Modelling long-run trends and cycles in financial time series data

Copyright @ 2012 Wiley Publishing Ltd. This is the accepted version of the following article: "Modelling long-run trends and cycles in financial time series data", Journal of Time Series Analysis, 34(3), 405-421, 2013, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12010/abstract.This article proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and segmented time trends, and stationary and non-stationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at both zero but non-zero (cyclical) frequencies. This framework is used to analyse five annual time series with a long span, namely dividends, earnings, interest rates, stock prices and long-term government bond yields. The results based on several likelihood criteria indicate that the five series exhibit fractional integration with one or two poles in the spectrum, and are quite stable over the sample period examined.Ministerio de Ciencia y Tecnologia and Jeronimo de Ayanz project of the Government of Navarra

Subjective survival probabilities and their role in labour supply decisions

According to the Life Cycle Model (LCM) an economic agent would take a retirement decision so that she maximizes lifetime utility. However, because there is uncertainty about when someone will die, longevity expectations should play a significant role on deciding when to stop working. This Thesis analyses these issues in three different Chapters using data drawn from the ¿Survey of Health, Ageing and Retirement in Europe¿ (SHARE). It seeks two concrete objectives. Firstly, we explore individuals¿ longevity expectations ¿ more commonly known in economic literature as Subjective Survival Probabilities (SSPs) ¿ in order to determine if we could confidently use them as main input in a retirement model. Secondly, once SSPs are validated, in the third Chapter we to test if they play a role in labour supply decisions in the same fashion the LCM suggests. Overall, we have found that SSPs do satisfy the three specific properties that expectations should satisfy according to Hurd and McGarry (1997) and therefore they can be used confidently to estimate models of decision-making under uncertainty. Specifically, we found that SSPs in SHARE covary with other variables in the same way actual outcomes vary with the variables. Furthermore, their evolution is coherent with epidemiological evidence and with previous studies, and they predict mortality. We have also found that expectations of longevity do play a significant role when taking retirement decisions only in the case of females. In particular, it is found that females who expect to live longer have a lower probability of retiring. This finding is consistent with the LC

Note: Vectorial-magneto optical Kerr effect technique combined with variable temperature and full angular range all in a single setup

Here, we report on a versatile full angular resolved/broad temperature range/vectorial magneto optical Kerr effect (MOKE) magnetometer, named TRISTAN. Its versatility relies on its capacity to probe temperature and angular dependencies of magnetization reversal processes without the need to do any intervention on the apparatus during measurements. The setup is a combination of a vectorial MOKE bench and a cryostat with optical access. The cryostat has a motorized rotatable sample holder with azimuthal correction. It allows for simultaneous and quantitative acquisition of the two in-plane magnetization components during the hysteresis loop at different temperatures from 4 K up to 500 K and in the whole angular range, without neither changing magnet orientation nor opening the cryostat. Measurements performed in a model system with competing collinear biaxial and uniaxial contributions are presented to illustrate its capabilitiesP.P. acknowledges financial support from MINECO through Contract No. JCI-2011- 09602. F.J.T. acknowledges financial support from Ramon y Cajal program (RYC-2011-09617). This work has been supported by MINECO through Project Nos. MAT2011-25598 and MAT2012-39308, by the Comunidad de Madrid through Project No. S2013/MIT-2850 NANOFRONTMAG-CM and by EU-FP7 through NANOPYME Project (No. 310516

Room Temperature In-plane <100> Magnetic Easy Axis for Fe3O4/SrTiO3(001):Nb Grown by Infrared PLD

We examine the magnetic easy-axis directions of stoichiometric magnetite films grown on SrTiO3:Nb by infrared pulsed-laser deposition. Spin-polarized low-energy electron microscopy reveals that the individual magnetic domains are magnetized along the in-plane film directions. Magneto-optical Kerr effect measurements show that the maxima of the remanence and coercivity are also along in-plane film directions. This easy-axis orientation differs from bulk magnetite and films prepared by other techniques, establishing that the magnetic anisotropy can be tuned by film growth.Comment: 3 pages, 3 figure

Modelling Long Run Trends and Cycles in Financial Time Series Data

This paper proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and segmented time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at both zero but non-zero (cyclical) frequencies. This framework is used to analyse five annual time series with a long span, namely dividends, earnings, interest rates, stock prices and long-term government bond yields. The results based on several likelihood criteria indicate that the five series exhibit fractional integration with one or two poles in the spectrum, and are quite stable over the sample period examined

Correlative 3D cryo X-ray imaging reveals intracellular location and effect of designed antifibrotic protein-nanomaterial hybrids

