Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach

We propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along a second dimension of maturities. This time-maturity surface reflects a complete realization of the stochastic process as an alternative to standard Kalman filtering of a limited vector of futures prices along the one-dimensional time line. Thus, the proposed methodology may use the full information from the entire surface dynamics, including links from all available maturities per period, which eventually should lead to more accurate model parameter estimates. The technique is illustrated using coal futures prices.commodity prices, spatial analysis, two-dimensional Kalman filter, energy markets, futures markets, stochastic dynamic model

A Note on Wavelet Correlation and Cointegration

In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are two different concepts even when wavelet analysis is used. It is known that statistics based on nonstationary integrated variables have non-standard asymptotic distributions. However, wavelet analysis offsets the integrating order of nonstationary series so that traditional asymptotics on stationary variables suffices to ascertain the statistical properties of wavelet-based statistics. Based on this, this note shows that wavelet correlations cannot be used as a test of cointegration

Forecasting marine spill risk along the U.S. Pacific coasts

This study analyzes historical trends and forecasts of spill risks in coastal counties along the U.S. Pacific, including Alaska and Hawaii. The method calculates spill impact, which rises with size but diminishes with age and distance from the coast. Over the past two decades, spill risks in California and Washington have increased significantly. Coastal counties in Puget Sound and San Francisco Bay have seen the highest increases, surpassing 2000 levels by 79 % and 39 %, respectively. Alaska experienced a moderate rise, while Oregon and Hawaii had smaller but noteworthy increases. Ocean currents may reduce risk by 38 % on average. Most counties are expected to experience increasing spill risks, particularly in Southern California and Southwest Washington, which could see nearly a 50 % increase by 2033 compared to present levels. These findings can help coastal zone monitoring and inform policies for protecting coastal regions, regulating marine transportation and reducing spill vulnerability.The author would like to acknowledge research funding received from UPV/EHU Econometrics Research Group (Basque Government grant IT1508-22) and EU Interreg Atlantic Area (EAPA_224/2016 MOSES). This research was conducted while the author was a visiting scholar in the Center for the Blue Economy, Middlebury Institute of International Studies @ Monterey (CA) USA. He also thanks two anonymous reviewers for their comments on an earlier version

Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets

Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number of wavelet statistics. The analysis can then be rather confusing and even frustrating since it may fail to indicate clearly the multiscale overall relationship that might exist among the variables. This paper presents two new statistical tools that help to determine the overall correlation for the whole multivariate set on a scale-by-scale basis. This is illustrated in the analysis of a multivariate set of daily Eurozone stock market returns during a recent period. Wavelet multiple correlation analysis reveals the existence of a nearly exact linear relationship for periods longer than the year, which can be interpreted as perfect integration of these Euro stock markets at the longest time scales. It also shows that small inconsistencies between Euro markets seem to be just short within-year discrepancies possibly due to the interaction of different agents with different trading horizons. On the other hand, multiple cross-correlation analysis shows that the French CAC40 may lead the rest of the Euro markets at those short time scales.UPV/EHU Econometrics Research Group, Basque Government grant GIC07/53-IT-334-07

Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach

We propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along a second dimension of maturities. This time-maturity surface reflects a complete realization of the stochastic process as an alternative to standard Kalman filtering of a limited vector of futures prices along the one-dimensional time line. Thus, the proposed methodology may use the full information from the entire surface dynamics, including links from all available maturities per period, which eventually should lead to more accurate model parameter estimates. The technique is illustrated using coal futures prices.UPV/EHU Econometrics Research Group, Basque Government grant GIC07/53-IT-334-07

Gender Dissimilarities in Human Capital Transferability of Cuban Immigrants in the US: A Clustering Quantile Regression Coefficients Approach with Consideration of Implications for Sustainability

Female participation in the labor market has been increasing over time. Despite the fact that the level of education among women has also increased considerably, the wage gap has not narrowed to the same extent. This dichotomy presents an important challenge that the United Nations Sustainable Development Goals with respect to gender inequities must address. Hispanics constitute the largest minority group in the US, totaling 60.6 million people (18.5% of the total US population in 2020). Cubans make up the third largest group of Hispanic immigrants in the US, representing 5% of workers. This paper analyzes the conditional income distribution of Cuban immigrants in the US using the clustering of effects curves (CEC) technique in a quantile regression coefficients modeling (QRCM) framework to compare the transferability of human capital between women and men. The method uses a flexible quantile regression approach and hierarchical clustering to model the effect of covariates (such as years of education, English proficiency, US citizenship status, and age at time of migration) on hourly earnings. The main conclusion drawn from the QRCM estimations was that being a woman had the strongest negative impact on earnings and was associated with lower wages in all quantiles of the distribution. CEC analysis suggested that educational attainment was included in different clusters for the two groups, which may have indicated that education did not play the same role for men and women in income distribution.The research reported here has been funded by the Econometrics Research Group (Basque Government research grant IT1359-19). It has also been partially funded by the Spanish Ministry of Science and Innovation (MCIN, Spain), Agencia Estatal de Investigación (AEI/10.13039/501100011033/) and Fondo Europeo de Desarrollo Regional (FEDER) “Una manera de hacer Europa” (I+D+i research grant PID2020-112951GB-I00). The funders played no role in the design or implementation of the research reported here, and the analysis and conclusions are the authors’ own

