Comparing univariate and multivariate models to forecast portfolio value-at-risk

This article addresses the problem of forecasting portfolio value-at-risk (VaR) with multivariate GARCH models vis-à-vis univariate models. Existing literature has tried to answer this question by analyzing only small portfolios and using a testing framework not appropriate for ranking VaR models. In this work we provide a more comprehensive look at the problem of portfolio VaR forecasting by using more appropriate statistical tests of comparative predictive ability. Moreover, we compare univariate vs. multivariate VaR models in the context of diversified portfolios containing a large number of assets and also provide evidence based on Monte Carlo experiments. We conclude that, if the sample size is moderately large, multivariate models outperform univariate counterparts on an out-of-sample basis.Market risk, Backtesting, Conditional predictive ability, GARCH, Volatility, Capital requirements, Basel II

Solving multi-objective hub location problems by hybrid algorithms

In many logistic, telecommunications and computer networks, direct routing of commodities between any origin and destination is not viable due to economic and technolog- ical constraints. In that cases, a network with centralized units, known as hub facilities, and a small number of links is commonly used to connect any origin-destination pair. The purpose of these hub facilities is to consolidate, sort and transship e ciently any commodity in the network. Hub location problems (HLPs) consider the design of these networks by locating a set of hub facilities, establishing an interhub subnet, and routing the commodities through the network while optimizing some objective(s) based on the cost or service. Hub location has evolved into a rich research area, where a huge number of papers have been published since the seminal work of O'Kelly [1]. Early works were focused on analogue facility location problems, considering some assumptions to simplify network design. Recent works [2] have studied more complex models that relax some of these assumptions and in- corporate additional real-life features. In most HLPs considered in the literature, the input parameters are assumed to be known and deterministic. However, in practice, this assumption is unrealistic since there is a high uncertainty on relevant parameters, such as costs, demands or even distances. In this work, we will study the multi-objective hub location problems with uncertainty.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tec

New receivers for DS-SS in time variant multipath channels based on the PN alignment concept

We present new combined blind equalization and detection schemes for a DS-SS system. The new proposed algorithms improve the bit error rate compared to traditional RAKE receivers in time-variant channels with multipath. This improvement is obtained in both simulated and a real ionospheric HF link. Its very low computational complexity makes them suitable to be implemented in real receivers.Peer ReviewedPostprint (published version

The cyclical trend of local public service governance: evidence from urban water management in Spain

The level of public and private involvement in economic activity in societies has changed over time. One may talk about the existence of a cyclical trend in which the most important periods of public governance are replaced by periods in which private management dominates the situation. This phenomenon may also be observed in local areas. Some authors have pointed out the existence of an alternation in the provision of municipal services, resulting in periods dominated by governance compared to other stages dominated by private management. In order to illustrate this cyclical trend at local level, this paper intends to analyze the evolution of the governance of the Spanish water supply since the mid-nineteenth century to the present day. Recent evidence from the industry suggests the possibility that we may currently be witnessing a further change in the trend.: Local Government, urban water supply, privatization, municipalization

DSP-based ionospheric radiolink using DS-CDMA and on-line channel estimation

In this paper, a new blind multiuser detection algorithm is presented. It can both cancel multiuser interference and estimate the multipath channel response in a blind way. The method has been specially conceived for low coherence bandwidth channels such as the ionospheric channel and exhibits very low computational requirements. Real-time measurements from a fully digital HF radio-link are presented that confirm the reliability of the method for the ionospheric channel.Peer ReviewedPostprint (published version

Materiales calcolíticos procedentes de "La Longuera" (El Viso, Córdoba)

El norte de la provincia de Córdoba conforma un marco de enorme interés para el análisis de los primeros momentos de la metalurgia en Andalucía Occidental dada la excepcional riqueza en recursos mineros, y muy especialmente cupríferos que encierra su subsuelo. A este hecho viene a sumarse su singularidad geográfica como lugar de interrelación entre los desarrollos culturales coetáneos en el valle del Guadalquivir, Extremadura y zona occidental de la Submeseta sur. Conscientes de estos hechos, nos planteamos hace varios años un programa de investigación que, partiendo de una serie de prospecciones sistemáticas, nos permitiera una primera y sólida aproximación a la dinámica del Calcolítico en estas tierras cordobesas, labor que ya ha dado sus primeros frutos (MURILLO, 1986,1986 b, 1987) y en la que debe inscribirse el presente trabajo

Evaluation of a Bayesian Algorithm to Detect Burned Areas in the Canary Islands’ Dry Woodlands and Forests Ecoregion Using MODIS Data

Burned Area (BA) is deemed as a primary variable to understand the Earth’s climate system. Satellite remote sensing data have allowed for the development of various burned area detection algorithms that have been globally applied to and assessed in diverse ecosystems, ranging from tropical to boreal. In this paper, we present a Bayesian algorithm (BY-MODIS) that detects burned areas in a time series of Moderate Resolution Imaging Spectroradiometer (MODIS) images from 2002 to 2012 of the Canary Islands’ dry woodlands and forests ecoregion (Spain). Based on daily image products MODIS, MOD09GQ (250 m), and MOD11A1 (1 km), the surface spectral reflectance and the land surface temperature, respectively, 10 day composites were built using the maximum temperature criterion. Variables used in BY-MODIS were the Global Environment Monitoring Index (GEMI) and Burn Boreal Forest Index (BBFI), alongside the NIR spectral band, all of which refer to the previous year and the year the fire took place in. Reference polygons for the 14 fires exceeding 100 hectares and identified within the period under analysis were developed using both post-fire LANDSAT images and official information from the forest fires national database by the Ministry of Agriculture and Fisheries, Food and Environment of Spain (MAPAMA). The results obtained by BY-MODIS can be compared to those by official burned area products, MCD45A1 and MCD64A1. Despite that the best overall results correspond to MCD64A1, BY-MODIS proved to be an alternative for burned area mapping in the Canary Islands, a region with a great topographic complexity and diverse types of ecosystems. The total burned area detected by the BY-MODIS classifier was 64.9% of the MAPAMA reference data, and 78.6% according to data obtained from the LANDSAT images, with the lowest average commission error (11%) out of the three products and a correlation (R2) of 0.82. The Bayesian algorithm—originally developed to detect burned areas in North American boreal forests using AVHRR archival data Long-Term Data Record—can be successfully applied to a lower latitude forest ecosystem totally different from the boreal ecosystem and using daily time series of satellite images from MODIS with a 250 m spatial resolution, as long as a set of training areas adequately characterising the dynamics of the forest canopy affected by the fire is defined