Application of Taylor models to the worst-case analysis of stripline interconnects

This paper outlines a preliminary application of Taylor models to the worst-case analysis of transmission lines with bounded uncertain parameters. Taylor models are an algebraic technique that represents uncertain quantities in terms of a Taylor expansion complemented by an interval remainder encompassing approximation and truncation errors. The Taylor model formulation is propagated from input uncertainties to output responses through a suitable redef nition of the algebraic operations involved in their calculation. While the Taylor expansion def nes an analytical and parametric model of the response, the remainder provides a conservative bound inside which the true value is guaranteed to lie. The approach is validated against the SPICE simulation of a coupled stripline and shows promising accuracy and eff ciency

The sign of asymmetry and the Taylor Effect in stochastic volatility models

According to the Taylor-Effect the autocorrelations of absolute financial returns are higher than the ones of squared returns. In this work, we analyze this empirical property for three different asymmetric stochastic volatility models, with short and/or long memory. Specially, we investigate how the Taylor-Effect relates to the most important model characteristics: its asymmetry and its capacity to generate volatility persistence and kurtosis. Finally, we realize Monte Carlo experiments to infer about possible biases of the sample Taylor-Effect and fit the models to the return series of the Dow Jones

Stochastic volatility models and the Taylor effect

It has been often empirically observed that the sample autocorrelations of absolute financial returns are larger than those of squared returns. This property, know as Taylor effect, is analysed in this paper in the Stochastic Volatility (SV) model framework. We show that the stationary autoregressive SV model is able to generate this property for realistic parameter specifications. On the other hand, the Taylor effect is shown not to be a sampling phenomena due to estimation biases of the sample autocorrelations. Therefore, financial models that aims to explain the behaviour of financial returns should take account of this property

Generalized Taylor and Generalized Calvo Price and Wage-Setting: Micro Evidence with Macro Implications

The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and Taylor counter-parts, exactly consistent with the distribution of durations observed in the data. Using price and wage micro-data from a major euro-area economy (France), we develop calibrated versions of these models. We assess the consequences for monetary policy transmission by embedding these calibrated models in a standard DSGE model. The Generalized Taylor model is found to help rationalizing the hump-shaped response of inflation, without resorting to the counterfactual assumption of systematic wage and price indexation.contract length, steady state, hazard rate, Calvo, Taylor, wage-setting, price-setting

Generalized Taylor and Generalized Calvo price and wage-setting: micro evidence with macro implications

The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and Taylor counterparts, exactly consistent with the distribution of durations observed in the data. Using price and wage micro-data from a major euro-area economy (France), we develop calibrated versions of these models. We assess the consequences for monetary policy transmission by embedding these calibrated models in a standard DSGE model. The Generalized Taylor model is found to help rationalizing the hump-shaped response of inflation, without resorting to the counterfactual assumption of systematic wage and price indexation.Contract length, steady state, hazard rate, Calvo, Taylor, wage-setting, price-setting.

Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models

According to the Taylor-Effect the autocorrelations of absolute financial returns are larger than the ones of squared returns. In this work, we analyze in detail, for two different asymmetric stochastic volatility models, how the Taylor-Effect relates to the most important model characteristics: the asymmetry, the volatility persistence and the kurtosis. We also realize Monte Carlo experiments to infer about possible biases of the sample Taylor-Effect and we fit the models to the return series of the Dow Jones.

A Unified Framework for Using Micro-Data to Compare Dynamic Wage and Price Setting Models

This paper develops a statistical framework of steady-state identities which enable us to match the distributions of durations found in the micro-data to generalized Taylor and Calvo models of time-dependent pricing. We illustrate the approach with the UK micro CPI data for 2006-2009, and employ the pricing models in a simple macromodel. We find that the Generalized Taylor Economy generates a hump shaped response function, whilst the Generalized Calvo does not.price-spell, steady state, hazard rate, Calvo, Taylor