Macro, industry and frailty effects in defaults: The 2008 credit crisis in perspective

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Outlier robust unit root analysis

This book focuses on statistical methods for discriminating between competing models for the long-run behavior of economic time series. Traditional methods that are used in this context are sensitive to outliers in the data. Therefore, this book considers alternative methods that take into account the possibility that not all observations are generated by the postulated model. These methods are called outlier robust. The basic principle underlying outlier robust methods is that discordant observations are downweighted automatically. The use of weights has important consequences for the statistical properties of the methods discussed. These consequences are studied by means of asymptotic theory, Monte-Carlo simulations, and empirical illustrations. Based on the results of this study, it is argued that outlier robust methods provide useful tools for applied researchers as the methods disclose valuable additional information about the long-run behavior of economic processes

A note on the relationship between GARCH and symmetric stable processes

This note provides some explanations and extensions for the interesting results in Ghose and Kroner (1995). Specifically, we address the following points: (1) It is shown that the stable distribution and the stationary ARCH distributions are partially nested with respect to their tail shapes; (2) A novel interpretation of the McCulloch estimator is developed from the vantage point of extreme value theory; (3) This interpretation not only explains the apparent bias in some of the reported estimates, but it also helps in remedying the problem. Taken together, all three points reinforce the main conclusion of Ghose and Kroner

Stock Selection, Style Rotation, and Risk

Using US data from June 1984 to July 1999, we show that the impact of firm-specific characteristics like size and book-to-price on future excess stock returns varies considerably over time. The impact can be either positive or negative at different times. This time variation is partially predictable. We investigate whether the partial predictability signals security mispricing or risk compensation by formulating alternative modeling strategies. The strategies are compared empirically, In particular, we allow for a state-dependent choice of investment styles rather than a once-and-for-all choice for a particular style, for example based on high book-to-price ratios or small market cap values. Using alternative ways to correct for risk, we find significant and robust excess returns to style rotating investment strategies. Business cycle oriented approaches exhibit the best overall performance. Purely statistical models for style rotation or fixed investment styles reveal less robust behavior

One-note samba: the biogeographical history of the relict Brazilian butterfly Elkalyce cogina

[Aim] Biogeographically puzzling taxa represent an opportunity to understand the processes that have shaped current species distributions. The systematic placement and biogeographical history of Elkalyce cogina, a small lycaenid butterfly endemic to Brazil and neighbouring Argentina, are long-standing puzzles. We use molecular tools and novel biogeographical and life history data to clarify the taxonomy and distribution of this butterfly.[Location] South America, with emphasis on the Atlantic Rain Forest and Cerrado biomes (Brazil and Argentina).[Methods] We gathered a data set of 71 Polyommatini (Lycaenidae) samples, including representatives of all described subtribes and/or sections. Among these, we contributed new sequences for E. cogina and four additional relevant taxa in the target subtribes Everina, Lycaenopsina and Polyommatina. We inferred a molecular phylogeny based on three mitochondrial genes and four nuclear markers to assess the systematic position and time of divergence of E. cogina. Ancestral geographical ranges were estimated with the R package BioGeoBEARS. To investigate heterogeneity in clade diversification rates, we used Bayesian analysis of macroevolutionary mixtures (bamm).[Results] Our results confirm the hypothesis that E. cogina belongs to the subtribe Everina and not Lycaenopsina, but unexpectedly recovered it as the sister group to the rest of Everina, with an estimated divergence time of approximately 10 Ma. Ancestral geographical range reconstruction points to an old colonization from Asia, the centre of diversity for the Everina, to the New World. The Neotropical Polyommatina lineage diversified to produce almost 100 species in multiple genera, whereas the E. cogina lineage did not diversify at all. Such lack of diversification is unique among the seven Everina/Polyommatina lineages that colonized the New World. We also show that the larvae of E. cogina feed on Fabaceae, supporting the identification of this host-plant family as the ancestral state for the whole group.[Main conclusions] The age and biogeographical reconstruction of the Elkalyce lineage are similar to those of the Neotropical lineage of Polyommatina and suggest that both travelled via the route proposed by Vladimir Nabokov (Asia-Beringia-North America-South America). This coincidence suggests that the climatic conditions at c. 10 Ma favoured dispersal from Asia to the Neotropics and that later events may have erased traces of these butterfly lineages in North America.Funding was provided by the Spanish Ministerio de Economía y Competitividad (project CGL2013-48277-P). G.T. is supported by the grant BP-A00275 (AGAUR-Generalitat de Catalunya), Marie Curie Actions FP7-PEOPLE-2013-IOF (project 622716) and the grant 1.50.1617.2013 at Saint Petersburg State University; L.A.K. was supported by CAPES (3200-14-0); A.V.L.F. thanks ICMBio for research permits (SISBIO no. 10802-5), CNPq (fellowship 302585/2011-7 and grant 564954/2010-1), RedeLep-SISBIOTA-Brasil/CNPq (563332/2010-7), the National Science Foundation (DEB-1256742), BR-BoL (MCT/CNPq/FNDCT 50/2010) and FAPESP (grant 2012/50260-6 and BIOTA-FAPESP Programs 2011/50225-3 and 2013/50297-0).Peer Reviewe

Forecasting Cross-Sections of Frailty-Correlated Default

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk factors. All factors are statistically and economically significant and together capture a large part of the time-variation in observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default probabilities by about 10-35 % in terms of Mean Absolute Error, particularly in years of default stress

On the performance of the intermediate Hamiltonian Fock-space coupled-cluster method on linear triatomic molecules: The electronic spectra of NpO2+, NpO22+, and Pu O22

International audienceIn this paper we explore the use of the novel relativistic intermediate Hamiltonian Fock-space coupled-cluster method in the calculation of the electronic spectrum for small actinyl ions (NpO2+, NpO22+, and PuO22+). It is established that the method, in combination with uncontracted double-zeta quality basis sets, yields excitation energies in good agreement with experimental values, and better than those obtained previously with other theoretical methods. We propose the reassignment of some of the peaks that were observed experimentally, and confirm other assignments

Momentum distribution of Vinen turbulence in trapped atomic Bose-Einstein condensates

The decay of multicharged vortices in trapped Bose-Einstein condensates may lead to a disordered vortex state consistent with the Vinen regime of turbulence, characterized by an absence of large-scale flow and an incompressible kinetic energy spectrum $E\propto k^{-1}$. In this work, we study numerically the dynamics of a three-dimensional harmonically trapped Bose-Einstein condensate excited to a Vinen regime of turbulence through the decay of two doubly-charged vortices. First, we study the momentum distribution and observe the emergence of a power-law behavior $n(k)\propto k^{-3}$ consistent with the coexistence of wave turbulence. We also study the kinetic energy and particle fluxes, which allows us to identify a direct particle cascade associated with the turbulent stage.Comment: 5 pages, 2 figure