Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis

Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail too many parameters.In general, the interaction between model parametrization of the second conditional moment and the conditional density of asset returns adopted in the estimation determines the fitting of such models to the observed dynamics of the data. This paper aims to evaluate the interactions between conditional second moment specifications and probability distributions adopted in the likelihood computation, in forecasting volatilities and covolatilities. We measure the relative performances of alternative conditional second moment and probability distributions specifications by means of Monte Carlo simulations, using both statistical and financial forecasting loss functions.Multivariate GARCH models; Model uncertainty; Quasi-maximum likelihood; Monte Carlo methods

Euro corporate bonds risk factors

This paper investigates the determinants of credit spread changes in Euro-denominated bonds. Because credit spread changes can be easily viewed as an excess return on corporate bonds over treasury bonds, we adopt a factor model framework, inspired by the credit risk structural approach. We try to assess the relative importance of market and idiosyncratic factors in explaining the movements in credit spreads. We adopt a heterogeneous panel with a multifactor error model and propose a two-step estimation procedure which yields consistent estimates of unobserved factors. The analysis is carried out with a panel of monthly redemption yields on a set of corporate bonds for a time span of three years. Our results suggest that the Euro corporate market is driven by observable and unobservable factors. Where the latter are identified through a consistent estimation of individual and common observable effects. We observe that the factors predicted by the structural model are not as relevant as in the case of the US market. The empirical results also suggest that an unobserved common factor has a significant role in explaining the systematic changes in credit spreads. However, contrary to the American evidence, it cannot be identified as a market factor.Euro Corporate Bonds; Cross Section Dependence; Common Correlated Effects; Yield Curve

Validation of ankle strength measurements by means of a hand-held dynamometer in adult healthy subjects

Uniaxial Hand-Held Dynamometer (HHD) is a low-cost device widely adopted in clinical practice to measure muscle force. HHD measurements depend on operator’s ability and joint movements. The aim of the work is to validate the use of a commercial HHD in both dorsiflexion and plantarflexion ankle strength measurements quantifying the effects of HHD misplacements and unwanted foot’s movements on the measurements. We used an optoelectronic system and a multicomponent load cell to quantify the sources of error in the manual assessment of the ankle strength due to both the operator’s ability to hold still the HHD and the transversal components of the exerted force that are usually neglected in clinical routine. Results showed that foot’s movements and angular misplacements of HHD on sagittal and horizontal planes were relevant sources of inaccuracy on the strength assessment. Moreover, ankle dorsiflexion and plantarflexion force measurements presented an inaccuracy less than 2% and higher than 10%, respectively. In conclusion, the manual use of a uniaxial HHD is not recommend ed for the assessment of ankle plantarflexion strength; on the contrary, it can be allowed asking the operator to pay strong attention to the HHD positioning in ankle dorsiflexion strength measurements

Univariate GARCH models: a survey (in Russian)

This article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and testing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are discussed.

Efficient Importance Sampling Maximum Likelihood Estimation of Stochastic Differential Equations

This paper considers ML estimation of a diffusion process observed discretely. Since the exact loglikelihood is generally not available, it must be approximated. We review the most efficient approaches in the literature, and point to some drawbacks. We propose to approximate the loglikelihood using the EIS strategy (Richard and Zhang, 1998), and detail its implementation for univariate homogeneous processes. Some Monte Carlo experiments evaluate its performance against an alternative IS strategy (Durham and Gallant, 2002), showing that EIS is at least equivalent, if not superior, while allowing a greater flexibility needed when examining more complicated models

Financial integration estimation with realized measures

The objective of this study is to provide a new evidence on time-varying equity market integration, employing alternative econometric specifications of the conditional covariance process. Differently from the current literature on the topic, we specify alternative econometric models for the conditional covariance of stock indexes which include as a measure of past variability the monthly realized covariances. We analyze the degree of integration with the rest of the world of European equity markets and its variation through time. We cast our analysis in the framework provided with by the International Asset Pricing Model (IAPM). This model accommodates the evolving market structure from segmentation to integration as well as intermediate cases, depending on the existence of barriers to investments and the availability of substitute assets. Our analysis provides evidence that in recent years most of European Markets become more integrated with the world market. The local risk factor does not seem to be a determinant factor in the European markets, in the sample period considered. Its contribution to the total time-varying risk premium is only marginal.JRC.B.1-Finance and Econom

