A Range-Based Multivariate Model for Exchange Rate Volatility

In this paper we present a parsimonious multivariate model forexchange rate volatilities based on logarithmic high-low ranges ofdaily exchange rates. The multivariate stochastic volatility modeldivides the log range of each exchange rate into two independentlatent factors, which are interpreted as the underlying currencyspecific components. Due to the normality of logarithmic volatilitiesthe model can be estimated conveniently with standard Kalman filtertechniques. Our results show that our model fits the exchange ratedata quite well. Exchange rate news seems to be very currency-specificand allows us to identify which currency contributes most to bothexchange rate levels and exchange rate volatilities.exchange rates;multivariate stochastic volatility models;range-based volatility

Annuity Equivalent Wealth and the decision to subscribe private individual annuities

We model the demand for private annuities following Yaari (1965). In the line of Brown (1999) we define an Annuity Equivalent Wealth (AEW) that reflects the fact that an annuity provides a greater utility to a risk adverse individual than an actuarially equivalent lump sum. This indicator depends on the mortality risk, the level of risk aversion and the level of SS benefits. We develop Brown's approach to account for the valuation of bequests and for adverse selection on the market for annuities. We simulate this indicator on a sample of singles aged between 45 and 59 from the Patrimoine Survey (1998). Under the assumption that insurers will not propose actuarially fair premia (which may be explained by legal constraints in France), we find a strong correlation between the Annuity Equivalent Wealth and the decision to subscribe private individual annuities.annuities, self selection, dynamic programming

Retirement decision under uncertainty: the role of irreversibility

The purpose of this paper is to analyze the effect of the irreversibility of the retirement decision on labour supply after 60. According to the theory, when the retirement decision is an absorbing state, people tend to remain longer on the labour market to be able to benefit from changes in preferences or economic environment favourable to participation. Simulations performed on a sample of individuals with heterogeneous careers illustrate this result. When pensions schemes are actuarially fair, the irreversibility of the retirement decision leads to higher participation rates in the first years when retirement is allowed. Moreover labour supply around 60 increases with uncertainty. Simulations show that the impact of an increase in uncertainty on participation rates highly depends on the pension schemes. Whereas the effect is sensitive with actuarially fair systems, it is almost insignificant in the French Institutional setting where individual choices are highly constrained by the rules.Irreversibility, Retirement Decision, Pension Schemes

A Range-Based Multivariate Model for Exchange Rate Volatility

In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into two independent latent factors, which are interpreted as the underlying currency specific components. Due to the normality of logarithmic volatilities the model can be estimated conveniently with standard Kalman filter techniques. Our results show that our model fits the exchange rate data quite well. Exchange rate news seems to be very currency-specific and allows us to identify which currency contributes most to both exchange rate levels and exchange rate volatilities

VUV and X-ray coherent light with tunable polarization from single-pass free-electron lasers

Tunable polarization over a wide spectral range is a required feature of light sources employed to investigate the properties of local symmetry in both condensed and low-density matter. Among new-generation sources, free-electron lasers possess a unique combination of very attractive features, as they allow to generate powerful and coherent ultra-short optical pulses in the VUV and X-ray spectral range. However, the question remains open about the possibility to freely vary the light polarization of a free-electron laser, when the latter is operated in the so-called nonlinear harmonic-generation regime. In such configuration, one collects the harmonics of the free-electron laser fundamental emission, gaining access to the shortest possible wavelengths the device can generate. In this letter we provide the first experimental characterization of the polarization of the harmonic light produced by a free-electron laser and we demonstrate a method to obtain tunable polarization in the VUV and X-ray spectral range. Experimental results are successfully compared to those obtained using a theoretical model based on the paraxial solution of Maxwell's equations. Our findings can be expected to have a deep impact on the design and realization of experiments requiring full control of light polarization to explore the symmetry properties of matter samples

Multi-Color Imaging of Magnetic Co/Pt Multilayers

We demonstrate for the first time the realization of a spatial resolved two color, element-specific imaging experiment at the free-electron laser facility FERMI. Coherent imaging using Fourier transform holography was used to achieve direct real space access to the nanometer length scale of magnetic domains of Co/Pt heterostructures via the element-specific magnetic dichroism in the extreme ultraviolet spectral range. As a first step to implement this technique for studies of ultrafast phenomena we present the spatially resolved response of magnetic domains upon femtosecond laser excitation

Acute experimental glomerulonephritis induced by the glomerular deposition of circulating polymerid IgA-Concanavalin A complexes

The perfusion of polymeric or secretory IgA-Concanavalin A complexes into the aorta of rats led to a mannose-dependent binding of both IgA and lectin to the glomerular capillary wall, as shown by double immunolocalization experiments, by quantitative analysis of the amount of radiolabeled complexes bound per g of kidney, and by blocking experiments with the corresponding carbohydrate. Rats injected with amounts of those complexes as low as 500 ?g developed, one hour later, a focal and segmental proliferative glomerulonephritis characterized by the deposition of injected complexes and of rat C3 and rat fibrin/ fibrinogen in most glomeruli ; focal thrombosis and small areas of necrosis in 10 to 15% of glomeruli, confined to the periphery of a single lobule of the tuft and segmental infiltration of these glomeruli by polymorphonuclear leucocytes and platelets. At the same time, many mesangial cells exhibited a hyperactive appearance, and red blood cells were noted in tubular lumens. In contrast, rats similarly injected with either monomeric IgA-ConA complexes, multimeric or secretory IgA-peanut agglutinin complexes or polymeric or monomeric IgA aggregates of comparable apparent molecular weight did not develop obvious glomerular lesions within one hour. The data indicate that preformed polymeric IgA-ConA complexes can specifically bind to glomerular structures in vivo and trigger acute glomerular lesions locally, analogous to those observed in some glomerular diseases associated with a cryoglobulinemia