An Investigation of Thresholds in Air Pollution-Mortality Effects

In this paper we introduce and implement new techniques to investigate threshold effects in air pollution-mortality relationships. Our key interest is in measuring the dose-response relationship above and below a given threshold level where we allow for a large number of potential explanatory variables to trigger the threshold effect. This is in contrast to existing approaches that usually focus on a single threshold trigger. We allow for a myriad of threshold effects within a Bayesian statistical framework that accounts for model uncertainty (i.e. uncertainty about which threshold trigger and explanatory variables are appropriate). We apply these techniques in an empirical exercise using daily data from Toronto for 1992-1997. We investigate the existence and nature of threshold effects in the relationship between mortality and ozone (O3), total particulate matter (PM) and an index of other conventionally occurring air pollutants. In general, we find the effects of our considered pollutants on mortality to be statistically indistinguishable from zero with no evidence of thresholds. The one exception is ozone, for which results present an ambiguous picture. Ozone has no significant effect on mortality when we exclude threshold effects from the analysis. Allowing for thresholds we find a positive and significant effect for this pollutant when the threshold trigger is the average change in ozone two days ago. However, this significant effect is not observed after controlling for PM.Threshold-air pollution mortality effects; Bayesian model; averaging; PM; O3

Fraud, investments and liability regimes in payment platforms

In this paper, we discuss how fraud liability regimes impact the price structure that is chosen by a monopolistic payment platform, in a setting where merchants can invest in fraud detection technologies. We show that liability allocation rules distort the price structure charged by platforms or banks to consumers and merchants with respect to a case where such a responsibility regime is not implemented. We determine the allocation of fraud losses between the payment platform and the merchants that maximises the platform's profit and we compare it to the allocation that maximises social welfare. JEL Classification: G21, L31, L42fraud, interchange fees, liability, Payment card systems, two-sided markets

Country and industry equity risk premia in the euro area: an intertemporal approach

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as well as on the risk that the investment opportunity set changes over time. Prices of risks are time-varying, according to a Kalman filter approach. We find that both market and intertemporal risks are significantly priced. When we include country and industry-specific risk factors they turn out to be not significantly priced for most industries, suggesting that euro area equity markets are well integrated. Overall, the analysis indicates that omitting the intertemporal factor leads to mispricing and misleading conclusions regarding the degree of financial integration across sectors and countries. JEL Classification: G12, F37, C32conditional asset pricing, financial integration, intertemporal risk, Kalman filter, multivariate GARCH

Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation

We derive the conditions for optimal portfolio choice within an expected utility framework considering alternative probability distributions that are able to capture the stylized features of asset returns at different degrees of accuracy. We show the importance of higher-order moments in the optimal decision on liquidity and relate them with the risk preference properties of riskiness, prudence and temperance

Keystroke Dynamics on Android Platform

AbstractCurrently people store more and more sensitive data on their mobile devices. Therefore it is highly important to strengthen the existing authentication mechanisms. The analysis of typing patterns, formally known as keystroke dynamics is useful to enhance the security of password-based authentication. Moreover, touchscreen allows adding features ranging from pressure of the screen or finger area to the classical time-based features used for keystroke dynamics. In this paper we examine the effect of these additional touchscreen features to the identification and verification performance through our dataset of 42 users. Results show that these additional features enhance the accuracy of both processes

Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

Derivamos las condiciones para la elección óptima de cartera bajo una utilidad con aversión al riesgo relativo constante y distribuciones de probabilidad alternativas que son capaces de capturar las caraterísticas de asimetría y curtosis de los rendimientos de los activos financieros. Ilustramos el papel —más allá de la aversión al riesgo— que desempeñan los momentos de orden superior en la decisión de formar una cartera de activos. En particular, demostramos que las actitudes de orden superior, tales como la prudencia y la temperancia, asociadas a los momentos tercero y cuarto de la distribución, definen diferentes carteras óptimas a las restringidas bajo aversión al riesgoWe derive the conditions for the optimal portfolio choice within a constant relative risk aversion type of utility function considering alternative probability distributions that are able to capture the asymmetric and leptokurtic features of asset returns. We illustrate the role —beyond risk aversion— played by higher-order moments in the optimal decision to form a portfolio of risky assets. In particular, we show that higher-order risk attitudes such as prudence and temperance associated with the third and fourth moments of the distribution define different optimal portfolios than those constrained under risk aversio

Modelling global trade flows: results from a GVAR model

This paper uses a Global Vector Auto-Regression (GVAR)model in a panel of 21 emerging market and advanced economies to investigate the factors behind the dynamics of global trade flows, with a particular view on the issue of global trade imbalances and on the conditions of their unwinding. The GVAR approach enables us to make two key contributions: first, to model international linkages among a large number of countries, which is a key asset given the diversity of countries and regions involved in global imbalances, and second, to model exports and imports jointly. The latter proves to be very important due to the inter-nationalisation of production and the high import content of exports. The model can be used to gauge the effect on trade flows of various scenarios, such as an output shock in the United States, a shock to the US real effective exchange rate and shocks to foreign (German and Chinese) variables. Results indicate in particular that world exports respond much more to a (normalised) shock to US output than to a real effective depreciation of the dollar. In addition, the model can be used to monitor trade developments, such as the sharp contraction in world trade that took place in the wake of the financial crisis. While the fall in imports seems well accounted for by the model, the fall in exports of several countries remains partly unexplained, suggesting perhaps that specific factors might have been at play during the crisis. JEL Classification: F10, F17, F32, C33Exchange Rates, global imbalances, Global VAR, international trade, trade elasticities