Fish, Sternoptychidae, Maurolicus stehmanni Parin & Kobyliansky, 1993: occurrence and distribution in south and southeastern Brazilian waters

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Primeros registros de mosquitos (Diptera: Culicidae) de la provincia de Misiones, Argentina

The following species represent first records for Argentina: Culex (Anoedioporpa) canaanensis Lane & Withman, Culex (Anoedioporpa) originator Gordon & Evans, Culex (Culex) declarator Dyar & Knab, Culex (Melanoconion) ribeirensis Forattini & Sallum, Culex (Microculex) neglectus Lutz, Culex (Microculex) pleuristriatus Theobald, Orthopodomyia fascipes (Coquillett) and Wyeomyia (Wyeomyia) medioalbipes Lutz. The species Anopheles (Nyssorhynchus) guarani Shannon and Ochlerotatus (Ochlerotatus) rhyacophilus (Da Costa Lima), recorded for Argentina, were recently resurrected from the synonymy of Anopheles (Nyssorhynchus) lutzii Cruz and Ochlerotatus (Ochlerotatus) scapularis (Rondani). The following species represent the first report for Misiones Province: Anopheles (Anopheles) neomaculipalpus Curry, Coquillettidia (Rhynchotaenia) fasciolata (Lynch Arribálzaga), Culex (Culex) acharistus Root, Culex (Culex) tatoi Casal & García, Culex (Culex) usquatus Dyar. With these new records the number of mosquito species for Misiones Province increases to 189 while for Argentina to 242.Las siguientes especies representan el primer registro de la Argentina: Culex (Anoedioporpa) canaanensis Lane & Withman, Culex (Anoedioporpa) originator Gordon & Evans, Culex (Culex) declarator Dyar & Knab, Culex (Melanoconion) ribeirensis Forattini & Sallum, Culex (Microculex) neglectus Lutz, Culex (Microculex) pleuristriatus Lutz, Orthopodomyia fascipes Coquillett y Wyeomyia (Wyeomyia) medioalbipes Lutz. Las especies Anopheles (Nyssorhynchus) guarani Shannon y Ochlerotatus (Ochlerotatus) rhyacophilus (Da Costa Lima) fueron recientemente rescatadas de la sinonimia de Anopheles (Nyssorhynchus) lutzii Cruz y Ochlerotatus (Ochlerotatus) scapularis (Rondani). Las siguientes especies corresponden a nuevos registros de la provincia de Misiones: Anopheles (Anopheles) neomaculipalpus Curry, Coquillettidia (Rhynchotaenia) fasciolata (Lynch Arribalzaga), Culex (Culex) acharistus Root, Culex (Culex) tatoi Casal & García, Culex (Culex) usquatus Dyar y Toxorhynchites (Lynchiella) guadeloupensis (Dyar & Knab). Con estos nuevos registros el número de especies citadas se eleva a 189 de la provincia de Misiones y 242 de Argentina.Fil: Rossi, Gustavo Carlos. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico La Plata. Centro de Estudios Parasitológicos y de Vectores (i); ArgentinaFil: Lestani, Eduardo Ariel. Ministerio de Salud. Instituto Nacional de Medicina Tropical; Argentin

starvars: An R Package for Analysing Nonlinearities in Multivariate Time Series

Although linear autoregressive models are useful to practitioners in different fields, often a nonlinear specification would be more appropriate in time series analysis. In general, there are many alternative approaches to nonlinearity modelling, one consists in assuming multiple regimes. Among the possible specifications that account for regime changes in the multivariate framework, smooth transition models are the most general, since they nest both linear and threshold autoregressive models. This paper introduces the starvars package which estimates and predicts the Vector Logistic Smooth Transition model in a very general setting which also includes predetermined variables. In comparison to the existing R packages, starvars offers the estimation of the Vector Smooth Transition model both by maximum likelihood and nonlinear least squares. The package allows also to test for nonlinearity in a multivariate setting and detect the presence of common breaks. Furthermore, the package computes multi-step-ahead forecasts. Finally, an illustration with financial time series is provided to show its usage