The influence of cultural identity on the WTP to protect natural resources: some empirical evidence

This paper shows that cultural identity may have considerable influence on the WTP to protect natural resources. The Basque Country, the region with the highest ethnic homogeneity in Europe, serves as an example to illustrate how important this issue can be in the environmental valuation of natural resources. The rationale for this influence may be found in the deep roots of the Basque culture, a culture where amalurra (mother Earth), i.e. the natural environment, has a central role, as studies from diverse disciplines such as anthropology, psychology and political science have shown. Simulated full distribution of the WTP to protect a Basque natural area using a random parameter logit model reveals that mean marginal WTP to protect its environmental attributes is approximately 60% higher if the cultural identity of the respondent is Basque. To our knowledge, this is the first application to show the influence of cultural identity on the WTP to protect natural resources. Our findings have some methodological and policy implications. On the one hand, failure to take into account cultural identitary issues could result in significantly biased results in benefit transfer applications. On the other hand, policies aimed at conservation natural resources should consider the cultural context in which they will be implemented.The authors acknowledge the financial support from the Department of Environment of the Basque Government and from the Department of Education of the Basque Government through grant IT-334-07 (UPV/EHU Econometrics Research Group)

Treatment with tocilizumab or corticosteroids for COVID-19 patients with hyperinflammatory state: a multicentre cohort study (SAM-COVID-19)

Objectives: The objective of this study was to estimate the association between tocilizumab or corticosteroids and the risk of intubation or death in patients with coronavirus disease 19 (COVID-19) with a hyperinflammatory state according to clinical and laboratory parameters. Methods: A cohort study was performed in 60 Spanish hospitals including 778 patients with COVID-19 and clinical and laboratory data indicative of a hyperinflammatory state. Treatment was mainly with tocilizumab, an intermediate-high dose of corticosteroids (IHDC), a pulse dose of corticosteroids (PDC), combination therapy, or no treatment. Primary outcome was intubation or death; follow-up was 21 days. Propensity score-adjusted estimations using Cox regression (logistic regression if needed) were calculated. Propensity scores were used as confounders, matching variables and for the inverse probability of treatment weights (IPTWs). Results: In all, 88, 117, 78 and 151 patients treated with tocilizumab, IHDC, PDC, and combination therapy, respectively, were compared with 344 untreated patients. The primary endpoint occurred in 10 (11.4%), 27 (23.1%), 12 (15.4%), 40 (25.6%) and 69 (21.1%), respectively. The IPTW-based hazard ratios (odds ratio for combination therapy) for the primary endpoint were 0.32 (95%CI 0.22-0.47; p < 0.001) for tocilizumab, 0.82 (0.71-1.30; p 0.82) for IHDC, 0.61 (0.43-0.86; p 0.006) for PDC, and 1.17 (0.86-1.58; p 0.30) for combination therapy. Other applications of the propensity score provided similar results, but were not significant for PDC. Tocilizumab was also associated with lower hazard of death alone in IPTW analysis (0.07; 0.02-0.17; p < 0.001). Conclusions: Tocilizumab might be useful in COVID-19 patients with a hyperinflammatory state and should be prioritized for randomized trials in this situatio

Clonal chromosomal mosaicism and loss of chromosome Y in elderly men increase vulnerability for SARS-CoV-2

The pandemic caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2, COVID-19) had an estimated overall case fatality ratio of 1.38% (pre-vaccination), being 53% higher in males and increasing exponentially with age. Among 9578 individuals diagnosed with COVID-19 in the SCOURGE study, we found 133 cases (1.42%) with detectable clonal mosaicism for chromosome alterations (mCA) and 226 males (5.08%) with acquired loss of chromosome Y (LOY). Individuals with clonal mosaic events (mCA and/or LOY) showed a 54% increase in the risk of COVID-19 lethality. LOY is associated with transcriptomic biomarkers of immune dysfunction, pro-coagulation activity and cardiovascular risk. Interferon-induced genes involved in the initial immune response to SARS-CoV-2 are also down-regulated in LOY. Thus, mCA and LOY underlie at least part of the sex-biased severity and mortality of COVID-19 in aging patients. Given its potential therapeutic and prognostic relevance, evaluation of clonal mosaicism should be implemented as biomarker of COVID-19 severity in elderly people. Among 9578 individuals diagnosed with COVID-19 in the SCOURGE study, individuals with clonal mosaic events (clonal mosaicism for chromosome alterations and/or loss of chromosome Y) showed an increased risk of COVID-19 lethality

Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach

We propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along a second dimension of maturities. This time-maturity surface reflects a complete realization of the stochastic process as an alternative to standard Kalman filtering of a limited vector of futures prices along the one-dimensional time line. Thus, the proposed methodology may use the full information from the entire surface dynamics, including links from all available maturities per period, which eventually should lead to more accurate model parameter estimates. The technique is illustrated using coal futures prices.UPV/EHU Econometrics Research Group, Basque Government grant GIC07/53-IT-334-07