A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data

This paper proposes a convenient and generally applicable diagnostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as the customary Student t GARCH model. The proposed test is based on the moments of the probability integral transform of the innovations of the assumed model. Monte-Carlo evidence indicates that our test performs well both in terms of size and power. An empirical example illustrates the practical usefulness of the test and some of its possible extensions are outlined

A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data

This paper proposes a convenient and generally applicable diagnostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as the customary student-t GARCH Model. The proposed test is based on the moments of the probability integral transform of the estimated innovations of the assumed model. Monte-Carlo evidence indicates that our suggested test performs well both in terms of size and power

Accompagnement et Contrôle des Chômeurs de Longue Durée en Wallonie: Evaluation d'un Nouveau Dispositif

En juillet 2004, le gouvernement fédéral belge lançait un nouveau dispositif d’accompagnement et de contrôle des chômeurs de longue durée. Ce nouveau dispositif allie un renforcement des actions d’accompagnement (aide à la recherche d’emploi et offre de formations) à un système de contrôle basé sur la convocation des chômeurs à un ou plusieurs entretien(s) visant à vérifier et stimuler leur recherche d’emploi, la convocation au premier entretien étant précédée d’une lettre d’avertissement. S’appuyant sur un échantillon de plus de 90.000 demandeurs d’emploi wallons (la région francophone de Belgique), l’objet de ce papier est d’évaluer si ce nouveau dispositif a permis d’améliorer l’accès à l’emploi ou à une formation des chômeurs, par rapport à ce qui ce serait passé en son absence. L’effet du dispositif est évalué au travers de modèles de durée discrets et est estimé par double différence, sur base de l’observation de trajectoires individuelles avant et après la mise en place du dispositif, pour le population cible du dispositif et pour une population de contrôle. Les résultats montrent que le dispositif a eu un effet relatif substantiel, bien que limité en termes absolus, sur l’accès à une formation de la majorité des chômeurs ciblés. Les résultats sont plus décevants en ce qui concerne l’accès à l’emploi, pour lequel une amélioration relativement plus modeste n’est observée que pour une minorité des chômeurs ciblés

Does formal child care availability for 0-3 year olds boost mothers' employment rate? Panel data based evidence from Belgium

In 2003, a new multi-annual program aimed at increasing the availability of formal child care for 0-3 year old children was launched in Wallonia, the French-speaking part of Belgium. This paper is interested in evaluating if this increased availability of formal child care resulted in a higher employment rate for women with at least one child under 3. To this end, we use a difference-in-differences approach based on municipality-level panel data, taking advantage of the fact that the increase in availability of formal child care differed greatly across municipalities. We find that the raise in child care availability significantly increased the maternal employment rate, but to a lesser extent than expected, most likely because of a substantial crowding-out effect

Maurice et La Réunion : deux îles de l'océan Indien face à la France de 1848

Dans l'île Maurice et celle de la Réunion, l'avènement de la Seconde République met en lumière les tensions sociales à l'œuvre dans ces sociétés coloniales. L'île Maurice, colonie anglaise et francophone où l'esclavage a été aboli depuis 1834, est dominée par des familles blanches, haïssant l'Angleterre, vivant dans le souvenir de la France de 1789 et espérant de l'élection de Louis-Napoléon Bonaparte un retour dans le giron de la France, même si le régime républicain n'a pas vraiment leurs faveurs. La Réunion, colonie française est confrontée à l'abolition de l'esclavage, effective en décembre 1848, et qui heurte les intérêts politiques et économiques de colons hostiles à la république, malgré les efforts du commissaire envoyé par Paris. Les affranchis, ne montrent guère plus d'enthousiasme envers la révolution de février : leurs préoccupations essentielles se portent sur le droit au travail plutôt que sur l'exercice de la citoyenneté.Mauritius and the Reunion, two islands of the Indian Ocean faced with 1848 France. At Mauritius and the Reunion the advent of the Second Republic brought to light the social tensions that were at work in these colonial societies. Mauritius, a French-speaking English colony where slavery had been abolished since 1834, was dominated by white families who hated England. They lived in the memory of 1789 France and hoped that the election of Louis-Napoleon Bonaparte would bring them back into France's bosom even though they didn't really approve of the republican regime. The Reunion, a French colony, was confronted with the abolition of slavery, which became effective in 1848. Slavery went against the political and economics interests of settlers hostile to the republic, in spite of the efforts of the representative sent by Paris. Emancipated slaves were hardly more enthusiastic about the February revolution since their main preoccupations were more about the right to work than the exercise of citizenshi

Optimized approach to retrieve information on the tropospheric and stratospheric carbonyl sulfide (OCS) vertical distributions above Jungfraujoch from high-resolution FTIR solar spectra

Carbonyl sulfide (OCS), which is produced in the troposphere from both biogenic and anthropogenic sources, is the most abundant gaseous sulfur species in the unpolluted atmosphere. Due to its low chemical reactivity and water solubility, a significant fraction of OCS is able to reach the stratosphere where it is converted to SO2 and ultimately to H2SO4 aerosols (Junge layer). These aerosols have the potential to amplify stratospheric ozone destruction on a global scale and may influence Earth’s radiation budget and climate through increasing solar scattering. The transport of OCS from troposphere to stratosphere is thought to be the primary mechanism by which the Junge layer is sustained during nonvolcanic periods. Because of this, long-term trends in atmospheric OCS concentration, not only in the troposphere but also in the stratosphere, are of great interest. A new approach has been developed and optimized to retrieve atmospheric abundance of OCS from high-resolution ground-based infrared solar spectra by using the SFIT-2 (v3.91) algorithm, including a new model for solar lines simulation (solar lines often produce significant interferences in the OCS microwindows). The strongest lines of the nu3 fundamental band of OCS at 2062 cm-1 have been systematically evaluated with objective criteria to select a new set of microwindows, assuming the HITRAN 2004 spectroscopic parameters with an increase in the OCS line intensities of the nu3band main isotopologue 16O12C32S by 15.79% as compared to HITRAN 2000 (Rothman et al., 2008, and references therein). Two regularization schemes have further been compared (deducted from ATMOS and ACE-FTS measurements or based on a Tikhonov approach), in order to select the one which optimizes the information content while minimizing the error budget. The selected approach has allowed us to determine updated OCS long-term trend from 1988 to 2009 in both the troposphere and the stratosphere, using spectra recorded on a regular basis with Fourier Transform Infrared spectrometers (FTIRs), under clear-sky conditions, at the NDACC site (Network for the Detection of Atmospheric Composition Change, visit http://www.ndacc.org) of the International Scientific Station of the Jungfraujoch (Swiss Alps, 46.5°N, 8.0°E, 3580m asl). Trends and seasonal cycles deduced from our results will be compared to values published in the literature and critically discussed. In particular, we will confirm the recent change in the OCS total column trend, which has become positive since 2002 before undergoing a slowing down over the last years