101 research outputs found
Comments on: space-time wind speed forecasting for improved power system dispatch
Peer ReviewedPostprint (published version
Contagion between United States and european markets during the recent crises
The main objective of this paper is to detect the existence of financial contagion between the North American and European markets during the recent crises. To accomplish this, the relationships between the US and the Euro zone stock markets are considered, taking the daily equity prices of the Standard and Poor’s 500 as representative of the United States market and for the European market, the five most representative indexes. Time Series Factor Analysis (TSFA) procedure has allowed concentrating the information of the European indexes into a unique factor, which captures the underlying structure of the European return series. The relationship between the European factor and the US stock return series has been analyzed by means of the dynamic conditional correlation model (DCC). Once the DCC is estimated, the contagion between both markets is analyzed. Finally, in order to explain the sudden changes in dynamic US-EU correlation, a Markov switching model is fitted, using as input variables the macroeconomic ones associated with the monetary policies of the US as well as those related to uncertainty in the markets. The results show that there was contagion between the United States and European markets in the Subprime and Global Financial crises. The two-regime Markov switching model has helped to explain the variability of the pair-wise correlation. The first regime contains mostly the financially stable periods, and the dynamic correlations in this regime are explained by macroeconomic variables and other related with monetary policies in Europe and US. The second regime is explained mainly by the Federal Funds rate and the evolution of the Euro/US Exchange rate.Peer ReviewedPostprint (published version
E-status: a web tool for learning by doing exercises
The paper introduces the project led by a team of teachers to assist students learn statistics. The goal is to build a tool able to present mathematical problems and to correct the students´ answers. The problems may include random data, so the solution cannot be previously known (if solved before) and the student can reconsider it if necessary. Pedagogical implications are commented, since the method can be effective on the basic and middle domains of learning, as well as on higher levels, specially if careful design of the problems is applied.Postprint (published version
Threshold volatility models: forecasting performance
The aim of this paper is to compare the forecasting performance of competing
volatility models, in order to capture the asymmetric effect in the volatility.
We focus on examining the relative out-of-sample forecasting ability of the models
(SETAR-TGARCH and SETAR-THSV), which contain the introduction of regimes
based on thresholds in the mean equation and volatility equation, compared to the
GARCH model and SV model. For each model, we consider two cases: Gaussian and
t-Student measurement noise distribution. An important problem when evaluating
the predictive ability of volatility models is that the “true” underlying process is
not observable and thus a proxy must be defined for the unobservable volatility. To
attain our proposal, the proxy volatility measure and the loss function must also be
decided to ensure a correct ranking of models.
Our empirical application suggests the following results: when time series include
leverage effects on the mean, the introduction of threshold in the mean and variance
equations produces more accurate predictions. If the leverage in the mean is not
important, then the SVt is flexible enough to beat the threshold models.Peer ReviewedPostprint (published version
Threshold volatily models: forecasting performance
The aim of this paper is to compare the forecasting performance of competing
volatility models, in order to capture the asymmetric effect in the volatility.
We focus on examining the relative out-of-sample forecasting ability of the models
(SETAR-TGARCH and SETAR-THSV), which contain the introduction of regimes based on thresholds in the mean equation and volatility equation, compared to the GARCH model and SV model. For each model, we consider two cases: Gaussian and t-Student measurement noise distribution. An important problem when evaluating the predictive ability of volatility models is that the “true” underlying process is not observable and thus a proxy must be defined for the unobservable volatility. To attain our proposal, the proxy volatility measure and the loss function must also be decided to ensure a correct ranking of models.
Our empirical application suggests the following results: when time series include
leverage effects on the mean, the introduction of threshold in the mean and variance equations produces more accurate predictions. If the leverage in the mean is not important, then the SVt is flexible enough to beat the threshold models.Postprint (published version
Improving electricity market price scenarios by means of forecasting factor models
In liberalized electricity markets, generation Companies must build an hourly bid
that is sent to the market operator. The price at which the energy will be paid is unknown during the bidding process and has to be forecast. In this work we apply forecasting factor models to this framework and study its suitability
A web-based learning tool improves student performance in statistics: a randomized masked trial
Background: e-status is a web-based tool able to generate different statistical exercises and to provide immediate feedback to students’ answers. Although the use of Information and Communication Technologies
(ICTs) is becoming widespread in undergraduate education, there are few experimental studies evaluating its effects on learning.
Method: All of the students (121) from an introductory course for statistics in dentistry were randomly assigned to use the tool with one of two 6-problem sets, known as types A and B. The primary endpoint was the grade difference obtained in the final exam, composed of two blocks of questions related to types A and B. The exam evaluator was masked to the intervention group.
