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

Smooth transition or permanent exit? Evidence on job prospects of displaced industrial workers

This article examines the job prospects of displaced industrial workers in Switzerland. Based on a survey of 1,203 workers who were dismissed after their manufacturing plants closed down, we analyse the determinants of re-employment, the sector of re-employment and the change in wages. Two years after displacement, a majority of workers were back in employment: 69% were re-employed, 17% un-employed and 11% retired. Amongst re-employed workers, two thirds found a job in manufacturing and one third in services. Contrary to a common belief, low-end services are not the collecting vessel of redundant industrial workers. Displaced workers aged 55 and older seem particularly vulnerable after a plant closes down: over 30% were long-term unemployed, and those older workers who found a new job suffered disproportionate wage losses. Advanced age-and not low education-appears as the primary handicap after mass redundancy.

Testing linear cointegration against smooth-transition cointegration

This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system. It nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointegration studied by Balke and Fomby (1997). We develop F-type tests to examine linear cointegration against ST cointegration in ST-type cointegrating regression models with or without time trends. The null asymptotic distributions of the tests are derived with stationary transition variables in ST cointegrating regression models. And it is shown that our tests have nonstandard limiting distributions expressed in terms of standard Brownian motion when regressors are pure random walks, while have standard asymptotic distributions when regressors contain random walks with nonzero drift. Finite-sample distributions of those tests are studied by Monto Carlo simulations. The small-sample performance of the tests states that our F-type tests have a better power when the system contains ST cointegration than when the system is linearly cointegrated. An empirical example for the purchasing power parity (PPP) data (monthly US dollar, Italy lira and dollar-lira exchange rate from 1973:01 to 1989:10) is illustrated by applying the testing procedures in this paper. It is found that there is no linear cointegration in the system, but there exits the ST-type cointegration in the PPP data.

Tree-structured smooth transition models

The goal of this paper is to introduce a class of tree-structured models that combines aspects of regression trees and smooth transition regression models. The model is called the Smooth Transition Regression Tree (STR-Tree). The main idea relies on specifying a multiple-regime parametric model through a tree-growing procedure with smooth transitions among different regimes. Decisions about splits are entirely based on a sequence of Lagrange Multiplier (LM) tests of hypotheses.

A smooth transition protocol for patients with multifocal motor neuropathy going from intravenous to subcutaneous immunoglobulin therapy: an open-label proof-of-concept study

Intravenous immunoglobulin (IVIG) is the first-line therapy for multifocal motor neuropathy (MMN). This open-label multi-centre study (NCT00701662) assessed the efficacy, safety, and convenience of subcutaneous immunoglobulin (SCIG) in patients with MMN over 6 months, as an alternative to IVIG. Eight MMN patients (42-66 years), on stable IVIG dosing, received weekly SCIG at doses equivalent to previous IVIG using a "smooth transition protocol". Primary efficacy endpoint was the change from baseline to week 24 in muscle strength. Disability, motor function, and health-related quality of life (HRQL) endpoints were also assessed. One patient deteriorated despite dose increase and was withdrawn. Muscle strength, disability, motor function, and health status were unchanged in all seven study completers who rated home treatment as extremely good. Four experienced 18 adverse events, of which only two were moderate. This study suggests that MMN patients with stable clinical course on regular IVIG can be switched to SCIG at the same monthly dose without deterioration and with a sustained overall improvement in HRQL.

Exports and Capacity Constraints: A smooth transition regression model for six euro-area countries. CEPS Working Document No. 395/May 2014

The significant gains in export market shares made in a number of vulnerable euro-area crisis countries have not been accompanied by an appropriate improvement in price competitiveness. This paper argues that, under certain conditions, firms consider export activity as a substitute for serving domestic demand. The strength of the link between domestic demand and exports is dependent on capacity constraints. Our econometric model for six euro-area countries suggests domestic demand pressure and capacity-constraint restrictions as additional variables of a properly specified export equation. As an innovation to the literature, we assess the empirical significance through the logistic and the exponential variant of the non-linear smooth transition regression model. We find that domestic demand developments are relevant for the short-run dynamics of exports in particular during more extreme stages of the business cycle. A strong substitutive relationship between domestic and foreign sales can most clearly be found for Spain, Portugal and Italy, providing evidence of the importance of sunk costs and hysteresis in international trade.

