European sovereign bond spreads: monetary unification, market conditions and financial integration.

In this paper we examine the dynamics of European sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The finding of near-unit-root effects highlights the need for careful econometric specification. Thus we formulate sovereign bond yield spreads, for eleven EMU countries against the Bund for the period 1992:1-2009:12, as AR(1) processes, while allowing for regime switching effects, along the lines of a Markovian probabilistic specification. Specifically, by taking into account regime switching effects we examine, rather than assume, that monetary unification affected sovereign bond yield spreads, allowing for states of higher and lower interactions to be revealed. Next, we examine the effects of several exogenous explanatory variables. Our results indicate that European sovereign bonds achieved only partial integration even before the recent financial crisis, while financial integration and financial stability are found to be interconnected. Specifically, we find evidence of different effects exercised by the same deterministic factors on sovereign bond yield spreads even before the recent crisis. Additionally, it appears that a negative relation exists between low-volatility conditions and the magnitude of effects exercised by idiosyncratic risk factors on bond yield spreads.financial integration; sovereign bond spreads; near unit root; regime shifts

Improving Mobile Video Streaming with Mobility Prediction and Prefetching in Integrated Cellular-WiFi Networks

We present and evaluate a procedure that utilizes mobility and throughput prediction to prefetch video streaming data in integrated cellular and WiFi networks. The effective integration of such heterogeneous wireless technologies will be significant for supporting high performance and energy efficient video streaming in ubiquitous networking environments. Our evaluation is based on trace-driven simulation considering empirical measurements and shows how various system parameters influence the performance, in terms of the number of paused video frames and the energy consumption; these parameters include the number of video streams, the mobile, WiFi, and ADSL backhaul throughput, and the number of WiFi hotspots. Also, we assess the procedure's robustness to time and throughput variability. Finally, we present our initial prototype that implements the proposed approach.Comment: 7 pages, 15 figure

WENO schemes on arbitrary mixed-element unstructured meshes in three space dimensions

The paper extends weighted essentially non-oscillatory (WENO) methods to three dimensional mixed-element unstructured meshes, comprising tetrahedral, hexahedral, prismatic and pyramidal elements. Numerical results illustrate the convergence rates and non-oscillatory properties of the schemes for various smooth and discontinuous solutions test cases and the compressible Euler equations on various types of grids. Schemes of up to fifth order of spatial accuracy are considered

Benchmark bonds interactions under regime shifts

In the present paper we examine interactions among five benchmark ten year government bonds, namely those of the US, Germany, France, Italy and the Netherlands. Our aim is to illustrate empirically a network of interactions existing among the major bond markets of Europe and the US market taking into account shifts in the underlying stochastic processes. For this purpose, and in contrast to the rest of the relevant empirical literature, after specifying the long-run equilibrium relations we estimate the linkages between the bond markets as subject to hidden Markov chains, by applying the Markov Switching Vector Error Correction framework (MS-VECM). This formulation is found to efficiently reflect the shifts brought about by significant economic events, such as the European monetary unification. As a result we illustrate different short-run relations referring to the periods before and after monetary union. Overall, our empirical results indicate that stronger interactions between the markets of the system exist in the period after the EMU. Also, by means of a variance decomposition analysis we assess leader-follower relations which indicate that the benchmark status of bonds has changed since the introduction of the common monetary policy framework in Europe.Financial integration; bond markets; benchmarks; Markov Switching