being complemented by experimental approaches.

The fourth extracellular loop of the alpha subunit of Na,K-ATPase. Functional evidence for close proximity with the second extracellular loop.

Na,K-ATPase is the main active transport system that maintains the large gradients of Na(+) and K(+) across the plasma membrane of animal cells. The crystal structure of a K(+)-occluding conformation of this protein has been recently published, but the movements of its different domains allowing for the cation pumping mechanism are not yet known. The structure of many more conformations is known for the related calcium ATPase SERCA, but the reliability of homology modeling is poor for several domains with low sequence identity, in particular the extracellular loops. To better define the structure of the large fourth extracellular loop between the seventh and eighth transmembrane segments of the alpha subunit, we have studied the formation of a disulfide bond between pairs of cysteine residues introduced by site-directed mutagenesis in the second and the fourth extracellular loop. We found a specific pair of cysteine positions (Y308C and D884C) for which extracellular treatment with an oxidizing agent inhibited the Na,K pump function, which could be rapidly restored by a reducing agent. The formation of the disulfide bond occurred preferentially under the E2-P conformation of Na,K-ATPase, in the absence of extracellular cations. Using recently published crystal structure and a distance constraint reproducing the existence of disulfide bond, we performed an extensive conformational space search using simulated annealing and showed that the Tyr(308) and Asp(884) residues can be in close proximity, and simultaneously, the SYGQ motif of the fourth extracellular loop, known to interact with the extracellular domain of the beta subunit, can be exposed to the exterior of the protein and can easily interact with the beta subunit.