Equity market integration in the Asia-Pacific region:a smooth transition analysis

We use a smooth transition logistic function to test for equity market integration in a sample of Asia-Pacific countries. This allows us to gauge the speed at which a market is becoming integrated. Of the countries we examine we find that Thailand has the fastest pace of global integration. When we examine the extent to which local integration is taking place, we find that Singapore is experiencing the fastest rise in market integration. © 2004 Published by Elsevier Inc.

Modeling equity market integration using smooth transition analysis:a study of Eastern European stock markets

This paper assesses the extent to which the equity markets of Hungary, Poland the Czech Republic and Russia have become less segmented. Using a variety of tests it is shown there has been a consistent increase in the co-movement of some Eastern European markets and developed markets. Using the variance decompositions from a vector autoregressive representation of returns it is shown that for Poland and Hungary global factors are having an increasing influence on equity returns, suggestive of increased equity market integration. In this paper we model a system of bivariate equity market correlations as a smooth transition logistic trend model in order to establish how rapidly the countries of Eastern Europe are moving away from market segmentation. We find that Hungary is the country which is becoming integrated the most quickly. © 2005 ELsevier Ltd. All rights reserved.

Illiquidity shocks and the comovement between stocks:new evidence using smooth transition

This paper extends the smooth transition conditional correlation model by studying for the first time the impact that illiquidity shocks have on stock market return comovement. We show that firms that experience shocks that increase illiquidity are less liquid than firms that experience shocks that decrease illiquidity. Shocks that increase illiquidity have no statistical impact on comovement. However, shocks that reduce illiquidity lead to a fall in comovement, a pattern that becomes stronger as the illiquidity of the firm increases. This discovery is consistent with increased transparency and an improvement in price efficiency. We find that a small number of firms experience a double illiquidity shock. For these firms, at the first shock, a rise in illiquidity reduces comovement while a fall in illiquidity raises comovement. The second shock partly reverses these changes as a rise in illiquidity is associated with a rise in comovement and a fall in illiquidity is associated with a fall in comovement. These results have important implications for portfolio construction and also for the measurement and evolution of market beta and the cost of capital as it suggests that investors can achieve higher returns for the same amount of market risk because of the greater diversification benefits that exist. We also find that illiquidity, friction, firm size and the pre-shock correlation are all associated with the magnitude of the correlation change. © 2013 Elsevier B.V.

La transition des soins pédiatriques aux soins adultes des adolescents souffrant d'affections chroniques. [The transition from pediatric to adult care of chronically ill adolescents]

Bien que la transition des soins pédiatriques aux soins adultes soit extrêmement importante pour les adolescents souffrant de maladies chroniques, celle-ci se limite le plus souvent à un simple transfert. L'objectif de cet article est de décrire les barrières au bon déroulement de la transition du point de vue du patient et de sa famille, des professionnels de la santé et du système de soins; de détailler les éléments clés pour que la transition soit la moins traumatique possible; et d'énoncer les différentes approches proposées dans la littérature. [Abstract] The transition from pediatric to adult care of chronically ill adolescents Even though the transition from pediatric to adult health care is extremely important for chronically ill adolescents, most of the times it is limited to a simple transfer The objective of this paper is to describe the barriers to a smooth transition from the point of view of the patient and his/her family, the health professionals and the health system, to review the key elements for a smooth transition, and to address the different approaches proposed in the literature.

