Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram

open access articleThis paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche Bank G10 Currency Future Harvest Total Return Index. The predictive power of risk aversion is found to be stronger during periods of moderate to high risk aversion and largely concentrated on extreme fluctuations in carry trade returns. While large crashes in carry trade returns are associated with significant rises in investors’ risk aversion, we also found that booms in carry trade returns can be predicted at high quantiles of risk aversion. The results highlight the predictive role of extreme investor sentiment in currency markets and regime specific patterns in carry trade returns that can be captured via quantile-based predictive models

The Commutative Effect and Casuality of Openness and Indigenous Factors Among World Economies

The paper studies the commutative and causality relationship between economic openness and indigenous factors. The construction of the Openness Index and the Indigenous Index provides a measure on the extent of openness and indigenous development among world economies. The two indices are used to study their commutative effect and causality. The empirical findings show that there is a positive and significant static effect of openness on indigenous factors and vice versa; however the latter is larger. There are bi-directional dynamic causality relationships between openness and indigenous factors. Indigenous factors help to forecast openness factors and vice versa.Openness, indigeneity, panel data model, commutative effect, causality

A Comparative Analysis of Productivity Change in Italian and Portuguese Airports

In this paper, we analyze efficiency and productivity of Italian and Portuguese airports, by using the directional distance function and the Luenberger productivity indicator. The key advantage of this approach is that both input contraction and output expansion are considered. The model generates efficiency scores, ranking the airports in the sample. We conclude that inputs and outputs play a major role in airports efficiency. According to this methodology, it can be stated that some Italian and Portuguese airports are efficient and that productivity increased in most of the cases.Italian and Portuguese airports; Luenberger productivity indicator.

Solving Inverse Problems with Piecewise Linear Estimators: From Gaussian Mixture Models to Structured Sparsity

A general framework for solving image inverse problems is introduced in this paper. The approach is based on Gaussian mixture models, estimated via a computationally efficient MAP-EM algorithm. A dual mathematical interpretation of the proposed framework with structured sparse estimation is described, which shows that the resulting piecewise linear estimate stabilizes the estimation when compared to traditional sparse inverse problem techniques. This interpretation also suggests an effective dictionary motivated initialization for the MAP-EM algorithm. We demonstrate that in a number of image inverse problems, including inpainting, zooming, and deblurring, the same algorithm produces either equal, often significantly better, or very small margin worse results than the best published ones, at a lower computational cost.Comment: 30 page

Responses to intensity-shifted auditory feedback during running speech

PURPOSE: Responses to intensity perturbation during running speech were measured to understand whether prosodic features are controlled in an independent or integrated manner. METHOD: Nineteen English-speaking healthy adults (age range = 21-41 years) produced 480 sentences in which emphatic stress was placed on either the 1st or 2nd word. One participant group received an upward intensity perturbation during stressed word production, and the other group received a downward intensity perturbation. Compensations for perturbation were evaluated by comparing differences in participants' stressed and unstressed peak fundamental frequency (F0), peak intensity, and word duration during perturbed versus baseline trials. RESULTS: Significant increases in stressed-unstressed peak intensities were observed during the ramp and perturbation phases of the experiment in the downward group only. Compensations for F0 and duration did not reach significance for either group. CONCLUSIONS: Consistent with previous work, speakers appear sensitive to auditory perturbations that affect a desired linguistic goal. In contrast to previous work on F0 perturbation that supported an integrated-channel model of prosodic control, the current work only found evidence for intensity-specific compensation. This discrepancy may suggest different F0 and intensity control mechanisms, threshold-dependent prosodic modulation, or a combined control scheme.R01 DC002852 - NIDCD NIH HHS; R03 DC011159 - NIDCD NIH HH

A Productivity analysis of Eastern European banking taking into account risk decomposition and environmental variables

This paper develops a new Luenberger productivity which is applied to a technology where the desirable and undesirable outputs are jointly produced and are possibly negative. The components of this Luenberger productivity index - the efficiency change and the components of the technological shift - are then decomposed into factors determined by the technology, adjusted for ‘risk and environment’, ‘risk management’ and ‘environmental effects’. The method is applied to Central and Eastern European banks operating during 1998–2003 utilising three alternative input/output methodologies (intermediation, production and profit/revenue). Additionally, the comparative analysis of the sensitivity of the productivity indices in the choice of the methodologies is undertaken using statistical and kernel density tests. It is found that the main driver of productivity change in Central and Eastern European banks is technological improvement, which, in the beginning of the analysed period, hinged on the banks’ ability to capitalise on advanced technology and successfully take into account risk and environmental factors. Whereas, in the later sampled periods, we show that one of the most important factors of technological improvement/decline is risk management. Finally, the tests employed confirm previous findings, such as Pasiouras (2008) in this journal, that different input/output methodologies produce statistically different productivity results. Indeed, we also find that external factors, such as a risk in the economy and banking production, and a ‘corruption perception’ affect the productivity of banks.Luenberger productivity index; DEA; banking; undesirable outputs; negative data.

Gender differences in the temporal voice areas

There is not only evidence for behavioral differences in voice perception between female and male listeners, but also recent suggestions for differences in neural correlates between genders. The fMRI functional voice localizer (comprising a univariate analysis contrasting stimulation with vocal versus non-vocal sounds) is known to give robust estimates of the temporal voice areas (TVAs). However there is growing interest in employing multivariate analysis approaches to fMRI data (e.g. multivariate pattern analysis; MVPA). The aim of the current study was to localize voice-related areas in both female and male listeners and to investigate whether brain maps may differ depending on the gender of the listener. After a univariate analysis, a random effects analysis was performed on female (n = 149) and male (n = 123) listeners and contrasts between them were computed. In addition, MVPA with a whole-brain searchlight approach was implemented and classification maps were entered into a second-level permutation based random effects models using statistical non-parametric mapping (SnPM; Nichols & Holmes 2002). Gender differences were found only in the MVPA. Identified regions were located in the middle part of the middle temporal gyrus (bilateral) and the middle superior temporal gyrus (right hemisphere). Our results suggest differences in classifier performance between genders in response to the voice localizer with higher classification accuracy from local BOLD signal patterns in several temporal-lobe regions in female listeners

Interacting Attention-gated Recurrent Networks for Recommendation

Capturing the temporal dynamics of user preferences over items is important for recommendation. Existing methods mainly assume that all time steps in user-item interaction history are equally relevant to recommendation, which however does not apply in real-world scenarios where user-item interactions can often happen accidentally. More importantly, they learn user and item dynamics separately, thus failing to capture their joint effects on user-item interactions. To better model user and item dynamics, we present the Interacting Attention-gated Recurrent Network (IARN) which adopts the attention model to measure the relevance of each time step. In particular, we propose a novel attention scheme to learn the attention scores of user and item history in an interacting way, thus to account for the dependencies between user and item dynamics in shaping user-item interactions. By doing so, IARN can selectively memorize different time steps of a user's history when predicting her preferences over different items. Our model can therefore provide meaningful interpretations for recommendation results, which could be further enhanced by auxiliary features. Extensive validation on real-world datasets shows that IARN consistently outperforms state-of-the-art methods.Comment: Accepted by ACM International Conference on Information and Knowledge Management (CIKM), 201