Essays in empirical finance

The aim of this thesis is to deepen our understanding of new empirical methods, results and implications in interest rate and foreign exchange markets. To this end, this thesis is organised in three chapters. The first chapter tests the validity of the Expectation Hypothesis (EH) of the term structure using daily data for US repo rates spanning the 1991-2005 sample period and ranging in maturity from overnight to three months. We revisit a recent study by Longstaff (2000a) by implementing statistical tests designed to increase test power in this context. Specifically, we apply the Lagrange Multiplier and Distance Metric statistics to test a set of,nonlinear cross-equation restrictions imposed by the EH on a vector autoregression model of the short- and long-term interest rates. We find that EH is rejected throughout the term structure examined on the basis of the statistical tests. In the second chapter, we extend the study carried out in the first chapter in a different direction and assess the economic value of departures from the EH based on criteria of profitability and economic significance. In the context of a mean-variance framework, we compare the performance of a dynamic portfolio strategy consistent with EH to a dynamic portfolio strategy that exploits the departures from the EH. The results of our economic analysis are favourable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant. Finally, in the third chapter, we provide a comprehensive evaluation of the shorthorizon predictive ability of economic fundamentals and fonvard premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Deterministic and Bayesian Model Averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on the random walk model to one which conditions on the forward premium with stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random walk benchmark. These two results are robust to reasonably high transaction costs

The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value

This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months. We extend the work of Longstaff (2000a) in two directions: (i) we implement statistical tests designed to increase test power in this context; (ii) more importantly, we assess the economic value of departures from the EH based on criteria of profitability and economic significance in the context of a simple trading strategy. The EH is rejected throughout the term structure examined on the basis of the statistical tests. However, the results of our economic analysis are favorable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant.Interest rates

Essays in empirical finance

The aim of this thesis is to deepen our understanding of new empirical methods, results and implications in interest rate and foreign exchange markets. To this end, this thesis is organised in three chapters. The first chapter tests the validity of the Expectation Hypothesis (EH) of the term structure using daily data for US repo rates spanning the 1991-2005 sample period and ranging in maturity from overnight to three months. We revisit a recent study by Longstaff (2000a) by implementing statistical tests designed to increase test power in this context. Specifically, we apply the Lagrange Multiplier and Distance Metric statistics to test a set of,nonlinear cross-equation restrictions imposed by the EH on a vector autoregression model of the short- and long-term interest rates. We find that EH is rejected throughout the term structure examined on the basis of the statistical tests. In the second chapter, we extend the study carried out in the first chapter in a different direction and assess the economic value of departures from the EH based on criteria of profitability and economic significance. In the context of a mean-variance framework, we compare the performance of a dynamic portfolio strategy consistent with EH to a dynamic portfolio strategy that exploits the departures from the EH. The results of our economic analysis are favourable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant. Finally, in the third chapter, we provide a comprehensive evaluation of the shorthorizon predictive ability of economic fundamentals and fonvard premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Deterministic and Bayesian Model Averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on the random walk model to one which conditions on the forward premium with stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random walk benchmark. These two results are robust to reasonably high transaction costs.EThOS - Electronic Theses Online ServiceWarwick Business School (WBS)Economic and Social Research Council (Great Britain) (ESRC)GBUnited Kingdo

BC-SIM-IAPSUPA-TR-001 HRIC NECP report

The present document has been issued with the aim of describing the NECP (Near Earth Commissioning Phase) Tests results of HRIC channel part of the SIMBIO-SYS instrument suite on board the BepiColombo ESA mission

Low glycemic index diet in children and young adults with refractory epilepsy: first Italian experience.

This is the report on the first Italian experience with the low glycemic index diet (LGIT) in a group of children, adolescents and young adults with refractory epileptic encephalopathies. A retrospective chart review was performed on patients initiating the LGIT in an outpatient setting from 2005 to 2010. Demographic and clinical information including seizure type, baseline seizure frequency, medications, blood chemistry, side effects, and anthropometrics were collected. Patients were educated and followed by a dietician to restrict foods with high glycemic index and to limit total daily carbohydrates to 40-60g. Change in seizure frequency was assessed at each 3-month follow-up intervals in the first year and then at each 6-month intervals. Fifteen consecutive patients (13 males and 2 females, aged between 11.3 years and 22 years), almost all affected by generalized cryptogenic or symptomatic refractory epilepsy, were enrolled in the study. After a mean follow-up period of 14.5±6.5 months (median 12.0; range 1-60 months), 6 patients (40%) had a 75-90% seizure reduction, while seizures decreased by 50% in other 2 (13.3%) and were unchanged in 7 (46.7%). The diet was discontinued in 4 patients within the first 5 months. No adverse events occurred during the diet. In conclusion, this initial experience confirms that some refractory patients may improve on the LGIT, even as first dietary option

BC-SIM-TR-032 HRIC ICO4 REPORT

The present document has been issued to describe the Instrument Check Out Phase (ICO#4) Tests of HRIC, channel of the Spectrometers and Imagers for MPO BepiColombo Integrated Observatory SYStem (SIMBIO-SYS)

A Microchip Integrated Sensor for the Monitoring of High Concentration Photo-voltaic Solar Modules

Abstract A CMOS sensor fabricated in 0.35μm technology, specifically designed for the monitoring of High Concentration Photo-Voltaic (HCPV) modules, is presented. The microchip was designed to monitor temperature and illumination of each solar cell in a module. Temperature is measured by monitoring the base-emitter voltage of two coupled, diode connected, bipolar transistors, while the illumination sensor is an integrated p-n junction photodiode. A custom communication protocol is implemented in the chip to allow the sharing of a two-wire communication resource among the cells

Calibration activities on the BepiColombo High-Resolution Channel (HRIC) of SIMBIO-SYS instrument

HRIC (High Resolution Imaging Channel) is the high resolution channel of the SIMBIO-SYS instrument on- board the ESA BepiColombo Mission. Calibration activities were performed at SelexES premises in spring- summer 2014 in order to check for Channel performances (radiometric performances, quality image and geometrical performances) and to obtain data necessary to setup a calibration pipeline necessary to process the raw images acquired by the channel when in operative scenario