The role of the United States in the global economy and its evolution over time

This paper aims at assessing the role of the United States in the global economy and its evolution over time. The emergence of large economic players, like China, is likely to have weakened the role of the U.S. economy as a driver of global growth. Based on a Global VAR modelling approach, this paper shows first that the transmission of U.S. cyclical developments to the rest of the world tends to fluctuate over time but remains large overall. Second, although the size of the spill-overs might have decreased in the most recent periods, the effects of changes in U.S. economic activity seem to have become more persistent. Actually, the increasing economic integration at the world level is likely to have fostered second-round and third-market effects, making U.S. cyclical developments more global. Finally, the slightly decreasing role of the U.S. has been accompanied by an increasing importance of third players. Regional integration might have played a significant role by giving more weights to non-U.S. trade partners in the sensitivity of the various economies to their international environment. JEL Classification: E32, E37, F41business cycle, Global VAR, international transmission of shocks

PHYSICAL MODEL OF SI-ENGINE PROCESS AND GAS EXCHANGE FOR REAL-TIME IMPLEMENTATION IN ENGINE MANAGEMENT SYSTEM

This paper presents a physical, crank angle resolved model of spark ignited (SI) engine process and gas exchange developed by Continental AG for real‐time engine management system. Transient 1D flow in pipe systems is the most time‐consuming part of the numerical solution. A so‐called detailed model, including intake and exhaust pipe components, is defined and reduced to its fast‐running version where pipes are neglected. Experimental validation confirms that the detailed model captures transient effects and fulfills accuracy targets over the entire engine operation range, while the fast‐running model requires additional empirical parameterization. Both models, however, provide more detailed information on dynamic gas exchange process and the in‐cylinder state for each individual engine cycle than today’s data driven models do (e.g., transient gas states and internal engine exhaust gas recirculation). Finally, simplifications according to classical acoustic theory are proposed for pipe components to solve the conflict between accuracy and real‐time capability.Tento článek prezentuje fyzikální model čtyřdobého procesu a výplachu zážehového spalovacího motoru. Model byl vyvinut u Continental AG pro účely sériových řídících jednotek. Nestacionární 1D proudění v potrubních systémech je časově nejnáročnější součástí numerického řešení. Proto je nejprve definován podrobný model, zahrnující řešení sacích a výfukových potrubí, který je dále zjednodušen na rychle fungující verzi se zanedbáním zákona zachování impulsu v potrubních systémech. Experimentální ověření potvrzuje, že podrobný model zachycuje přechodové jevy a splňuje cíle přesnosti v celém rozsahu provozu motoru, zatímco zjednodušený model vyžaduje další empirickou parametrizaci. Oba modely však poskytují podrobnější informace o výplachu a termodynamickém stavu ve válcích než to činí běžné datově orientované modely (např. přechodné stavy plynu, nebo vnitřní recirkulace výfukových plynů motoru). Nakonec jsou navržena zjednodušení řešení proudění v potrubích podle klasické akustické teorie s cílem vyřešení rozporu mezi přesností a schopností dosáhnout řešení v reálném čase na daném hardwaru (ECU 240 MHz)

Short-run forecasting of the euro-dollar exchange rate with economic fundamentals

Incluye bibliografíaWe propose a fundamentals-based econometric model for the weekly changes in the euro-dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies. The model obtains good in-sample fi t and, more importantly, encouraging outof- sample forecasting results at horizons ranging from one week to one month. Specifi cally, we obtain statistically signifi cant improvements upon the hard-to-beat random walk model using traditional statistical measures of forecasting error at all horizons. Moreover, our model improves greatly when we use the direction-of-change metric, which has more economic relevance than other loss measures. With this measure, our model performs much better at all forecasting horizons than a naive model that predicts the exchange rate has an equal chance to go up or down, with statistically signifi cant improvementsSe propone un modelo econométrico basado en fundamentales para el cambio semanal del tipo de cambio del euro frente al dólar con la característica diferencial de mezclar variables con diferentes frecuencias. El modelo obtiene buenas predicciones en la muestra, y, lo que es más importante, mejoras en predicción fuera de la muestra a horizontes entre una semana y un mes. Específi camente, obtenemos mejoras estadísticamente signifi cativas frente al difícil de batir paseo aleatorio, usando las medidas tradicionales basadas en error de predicción cuadrático medio a todos los horizontes. Las ganancias son mayores cuando utilizamos la métrica basada en la dirección del cambio, que tiene más sentido económico en un modelo como este. Con esta medida, nuestro modelo predice los movimientos alcistas y bajistas del tipo de cambio mucho mejor que un modelo basado en igual probabilidad de bajadas y subida