Measuring intergenerational earnings mobility in Spain: a selection-bias-free approach

This paper analyses intergenerational earnings mobility in Spain correcting for different selection biases. We address the co-residence selection problem by combining information from two samples and using the two-sample two-stage least square estimator. We find a small decrease in elasticity when we move to younger cohorts. Furthermore, we find a higher correlation in the case of daughters than in the case of sons; however, when we consider the employment selection in the case of daughters, by adopting a Heckman-type correction method, the diference between sons and daughters disappears. By decomposing the sources of earnings elasticity across generations, we find that the correlation between child's and father's occupation is the most important component. Finally, quantile regressions estimates show that the influence of the father's earnings is greater when we move to the lower tail of the offspring's earnings distribution, especially in the case of daughters' earnings.

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.

Contrast-enhanced ultrasound after devascularisation of neuroendocrine liver metastases: functional and morphological evaluation.

OBJECTIVE: To evaluate morphological and perfusion changes in liver metastases of neuroendocrine tumours by contrast-enhanced ultrasound (CEUS) after transarterial embolisation with bead block (TAE) or trans-arterial chemoembolisation with doxorubicin-eluting beads (DEB-TACE). METHODS: In this retrospective study, seven patients underwent TAE, and ten underwent DEB-TACE using beads of the same size. At 1 day before embolisation, 2 days, 1 month and 3 months after the procedure, a destruction-replenishment study using CEUS was performed with a microbubble-enhancing contrast material on a reference tumour. Relative blood flow (rBF) and relative blood volume (rBV) were obtained from the ratio of values obtained in the tumour and in adjacent liver parenchyma. Morphological parameters such as the tumour's major diameter and the viable tumour's major diameter were also measured. A parameter combining functional and morphological data, the tumour vitality index (TVI), was studied. The Wilcoxon rank-sum test and Fisher's test were used to compare treatment groups. RESULTS: At 3 months rBF, rBV and TVI were significantly lower (P = 0.005, P = 0.04 and P = 0.03) for the group with doxorubicin. No difference in morphological parameters was found throughout the follow-up. CONCLUSIONS: One parameter, TVI, could evaluate the morphological and functional response to treatments.