International CAPM with Regime Switching GARCH Parameters

This paper tests a conditional version of Adler and Dumas'(1983) International CAPM with regime switching GARCH parameters. As benchmark the same model is estimated without state dependent parameters. The switching representation is found to react faster than the benchmark to shocks in stock market returns. This suggests that the non-switching model suffers from spuriously high persistence. In particular, when a financial crisis occurs, the conditional risk exposures appear to be underestimated, while overestimated in the aftermath. The introduction of a regime switching model should hence improve forecasting power. We also find that in periods of financial turmoil, weight is shifting from the GARCH, towards the ARCH termes of the conditional covariance generating process. During such events investors, when formin their (co)variance expectations, seem to put more emphasis on current shocks, at the expense of the current second moments.International CAPM; Multivariate GARCH-in-Mean; Regime Switching

The uncovered return parity condition

This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in another economy, then the currency corresponding to the economy whose asset offers higher returns is expected to depreciate. Due to its similarity with Uncovered Interest Parity (UIP), we call this equilibrium condition “Uncovered Return Parity” (URP). However, in the URP condition returns’ differentials are not known ex ante, while in the UIP they are. The paper finds empirical support in favour of URP for certain markets over some sample periods. JEL Classification: F30, F31, G12, C32GMM, stochastic discount factor, Uncovered interest parity, Uncovered Return Parity

Explaining exchange rate dynamics: the uncovered equity return parity condition

By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity (URP) condition – to explain the dynamics of exchange rates. When expected equity returns in a country/region are lower than expected equity returns in another country/region, the currency associated with the market offering lower returns is expected to appreciate. First, we test the URP assuming that investors are risk neutral and next we relax this hypothesis. The resulting risk premia are proxied by economic variables, which are related to the business cycle. We employ differentials in corporate earnings’ growth rates, short-term interest rate changes, annual inflation rates, and net equity flows. The URP explains a large fraction of the variability of some European currencies vis-à-vis the US dollar. When confronted with the naïve random walk model, the URP for the EUR/USD performs better in terms of forecasts for a set of alternative statistics. JEL Classification: D82, G14, G15asset pricing, foreign exchange markets, GMM, random walk, UIP

Prescriptions for Off-Shell Bosonic String Amplitudes

We give, in the framework of the bosonic string theory, simple prescriptions for computing, at tree and one-loop levels, off-shell string amplitudes for open and closed string massless states. In particular we obtain a tree amplitude for three open strings that in the field theory limit coincides with the three-gluon vertex in the usual covariant gauge and two-string one-loop amplitudes satisfying the property of transversality.Comment: 11 pages, LaTeX, to appear in the proceedings of the workshop "Quantum Aspects of Gauge Theories, Supersymmetry and Unification", Corfu (Greece), 20-26 September 1998. Eq. (12) and numerical factors in eqs. (13) and (16) corrected; some minor changes and references adde

On off-shell bosonic string amplitudes

We give a simple prescription for computing, in the framework of the bosonic string theory, off-shell one-loop amplitudes with any number of external massless particles, both for the open and for the closed string. We discuss their properties and, in particular, for the two-string one-loop amplitudes we show their being transverse.Comment: 12 pages, Latex. One reference added. Introduction and conclusions expanded. Some other minor changes in the tex

Experiments and analysis of quality andEnergy-aware data aggregation approaches inWSNs

A wireless sensor network consists of autonomous devices able to collect various data from the area that surrounds them. However, the resources associated with sensors are limited and, thus, in order to guarantee a longer life of all the network components, it is necessary to adopt energysavings methods. This paper, considering that the transmission phase is the main cause of energy dissipation, presents an approach aimed to save energy by capturing and aggregating signals instead of sending them in raw form. Anyway, aggregation should not imply the loss of useful data. For this reason, information about possible outliers is preserved and the aggregated values have to satisfy data quality (i.e., accuracy, precision, and timeliness) requirements. In order to show the correctness and validity of the proposed method, it has been tested on a real case study and its performance has been compared with two other consolidated approaches