Results: We found that the effect of e-status on the student grade was an improvement of 0.48 points(95% CI:0.10-0.86) on a ten-point scale. Among the 94 students who actually employed e-status, the effect size was 0.63 (95% CI: 0.17-1.10).
Conclusions: It is feasible to formally assess the learning effect of an innovative tool. Providing e-status exercises to students has a direct effect on learning numerical operations related to statistics. Further effects on higher cognitive levels still have to be explored.Postprint (published version
E-status: entorno web para la generación y resolución de problemas numéricos
Se presenta un sistema basado en plataformas web que pretende ayudar a los estudiantes a aprender estadística mediante la generación de problemas individualizados de tipo numérico con corrección instantánea. Como los problemas incluyen parámetros aleatorios, la solución no puede ser conocida de antemano. De esta manera, el estudiante puede insistir en el mismo problema para perfeccionar y asentar su nivel de conocimiento. Además, el empleo de tecnologías de la información y las comunicaciones permite almacenar un perfil completo para cada estudiante. Esto supone:
1) realimentar (dar “feedback”) al alumno, evaluando inmediatamente su trabajo,
2) proporcionarle un historial de los problemas abordados y sus resultados,
3) informar al profesor, también inmediatamente, del progreso de sus estudiantes.
E-status está planteado como una herramienta para fomentar el aprendizaje activo (e interactivo) por parte del estudiante, facilitando el seguimiento por parte del profesor de su trabajo no presencial. De esta manera, e-status cubre la autoevaluación, la realimentación y el control efectivo del trabajo desarrollado por el estudiante, al mismo tiempo que le familiariza en el empleo de las TICs, abarcando de esta manera cuatro de las áreas prioritarias en el futuro Espacio Europeo de Enseñanza Superior (EEES)
UN ANÁLISIS DE LOS POSIBLES DETERMINANTES DE LA ASIMETRÍA DE LAS FLUCTUACIONES CÍCLICAS ENTRE LOS NUEVOS MIEMBROS DE LA UE Y LA ZONA EURO
El trabajo analiza las fluctuaciones cíclicas de los nuevos miembros de
la UE (PECES) en relación con las de la zona euro. El principal objetivo es
averiguar si en las etapas iniciales de la liberalización del comercio e integración
europea (2004-2006) los mejores resultados en la correlación de los ciclos
entre los PECES y la zona euro se corresponden con los mejores resultados
en las variables que según la literatura, muestran una relación más robusta
con la simetría de las perturbaciones sobre la producción. Los resultados
muestran que en general, la sincronización en los ciclos viene unida a una
mayor intensidad comercial, especialmente de carácter intra-industrial, una
menor especialización productiva, y una mayor coordinación en las principales
políticas macroeconómicas.Peer ReviewedPostprint (published version
The impact of immigration and vaccination in reducing the incidence of hepatitis B in Catalonia (Spain)
Background
The Hepatitis B virus (HBV) infection is a major cause of liver disease and liver cancer worldwide according to the World Health Organization. Following acute HBV infection, 1-5% of infected healthy adults and up to 90% of infected infants become chronic carriers and have an increased risk of cirrhosis and primary hepatocellular carcinoma. The aim of this study was to investigate the relationship between the reduction in acute hepatitis B incidence and the universal vaccination programme in preadolescents in Catalonia (Spain), taking population changes into account, and to construct a model to forecast the future incidence of cases that permits the best preventive strategy to be adopted.
Methods
Reported acute hepatitis B incidence in Catalonia according to age, gender, vaccination coverage, percentage of immigrants and the year of report of cases was analysed. A statistical analysis was made using three models: generalized linear models (GLM) with Poisson or negative binomial distribution and a generalized additive model (GAM).
Results
The higher the vaccination coverage, the lower the reported incidence of hepatitis B (p 70%, the reduction in incidence was 2-fold higher than in groups with a coverage <70% (p <0.01). The increase in incidence was significantly-higher in groups with a high percentage of immigrants and more than 15% (p <0.01) in immigrant males of working age (19-49 years).
Conclusions
The results of the adjusted models in this study confirm that the global incidence of hepatitis B has declined in Catalonia after the introduction of the universal preadolescent vaccination programme, but the incidence increased in male immigrants of working age. Given the potential severity of hepatitis B for the health of individuals and for the community, universal vaccination programmes should continue and programmes in risk groups, especially immigrants, should be strengthened.Postprint (published version
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