A multivariate generalized independent factor GARCH model with an application to financial stock returns

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs). This model applies independent component analysis (ICA) to search the conditionally heteroskedastic latent factors. We will use two ICA approaches to estimate the ICs. The first one estimates the components maximizing their non-gaussianity, and the second one exploits the temporal structure of the data. After estimating the ICs, we fit an univariate GARCH model to the volatility of each IC. Thus, the GICA-GARCH reduces the complexity to estimate a multivariate GARCH model by transforming it into a small number of univariate volatility models. We report some simulation experiments to show the ability of ICA to discover leading factors in a multivariate vector of financial data. An empirical application to the Madrid stock market will be presented, where we compare the forecasting accuracy of the GICA-GARCH model versus the orthogonal GARCH one

A multivariate generalized independent factor GARCH model with an application to financial stock returns

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs). This model applies independent component analysis (ICA) to search the conditionally heteroskedastic latent factors. We will use two ICA approaches to estimate the ICs. The first one estimates the components maximizing their non-gaussianity, and the second one exploits the temporal structure of the data. After estimating the ICs, we fit an univariate GARCH model to the volatility of each IC. Thus, the GICA-GARCH reduces the complexity to estimate a multivariate GARCH model by transforming it into a small number of univariate volatility models. We report some simulation experiments to show the ability of ICA to discover leading factors in a multivariate vector of financial data. An empirical application to the Madrid stock market will be presented, where we compare the forecasting accuracy of the GICA-GARCH model versus the orthogonal GARCH one.ICA, Multivariate GARCH, Factor models, Forecasting volatility

Exploring ICA for time series decomposition

In this paper, we apply independent component analysis (ICA) for prediction and signal extraction in multivariate time series data. We compare the performance of three different ICA procedures, JADE, SOBI, and FOTBI that estimate the components exploiting either the non-Gaussianity, or the temporal structure of the data, or combining both, non-Gaussianity as well as temporal dependence. Some Monte Carlo simulation experiments are carried out to investigate the performance of these algorithms in order to extract components such as trend, cycle, and seasonal components. Moreover, we empirically test the performance of those three ICA procedures on capturing the dynamic relationships among the industrial production index (IPI) time series of four European countries. We also compare the accuracy of the IPI time series forecasts using a few JADE, SOBI, and FOTBI components, at different time horizons. According to the results, FOTBI seems to be a good starting point for automatic time series signal extraction procedures, and it also provides quite accurate forecasts for the IPIs.ICA, Signal extraction, Multivariate time series, Forecasting

Learning for Parallel Virtual Urban Workshop: An Innovate Method for Teaching Planning

Since 2012 a Parallel Virtual Urban Workshop (PVW) has been developed at the Department of Urban and Regional Planning (School of Architecture of Madrid, UPM). It was created by a group of professors in the framework of the Postgraduate Program. In 2014 this project became a consolidated Group of Educational Innovation called Urban Net-Working Workshop supported by the Universidad Politecnica de Madrid (UNWW-UPM). The initial targets of this workshop were: (i) improving international cooperation among academic institutions based on a virtual network, (ii) the implementation of a quasi-professional practice approach on urban regeneration projects and (iii) the development of a comprehensive methodology to manage complex urban issues in diverse urban contexts. Up until today, there have been five workshops: in 2012, a joint workshop between UPM (Madrid) and MIT (Boston); in 2013 and 2014, a collaborative workshop between UPM (Madrid) and UCL (London); in 2015, between UPM (Madrid) and KNG (London); currently, a parallel workshop is in progress between UPM (Madrid) and AF (Zagreb). Even though, every edition of the Urban Parallel Workshop has been rather unique, it can be asserted that initial targets have been overcome throughout successive workshops. ITCs and digitals tools have been gradually incorporated

Exploring ICA for time series decomposition

In this paper, we apply independent component analysis (ICA) for prediction and signal extraction in multivariate time series data. We compare the performance of three different ICA procedures, JADE, SOBI, and FOTBI that estimate the components exploiting either the non-Gaussianity, or the temporal structure of the data, or combining both, non-Gaussianity as well as temporal dependence. Some Monte Carlo simulation experiments are carried out to investigate the performance of these algorithms in order to extract components such as trend, cycle, and seasonal components. Moreover, we empirically test the performance of those three ICA procedures on capturing the dynamic relationships among the industrial production index (IPI) time series of four European countries. We also compare the accuracy of the IPI time series forecasts using a few JADE, SOBI, and FOTBI components, at different time horizons. According to the results, FOTBI seems to be a good starting point for automatic time series signal extraction procedures, and it also provides quite accurate forecasts for the IPIs

VIRGEN DEL ROSARIO CON SAN MIGUEL Y SAN JERÓNIMO: LA IMAGEN DE SAN MIGUEL ARCÁNGEL

La obra Virgen del Rosario con San Miguel y San Jerónimo fue intervenida en la asignatura Proyectos II; quedando la imagen de San Miguel sin reintegrar, convirtiéndose en obejto de investigación, profundizando en su iconografía, buscando modelos angélicos en la Comunidad Valenciana para abordar una correcta propuesta de reintegración.González García, LE. (2009). VIRGEN DEL ROSARIO CON SAN MIGUEL Y SAN JERÓNIMO: LA IMAGEN DE SAN MIGUEL ARCÁNGEL. http://hdl.handle.net/10251/14312Archivo delegad

Tejiendo redes desde la universidad al aula: creación de recursos didácticos para trabajar las Ciencias de la Naturaleza en Educación Infantil

Con el objetivo de que nuestros estudiantes del Grado de Magisterio en Educación Infantil (EI) trabajen de manera globalizada, en conexión con la realidad del aula y siguiendo la metodología de Aprendizaje y Servicio (ApS), se ha diseñado una propuesta didáctica donde han estado involucradas 2 asignaturas obligatorias del Grado, 2 centros sociolaborales y 11 centros escolares. De manera que los futuros/as maestros/as tienen que: 1) elaborar materiales y recursos para trabajar las Ciencias en las aulas de EI junto con los alumnos de los centros sociolaborales; 2) diseñar actividades experimentales de Ciencias utilizando esos recursos y 3) implementar y evaluar sus acciones en el aula. La experiencia ha permitido a los estudiantes aprender a diseñar actividades para trabajar las Ciencias de forma global en EI, a colaborar y coordinarse con la escuela y con los centro sociolaborales y, en algunos casos, ha supuesto una transformación personal y social

The use of two-point Taylor expansions in singular one-dimensional boundary value problems I

We consider the second-order linear differential equation (x + 1)y′′ + f(x)y′ + g(x)y = h(x) in the interval (−1, 1) with initial conditions or boundary conditions (Dirichlet, Neumann or mixed Dirichlet-Neumann). The functions f(x), g(x) and h(x) are analytic in a Cassini disk Dr with foci at x = ±1 containing the interval [−1, 1]. Then, the end point of the interval x = −1 may be a regular singular point of the differential equation. The two-point Taylor expansion of the solution y(x) at the end points ±1 is used to study the space of analytic solutions in Dr of the differential equation, and to give a criterion for the existence and uniqueness of analytic solutions of the boundary value problem. This method is constructive and provides the two-point Taylor approximation of the analytic solutions when they exist.The Ministerio de Economía y Competitividad (REF. MTM2014-52859-P) is acknowledged by its financial support