Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

Tienda online y gestor de stock

El objetivo de este proyecto es desarrollar una aplicación web que sirva y gestione una tienda de música, tanto para su tienda física como para su tienda online. La aplicación Web está gestionada por los usuarios "administrador" y utilizada por los dos tipos de usuarios: administradores y clientes. Sus principales funciones son: Introducción y modificación de artículos. Gestión de entradas y salidas de productos. Gestión de pedidos. Obtención de datos para la gestión de la empresa. Minimizar los errores de gestión. Mejorar la imagen de la empresa. Ampliar los ámbitos de negocio. Correcta visualización de los artículos. Facilitar la búsqueda y compra de artículos.

Candida dubliniensis identification in Brazilian yeast stock collection

We investigated the presence of Candida dubliniensis among isolates previously identified as Candida albicans and maintained in a yeast stock collection from 1994 to 2000. All isolates were serotyped and further evaluated for antifungal susceptibility profile. After doing a screening test for C. dubliniensis isolates based on the capability of colonies to grow at 42°C, its final identification was obtained by randomly amplified polymorphic DNA (RAPD) analysis using three different primers. A total of 46 out of 548 screened isolates did not exhibit growth at 42°C and were further genotyped by RAPD. Eleven isolates were identified as C. dubliniensis with RAPD analysis. Regarding serotypes, 81.5% of C. albicans and all C. dubliniensis isolates belonged to serotype A. Of note, 9 out of 11 C. dubliniensis isolates were obtained from patients with acquired immunodeficiency syndrome (Aids) and all of them were susceptible to azoles and amphotericin B. We found 17 (3%) C. albicans isolates that were dose-dependent susceptibility or resistant to azoles. In conclusion, we found a low rate of C. dubliniensis isolates among stock cultures of yeasts previously identified as C. albicans. Most of these isolates were recovered from oral samples of Aids patients and exhibited high susceptibility to amphotericin B and azoles. C. albicans serotype A susceptible to all antifungal drugs is the major phenotype found in our stock culture.

Experimental kinetics of infection induced by Yersinia pseudotuberculosis isolated from stock animals

The course of in vivo infection of five isolates of Yersinia pseudotuberculosis was followed for three weeks in Swiss mice. The strains were isolated from diarrheic and normal feces and mesenteric lymph nodes of healthy and sick stock animals. Four strains of serogroup O:3 and one of serogroup O:1a, with and without the virulence plasmid, were inoculated intragastrically and intravenously in the mice. Groups of five animals were sacrificed at 6 h and 3, 6, 10, 15, and 21 days after inoculation, and organs and tissues were checked for possible macroscopic alterations. Development of infection was monitored at these times by performing viable bacterial counts in homogenates of selected tissues. The animals were cheked daily for clinical alterations. The results of the study showed that strains with the virulence plasmid infected organs and tissues at various times and at varying intensity by both routes of infection, the strain of type O:1a being the most invasive. Moreover, clinical and pathological alterations occurred only in animals inoculated with bacteria carrying the virulence plasmid, regardless of the route of infection.

A compositional statistical analysis of capital stock

Most of economic literature has presented its analysis under the assumption of homogeneous capital stock.However, capital composition differs across countries. What has been the pattern of capital compositionassociated with World economies? We make an exploratory statistical analysis based on compositional datatransformed by Aitchinson logratio transformations and we use tools for visualizing and measuring statisticalestimators of association among the components. The goal is to detect distinctive patterns in the composition.As initial findings could be cited that:1. Sectorial components behaved in a correlated way, building industries on one side and , in a lessclear view, equipment industries on the other.2. Full sample estimation shows a negative correlation between durable goods component andother buildings component and between transportation and building industries components.3. Countries with zeros in some components are mainly low income countries at the bottom of theincome category and behaved in a extreme way distorting main results observed in the fullsample.4. After removing these extreme cases, conclusions seem not very sensitive to the presence ofanother isolated cases

U.S. subprime financial crisis contagion on BRIC and European Union stock markets

ABSTRACTThe Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and MXUS (United States). This article evaluated the adequacy of the main copulas found in the financial literature using log-likelihood, Akaike information and Bayesian information criteria. This article provides a groundbreaking study in the area of contagion due to the use of conditional copulas, allowing to calculate the correlation increase between indexes with non-parametric approach. The conditional Symmetrized Joe-Clayton copula was the one that fitted better to the considered pairs of returns. Results indicate evidence of contagion effect in both markets, European Union and BRIC members, with a 5% significance level. Furthermore, there is also evidence that the contagion of U.S. financial crisis was more pronounced in the European Union than in the BRIC markets, with a 5% significance level. Therefore, stock portfolios formed by equities from the BRIC countries were able to offer greater protection during the subprime crisis. The results are aligned with recent papers that present an increase in correlation between stock markets, especially in bear markets.

Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations

We consider stock market contagion as a significant increase in cross-market linkages after a shock to one country or group of countries. Under this definition we study if contagion occurred from the U.S. Financial Crisis to the rest of the major stock markets in the world by using the adjusted (unconditional) correlation coefficient approach (Forbes and Rigobon, 2002) which consists of testing if average crossmarket correlations increase significantly during the relevant period of turmoil. We would not reject the null hypothesis of interdependence in favour of contagion if the increase in correlation only suggests a continuation of high linkages in all state of the world. Moreover, if contagion occurs, this would justify the intervention of the IMF and the suddenly portfolio restructuring during the period under study.

Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001

Using a new dataset on capital account openness, we investigate why equity return correlations changed over the last century. Based on a new, long-run dataset on capital account regulations in a group of 16 countries over the period 1890-2001, we show that correlations increase as financial markets are liberalized. These findings are robust to controlling for both the Forbes-Rigobon bias and global averages in equity return correlations. We test the robustness of our conclusions, and show that greater synchronization of fundamentals is not the main cause of increasing correlations. These results imply that the home bias puzzle may be smaller than traditionally claimed.

A comparison of stock market mechanisms

This paper studies the relationship between the amount of publicinformation that stock market prices incorporate and the equilibriumbehavior of market participants. The analysis is framed in a static, NREEsetup where traders exchange vectors of assets accessing multidimensionalinformation under two alternative market structures. In the first(the unrestricted system), both informed and uninformed speculators cancondition their demands for each traded asset on all equilibrium prices;in the second (the restricted system), they are restricted to conditiontheir demand on the price of the asset they want to trade. I show thatinformed traders incentives to exploit multidimensional privateinformation depend on the number of prices they can condition upon whensubmitting their demand schedules, and on the specific price formationprocess one considers. Building on this insight, I then give conditionsunder which the restricted system is more efficient than the unrestrictedsystem.

With a bang, not a whimper: Pricking Germany's "stock market bubble" in 1927 and the slide into depression

In May 1927, the German central bank intervenedindirectly to reduce lending to equity investors.The crash that followed ended the only stockmarket boom during Germany s relative stabilization 1924-28. This paper examines thefactors that lead to the intervention as well asits consequences. We argue that genuine concernabout the exuberant level of the stock market,in addition to worries about an inflow offoreign funds, tipped the scales in favour ofintervention. The evidence strongly suggeststhat the German central bank under HjalmarSchacht was wrong to be concerned aboutstockprices-there was no bubble. Also, theReichsbank was mistaken in its belief thata fall in the market would reduce theimportance of short-term foreign borrowing,and help to ease conditions in the money market.The misguided intervention had important realeffects. Investment suffered, helping to tipGermany into depression.

Gestão de stock e sua importância nas pequenas e médias empresas comerciais de São Vicente

Os elevados custos associados à sua manutenção e o alto capital inactivo nele aplicado, têm levado as empresas a procurar estratégias com vista a cada vez mais reduzirem seus stocks. Alguns autores consideram mesmo que o objectivo que se pretende atingir com a gestão de stocks, é, sempre que possível atingir o stock zero. Porém, no mundo real, a taxa de consumo dos produtos não é totalmente previsível, e o lead time de reabastecimento pode variar, ocasionando atrasos na entrega. Assim, para se proteger destes efeitos inesperados, as empresas dimensionam stocks de segurança, em função de uma probabilidade aceitável de falta de produto em stock. Com isso, compreende-se facilmente a importância da gestão de stocks numa empresa. É neste âmbito então que se desenvolveu este trabalho de investigação, intitulado “Gestão de Stock e sua Importância nas Pequenas e Médias Empresas Comerciais de São Vicente” objetivando, de forma geral, analisar a importância da gestão de stock para a melhoria do desempenho e competitividade das pequenas e médias empresas comerciais de São Vicente, e para o caso particular, da empresa Mário Duarte Lopes & Filhos Lda. O estudo de caso foi o instrumento metodológico central utilizado. Este estudo de caso foi conduzido por uma entrevista e pela aplicação de um questionário a uma amostra de 150 clientes da empresa estudada (pessoas físicas), e foi apoiado por uma pesquisa bibliográfica e documental. Os resultados alcançados permitiram concluir que a gestão de stock desempenha um papel fundamental na definição dos níveis ótimos de stock a manter pela empresa, de forma a equilibrar os objetivos da redução dos custos logísticos e o nível de serviço desejado ao cliente; daí ser extremamente importante as empresas desenvolverem estratégias e ações no sentido da melhoraria da eficiência e eficácia dos seus processos e procedimentos, mormente nas empresas Cabo-verdianas, particularmente na empresa objeto de estudo, em que, dados os riscos acrescidos de rutura de stock, são muitas vezes forçados a manter stock em níveis altos.

Efectos de la pesca en el stock de anchoveta

Constituye la primera apreciación que se hace de los efectos de la pesca sobre el stock de la anchoveta; usando series de datos suficientemente completos como para la evaluación a la que se llega sea firme y bien documentada y sirva como base general para una política reguladora por parte del Estado.

Stock returns, term structure, inflation and real activity: An international perspective

This paper analyses the empirical interdependences among assetreturns, real activity and inflation from a multicountry and internationalpoint of view. We find that nominal stock returns are significantly relatedto inflation only in the US, that the US term structure of interest ratespredicts both domestic and foreign inflation rates while foreign termstructures do not have this predictive power and that innovations in inflationand exchange rates induce insignificant responses of real and financialvariables. An interpretation of the dynamics and some policy implicationsof the results are provided.

Improved estimation of the covariance matrix of stock returns with an application to portofolio selection

This paper proposes to estimate the covariance matrix of stock returnsby an optimally weighted average of two existing estimators: the samplecovariance matrix and single-index covariance matrix. This method isgenerally known as shrinkage, and it is standard in decision theory andin empirical Bayesian statistics. Our shrinkage estimator can be seenas a way to account for extra-market covariance without having to specifyan arbitrary multi-factor structure. For NYSE and AMEX stock returns from1972 to 1995, it can be used to select portfolios with significantly lowerout-of-sample variance than a set of existing estimators, includingmulti-factor models.