Revealing the intracellular location of novel therapeutic agents is paramount for the understanding of their effect at the cell ultrastructure level. Here, we apply a novel correlative cryo 3D imaging approach to determine the intracellular fate of a designed protein-nanomaterial hybrid with antifibrotic properties that shows great promise in mitigating myocardial fibrosis. Cryo 3D structured illumination microscopy (cryo-3D-SIM) pinpoints the location and cryo soft X-ray tomography (cryo-SXT) reveals the ultrastructural environment and subcellular localization of this nanomaterial with spatial correlation accuracy down to 70 nm in whole cells. This novel high resolution 3D cryo correlative approach unambiguously locates the nanomaterial after overnight treatment within multivesicular bodies which have been associated with endosomal trafficking events by confocal microscopy. Moreover, this approach allows assessing the cellular response towards the treatment by evaluating the morphological changes induced. This is especially relevant for the future usage of nanoformulations in clinical practices. This correlative super-resolution and X-ray imaging strategy joins high specificity, by the use of fluorescence, with high spatial resolution at 30 nm (half pitch) provided by cryo-SXT in whole cells, without the need of staining or fixation, and can be of particular benefit to locate specific molecules in the native cellular environment in bio-nanomedicine

Unprecedented tuning of the in-plane easy axis in (100) magnetite films grown by IR-PLD

Conference paper presented at the IEEE International Magnetics Conference, held in Beijing (China) on May 11-15th, 2015.Magnetite (Fe3O4) is attracting much interest in the last years due to its robust ferrimagnetism down to nanometer thickness, good electrical conductivity and presumed half-metal character. In particular, Fe3O4 films are studied as ideal cases for the design of improved bulk magnets [1] and have been tentatively used in spin-valves and spin-LEDs. Fe3O4 presents a low-temperature metal-insulator transition, the Verwey transition (TV) which has also been proposed for spintronic applications. An open question is to what extent the preparation of Fe3O4 films can affect their detailed magnetic properties, such as the magnetic anisotropy axis. This information is required to efficiently apply Fe3O4 in technological multiphase magnets and spintronic applications [1]. Most of studies dealing with bulk and Fe3O4 thin film systems show room temperature (RT) in-plane magnetic easy axis. By contrast, we show in this work the preparation of pure stoichiometric Fe3O4 thin films with RT easy axes along the in-plane directions [2], i.e. rotated by 45º respect to previous studies. Fe3O4 films have been grown by ablation from a sintered hematite target using a nanosecond infrared (IR) laser at 1064 nm and a substrate temperature of 750 K [3]. Single crystal substrates of SrTiO3, MgAl2O4 and MgO have been used. The films were characterized using XRD, AFM, Raman and Mössbauer spectroscopies, vectorial magneto-optical Kerr effect microscopy (v-MOKE) and SQUID magnetometry. All films consisted of stoichiometric Fe3O4 and presented a Verwey transition at TV=115-118 K. RT in-plane hysteresis loops were measured by vectorial-MOKE as a function of the direction of the applied magnetic field in the 0º-360º range with an angular step of 5º. For all epitaxial films under study, the highest coercivity and remanence are found at 0º, 90º, 180º and 270º (i.e. directions), thus orthogonal to each other, while the lowest coercivity values are found between them [Figures 1(a) and 1(b), respectively]. This results in a well-defined four-fold symmetry indicative of biaxial magnetic anisotropy [2]. In order to verify this result, ferromagnetic resonance (FMR) experiments have been carried out at 9.4 GHz frequency. The angular dependence of the in-plane resonance field at RT for the Fe3O4 layers proves that the easy axes are indeed the in-plane directions (Fig. 2). Furthermore, spin-polarized low-energy electron microscopy (SPLEEM) has allowed imaging the individual magnetic domains at the surface of the films [2]. The magnetic domains present magnetization vectors along the in-plane ¿100¿ directions, while the domain walls are aligned with the in-plane ¿110¿ directions. The most probable cause for the observed magnetization easy-axis direction is the orientation of the anti-phase domain boundaries (APBs). It is known that depending on the orientation of the APBs, they can couple both ferromagnetically or antiferromagnetically the magnetite grains that lie across the boundary. We thus propose that the particular distribution and orientation of APBs that our growth conditions promote are responsible for the observed easy-axis directions of our films. Consequently, all angular studies here shown in addition to SPLEEM experiments demonstrate easy-axis orientation along in-plane directions, i.e., differing from that of bulk magnetite or films prepared by other techniques, and thus demonstrating the possibility of tuning the easy axis orientation in Fe3O4 films

Interfacial exchange-coupling induced chiral symmetry breaking of spin-orbit effects

We demonstrate that the interfacial exchange coupling in ferromagnetic/antiferromagnetic (FM/AFM) systems induces symmetry breaking of the spin-orbit (SO) effects. This has been done by studying the field and angle dependencies of anisotropic magnetoresistance and vectorial-resolved magnetization hysteresis loops, measured simultaneously and reproduced with numerical simulations. We show how the induced unidirectional magnetic anisotropy at the FM/AFM interface results in strong asymmetric transport behaviors, which are chiral around the magnetization hard-axis direction. Similar asymmetric features are anticipated in other SO-driven phenomenaThis work was supported in part by the Spanish MINECO through Projects No. MAT2012-39308, No. FIS2013-40667-P, No. MAT2011-25598, and No. MAT2014-52477-C5-3-P, and by the Comunidad de Madrid through Project No. S2013/MIT-2850 (NANOFRONTMAG-CM). P.P. and A.B. acknowledge support through the Marie Curie AMAROUT EU Programme, and through MINECO “Juan de la Cierva” (JCI-2011-09602) and “Ramón y Cajal” contract