Quality of Web Mashups: A Systematic Mapping Study

The final publication is available at Springer via http://dx.doi.org/10.1007/978-3-319-04244-2_8Web mashups are a new generation of applications based on the composition of ready-to-use, heterogeneous components. They are gaining momentum thanks to their lightweight composition approach, which represents a new opportunity for companies to leverage on past investments in SOA, Web services, and public APIs. Although several studies are emerging in order to address mashup development, no systematic mapping studies have been reported on how quality issues are being addressed. This paper reports a systematic mapping study on which and how the quality of Web mashups has been addressed and how the product quality-aware approaches have been defined and validated. The aim of this study is to provide a background in which to appropriately develop future research activities. A total of 38 research papers have been included from an initial set of 187 papers. Our results provided some findings regarding how the most relevant product quality characteristics have been addressed in different artifacts and stages of the development process. They have also been useful to detect some research gaps, such as the need of more controlled experiments and more quality-aware mashup development proposals for other characteristics which being important for the Web domain have been neglected such as Usability and ReliabilityThis work is funded by the MULTIPLE project (TIN2009-13838), the Senescyt program (scholarships 2011), and the Erasmus Mundus Programme of the European Commission under the Transatlantic Partnership for Excellence in Engineering - TEE Project.Cedillo Orellana, IP.; Fernández Martínez, A.; Insfrán Pelozo, CE.; Abrahao Gonzales, SM. (2013). Quality of Web Mashups: A Systematic Mapping Study. En Current Trends in Web Engineering. Springer. 66-78. https://doi.org/10.1007/978-3-319-04244-2_8S6678Alkhalifa, E.: The Future of Enterprise Mashups. Business Insights. E-Strategies for Resource Management Systems (2009)Beemer, B., Gregg, D.: Mashups: A Literature Review and Classification Framework. Future Internet 1, 59–87 (2009)Cappiello, C., Daniel, F., Matera, M.: A Quality Model for Mashup Components. In: Gaedke, M., Grossniklaus, M., Díaz, O. (eds.) ICWE 2009. LNCS, vol. 5648, pp. 236–250. Springer, Heidelberg (2009)Cappiello, C., Daniel, F., Matera, M., Pautasso, C.: Information Quality in Mashups. IEEE Internet Computing 14(4), 32–40 (2010)Cappiello, C., Matera, M., Picozzi, M., Daniel, F., Fernandez, A.: Quality-Aware Mashup Composition: Issues, Techniques and Tools. In: 8th International Conference on the Quality of Information and Communications Technology (QUATIC 2012), pp. 10–19 (2012)Fenton, N.E., Pfleeger, S.L.: Software Metrics: A Rigorous and Practical Approach, 2nd edn. International Thompson 1996, pp. I–XII, 1–638 (1996) ISBN 978-1-85032-275-7Fernandez, A., Insfran, E., Abrahão, S.: Usability evaluation methods for the web: A systematic mapping study. Information and Software Technology 53(8), 789–817 (2011)Garousi, V., Mesbah, A., Betin-Can, A., Mirshokraie, S.: A systematic mapping study of web application testing. Information and Software Technology 55(8), 1374–1396 (2013)Grammel, L., Storey, M.-A.: A survey of mashup development environments. In: Chignell, M., Cordy, J., Ng, J., Yesha, Y. (eds.) The Smart Internet. LNCS, vol. 6400, pp. 137–151. Springer, Heidelberg (2010)Hoyer, V., Fischer, M.: Market Overview of Enterprise Mashup Tools. In: Bouguettaya, A., Krueger, I., Margaria, T. (eds.) ICSOC 2008. LNCS, vol. 5364, pp. 708–721. Springer, Heidelberg (2008)ISO/IEC: ISO/IEC 25010 Systems and software engineering. Systems and software Quality Requirements and Evaluation (SQuaRE). System and software quality models (2011)Kitchenham, B., Charters, S.: Guidelines for performing Systematic Literature Reviews in Software Engineering. Version 2.3, ESBE Technical Report, Keele University, UK (2007)Mendes, E.: A systematic review on the Web engineering research. In: International Symposium on Empirical Software Engineering (ISESE 2005), pp. 498–507 (2005)OrangeLabs: State of the Art in Mashup tools, SocEDA project, pp. 1–59 (2011)Petersen, K., Feldt, R., Mujtaba, S., Mattsson, M.: Systematic mapping studies in software engineering. In: 12th International Conference on Evaluation and Assessment in Software Engineering (EASE), pp. 68–77 (2008)Raza, M., Hussain, F.K., Chang, E.: A methodology for quality-based mashup of data sources. In: 10th International Conference on Information Integration and Web-based Applications & Services (iiWAS 2008), pp. 528–533 (2008)Saeed, A.: A Quality-based Framework for Leveraging the Process of Mashup Component Selection (2009), https://gupea.ub.gu.se/handle/2077/21953Sharma, A., Hellmann, T.D., Maurer, F.: Testing of Web Services - A Systematic Mapping. In: 8th World Congress on Services (SERVICES 2012), pp. 346–352 (2012

Determinants of insurance companies' enviromental, social, and governance awareness

Environmental, social, and governance (ESG) criteria are increasingly important in all fields of economics. However, despite increasing interest from policy makers and financial regulators, literature relating to the insurance industry is still scarce. This paper aims to fill this gap by exploring the interaction between a set of financial ratios and environmental social governance scores of 107 large, listed US insurance companies for the period 2010–2018 for the purpose of identifying the determinants of ESG awareness. Larger, more profitable, and more solvent insurance companies show the highest level of ESG awareness. Our model contributes to shed light on the unfolding of ESG practices in the insurance industry

A Matter of Necessity: The Case for Mandating Health Insurance for Contraception

This paper examines the recent judicial, administrative, and federal and state legislative efforts to mandate contraceptive coverage. The paper analyzes the reasons why historically contraception has been excluded from health insurance plans and then concludes that to end gender discrimination, increase women’s power in the workforce, reduce unintended pregnancies and encourage pharmaceutical research and development, Congress should pass the Equity in Prescription and Contraceptive Coverage Act

Quality-aware mashup composition: issues, techniques and tools

Web mashups are a new generation of applications based on the composition of ready-to-use, heterogeneous components. In different contexts, ranging from the consumer Web to Enterprise systems, the potential of this new technology is to make users evolve from passive receivers of applications to actors actively involved in the creation of their artifacts, thus accommodating the inherent variability of the users’ needs. Current advances in mashup technologies are good candidates to satisfy this requirement. However, some issues are still largely unexplored. In particular, quality issues specific for this class of applications, and the way they can guide the users in the identification of adequate components and composition patterns, are neglected. This paper discusses quality dimensions that can capture the intrinsic quality of mashup components, as well as the components’ capacity to maximize the quality and the userperceived value of the overall composition. It also proposes an assisted composition process in which quality becomes the driver for recommending to the users how to complete mashups, based on the integration of quality assessment and recommendation techniques within a tool for mashup development