Time-varying integration, the euro and international diversification strategy

This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures to vary with both structural changes and temporary fluctuations in the economic and financial environment. First, we find that globalization and integration have lead to a gradual convergence of country to industry betas, especially in Europe. Second, not accounting for time-varying factor exposures leads to substantial biases in measures of country and industry risk. Third, even though the edge has structurally decreased, geographical diversification continues being superior to industry diversification.International portfolio diversification, Country versus Industry Effects, Financial integration, Idiosyncratic risk, Time-Varying Correlations, Regime-switching models, Baele, Inghelbrecht

Markovian Characterisation of H.264/SVC scalable video

In this paper, a multivariate Markovian traffic: model is proposed to characterise H.264/SVC scalable video traces. Parametrisation by a genetic algorithm results in models with a limited state space which accurately capture. both the temporal and the inter-layer correlation of the traces. A simulation study further shows that the model is capable of predicting performance of video streaming in various networking scenarios

The impact of the mortgage interest and capital deduction scheme on the Belgian mortgage market. National Bank of Belgium Working Paper No. 327

In 2005, mortgage interest, capital deductions and insurance premiums (MICPD) were assembled into one single deduction package to further stimulate home ownership in Belgium. Former research has shown that the MICPD did not raise the probability of becoming a home owner, due to its capitalisation into higher house prices. The objective of this paper is to investigate how the transmission of the capitalisation takes place. The analysis is based on data extracted from the Household Finance and Consumption Survey. The mortgage amount, the mortgage maturity, the interest rate and the house price are estimated simultaneously using a 3-SLS approach. The results suggest that the mortgage deduction does not result in more affordable housing by shortening the mortgage maturity. Most likely, the mortgage deduction results in larger amounts being borrowed, which in turn may indirectly push up house prices, the mortgage maturity and the interest rate as well. Although our estimation sample is rather small, these results suggest that the MICPD might be more beneficial for sellers and mortgage-granting institutions than for home owners

The influence of random element displacement on DOA estimates obtained with (Khatri-Rao-)root-MUSIC

Although a wide range of direction of arrival (DOA) estimation algorithms has been described for a diverse range of array configurations, no specific stochastic analysis framework has been established to assess the probability density function of the error on DOA estimates due to random errors in the array geometry. Therefore, we propose a stochastic collocation method that relies on a generalized polynomial chaos expansion to connect the statistical distribution of random position errors to the resulting distribution of the DOA estimates. We apply this technique to the conventional root-MUSIC and the Khatri-Rao-root-MUSIC methods. According to Monte-Carlo simulations, this novel approach yields a speedup by a factor of more than 100 in terms of CPU-time for a one-dimensional case and by a factor of 56 for a two-dimensional case

Macroeconomic regimes

A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. Monetary policy experiences multiple shifts with an important role in shaping macro-volatility. New estimates of the onset and demise of the Great Moderation are provided and the relative role played by macro-shocks and monetary policy is quantified. The estimated rational expectations model exhibits indeterminacy in the mean-square stability sense, mainly due to passive monetary policy

Stochastic framework for evaluating the effect of displaced antenna elements on DOA estimation

We establish a statistical framework for investigating the influence of correlated random displacements of antenna elements in a uniform circular antenna array (UCA) on the distribution of direction-of-arrival (DOA) estimates. More specifically, we apply a stochastic collocation method formodeling the sparse UCA root-MUSIC-DOA estimates as polynomial expansions of the random displacements. Compared to Monte-Carlo simulations, this approach yields a speedup of about 40 for the case of a displacement of two antenna elements