Regime-Switching Stochastic Volatility and Short-Term Interest Rates.

In this paper, we introduce regime-switching in a two-factor stochastic volatility model to explain the behavior of short-term interest rates. The regime-switching stochastic volatility (RSV) process for interest rates is able to capture all possible exogenous shocks that could be either discrete, as occurring from possible changes in the underlying regime, or continuous in the form of `market-news' events. We estimate the model using a Gibbs Sampling based Markov Chain Monte Carlo algorithm that is robust to complex nonlinearities in the likelihood function. We compare the performance of our RSV model with the performance of other GARCH and stochastic volatility two-factor models. We evaluate all models with several in-sample and out-of-sample measures. Overall, our results show a superior performance of the RSV two-factor model.Short-term interest rates, stochastic volatility, regime switching, MCMC methods.

On Geometric Ergodicity of Skewed - SVCHARME models

Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by hidden Markov Chain with switching

Not just a pretty picture: Mapping Leaf Area Index at 10 m resolution using Sentinel-2

Achieving the Global Climate Observing System goal of 10 m resolution leaf area index (LAI) maps is critical for applications related to climate adaptation, sustainable agriculture, and ecosystem monitoring. Five strategies for producing 10 m LAI maps from Sentinel-2 (S2) imagery are evaluated: i. bi-cubic interpolation of 20 m resolution S2 LAI maps from the Simplified Level 2 Prototype Processor Version 1 (SL2PV1) as currently performed by the Sentinel Applications Platform (SNAP), ii. applying SL2PV1 to S2 reflectance bands spatially downscaled to 10 m using bi-cubic interpolation (BICUBIC), iii. Applying SL2PV1 to S2 reflectance bands spatially downscaled to 10 m using Area to Point Regression Kriging (ATPRK), iv. using a recalibrated version of SL2PV1 (SL2PV2) requiring only three S2 10m bands, and iv) a novel use of the previously developed Active Learning Regularization (ALR) approach to locally approximate the SL2PV1 algorithm using only 10 m bands. Algorithms were assessed in terms of per-pixel accuracy and spatial metrics when comparing 10 m LAI maps produced using either actual S2 imagery or S2 imagery synthesized from airborne hyperspectral imagery to reference 10 m LAI maps traceable to in-situ fiducial reference measurements at 10 sites across the continental US. ATPRK and ALR algorithms had the lowest precision error of ~0.15 LAI, compared to 0.19 LAI for SNAP and BICUBIC and 0.35 LAI for SL2PV2, and ranked highest in terms of local correlation and Structural Similarity Index measure as well as qualitative agreement with reference maps. SL2PV2 LAI showed evidence of saturation over forests related to decreased sensitivity of input visible reflectance. All algorithms had a similar uncertainty of ~0.55 LAI compared to traceable reference maps, due to the trade-off between bias and precision. However, ATPRK and ALR uncertainty reduced to 0.11 LAI and 0.16 LAI, respectively, when compared to reference maps that ignored canopy clumping. These results suggest that both ATPRK and ALR are suitable for producing 10 m S2 LAI maps assuming bias due to local clumping can be corrected in the underlying SL2PV1 algorithm

Cross-listing and the long-term performance of ADRs: Revisiting European evidence

In this paper, we examine several cross-listing theories employing a sample of over 250 European ADRs representing 19 countries during the 1970-2002 period. We find that, first, though both Levels II and III listings underperform over the 3 years subsequent to the US listing, the determinants of long-term performance are significantly different for the non-IPO and IPO firms. Second, there is a strong support for investor recognition in the non-IPO sample, for window-of-opportunity in the IPO sample, and for bonding in both samples, but little support for the market segmentation hypothesis. Overall, our results support the notion that different cross-listing theories are complementary and not mutually exclusive, in explaining the long-term performance.Long-run stock performance US listings European ADRs Capital raising ADRs Initial public offerings