Controlo difuso de um AGV

Neste trabalho pretende-se introduzir os conceitos associados à lógica difusa no controlo de sistemas, neste caso na área da robótica autónoma, onde é feito um enquadramento da utilização de controladores difusos na mesma. Foi desenvolvido de raiz um AGV (Autonomous Guided Vehicle) de modo a se implementar o controlador difuso, e testar o desempenho do mesmo. Uma vez que se pretende de futuro realizar melhorias e/ou evoluções optou-se por um sistema modular em que cada módulo é responsável por uma determinada tarefa. Neste trabalho existem três módulos que são responsáveis pelo controlo de velocidade, pela aquisição dos dados dos sensores e, por último, pelo controlador difuso do sistema. Após a implementação do controlador difuso, procedeu-se a testes para validar o sistema onde foram recolhidos e registados os dados provenientes dos sensores durante o funcionamento normal do robô. Este dados permitiram uma melhor análise do desempenho do robô. Verifica-se que a lógica difusa permite obter uma maior suavidade na transição de decisões, e que com o aumento do número de regras é possível tornar o sistema ainda mais suave. Deste modo, verifica-se que a lógica difusa é uma ferramenta útil e funcional para o controlo de aplicações. Como desvantagem surge a quantidade de dados associados à implementação, tais como, os universos de discurso, as funções de pertença e as regras. Ao se aumentar o número de regras de controlo do sistema existe também um aumento das funções de pertença consideradas para cada variável linguística; este facto leva a um aumento da memória necessária e da complexidade na implementação pela quantidade de dados que têm de ser tratados. A maior dificuldade no projecto de um controlador difuso encontra-se na definição das variáveis linguísticas através dos seus universos de discurso e das suas funções de pertença, pois a definição destes pode não ser a mais adequada ao contexto de controlo e torna-se necessário efectuar testes e, consequentemente, modificações à definição das funções de pertença para melhorar o desempenho do sistema. Todos os aspectos referidos são endereçados no desenvolvimento do AGV e os respectivos resultados são apresentados e analisados.

Sistema de animação de personagens virtuais para comunicação não verbal

O principal objectivo da animação de personagens virtuais é o de contar uma história através da utilização de personagens virtuais emocionalmente expressivos. Os personagens têm personalidades distintas, e transmitem as suas emoções e processos de pensamento através dos seus comportamentos (comunicação não verbal). As suas acções muitas das vezes constituem a geração de movimentos corporais complexos. Existem diversas questões a considerar quando se anima uma entidade complexa, tais como, a posição das zonas móveis e as suas velocidades. Os personagens virtuais são um exemplo de entidades complexas e estão entre os elementos mais utilizados em animação computacional. O foco desta dissertação consistiu na criação de uma proposta de sistema de animação de personagens virtuais, cujos movimentos e expressões faciais são capazes de transmitir emoções e estados de espírito. Os movimentos primários, ou seja os movimentos que definem o comportamento dos personagens, são provenientes da captura de movimentos humanos (Motion Capture). As animações secundárias, tais como as expressões faciais, são criadas em Autodesk Maya recorrendo à técnica BlendShapes. Os dados obtidos pela captura de movimentos, são organizados numa biblioteca de comportamentos através de um grafo de movimentos, conhecido por Move Tree. Esta estrutura permite o controlo em tempo real dos personagens através da gestão do estado dos personagens. O sistema possibilita também a transição eficaz entre movimentos semelhantes e entre diferentes velocidades de locomoção, minimizando o efeito de arrastamento de pés conhecido como footskate. Torna-se assim possível definir um trajecto que o personagem poderá seguir com movimentos suaves. Estão também disponíveis os resultados obtidos nas sessões de avaliação realizadas, que visaram a determinação da qualidade das transições entre animações. Propõem-se ainda o melhoramento do sistema através da implementação da construção automática do grafo de movimentos.

Single-function approach to calibrating whatman n.º 42 filter paper based on suction versus water content relationships

Several suction–water-content (s-w) calibrations for the filter paper method (FPM) used for soil-suction measurement have been published. Most of the calibrations involve a bilinear function (i.e., two different equations) with an inflection point occurring at 60 kPasmooth transition between the high and low suctions based on a regression analysis of various previously published calibrations obtained for filter paper Whatman No. 42 (W42) is presented and discussed. The approach is applied herein to data obtained from three establish bilinear calibrations (six equations) for W42 filter paper to determine the two fitting parameters of the continuous function. An experimental evaluation of the new calibration show that the suctions estimated by the contact FPM test using the proposed function compare well with suctions measured by other laboratory techniques for two different soils for the suction range of 50 kPa

Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations

This paper provides evidence on the sources of co-movement in monthly US and UK stock price movements by investigating the role of macroeconomic and financial variables in a bivariate system with time-varying conditional correlations. Crosscountry communality in response is uncovered, with changes in the US Federal Funds rate, UK bond yields and oil prices having similar negative effects in both markets. Other variables also play a role, especially for the UK market. These effects do not, however, explain the marked increase in cross-market correlations observed from around 2000, which we attribute to time variation in the correlations of shocks to these markets. A regime-switching smooth transition model captures this time variation well and shows the correlations increase dramatically around 1999-2000. JEL classifications: C32, C51, G15 Keywords: international stock returns, DCC-GARCH model, smooth transition conditional correlation GARCH model, model evaluation.