Bootstraping financial time series

It is well known that time series of returns are characterized by volatility clustering and excess kurtosis. Therefore, when modelling the dynamic behavior of returns, inference and prediction methods, based on independent and/or Gaussian observations may be inadequate. As bootstrap methods are not, in general, based on any particular assumption on the distribution of the data, they are well suited for the analysis of returns. This paper reviews the application of bootstrap procedures for inference and prediction of financial time series. In relation to inference, bootstrap techniques have been applied to obtain the sample distribution of statistics for testing, for example, autoregressive dynamics in the conditional mean and variance, unit roots in the mean, fractional integration in volatility and the predictive ability of technical trading rules. On the other hand, bootstrap procedures have been used to estimate the distribution of returns which is of interest, for example, for Value at Risk (VaR) models or for prediction purposes. Although the application of bootstrap techniques to the empirical analysis of financial time series is very broad, there are few analytical results on the statistical properties of these techniques when applied to heteroscedastic time series. Furthermore, there are quite a few papers where the bootstrap procedures used are not adequate.Publicad

The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances

The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH models to series generated by conditionally heteroscedastic unobserved component models. Focusing on the local level model, we show that the heteroscedasticity is weaker in the ARIMA than in the local level disturbances. In certain cases, the IMA(1,1) model could even be wrongly seen as homoscedastic. Next, with regard to forecasting performance, we show that the prediction intervals based on the ARIMA model can be inappropriate as they incorporate the unit root while the intervals of the local level model can converge to the homoscedastic intervals when the heteroscedasticity appears only in the transitory noise. All the analytical results are illustrated with simulated and real time series

Improving the Performance of Low Voltage Networks by an Optimized Unbalance Operation of Three-Phase Distributed Generators

This work focuses on using the full potential of PV inverters in order to improve the efficiency of low voltage networks. More specifically, the independent per-phase control capability of PV three-phase four-wire inverters, which are able to inject different active and reactive powers in each phase, in order to reduce the system phase unbalance is considered. This new operational procedure is analyzed by raising an optimization problem which uses a very accurate modelling of European low voltage networks. The paper includes a comprehensive quantitative comparison of the proposed strategy with two state-of-the-art methodologies to highlight the obtained benefits. The achieved results evidence that the proposed independent per-phase control of three-phase PV inverters improves considerably the network performance contributing to increase the penetration of renewable energy sources.Ministerio de Economía y Competitividad ENE2017-84813-R, ENE2014-54115-

Schooling, nation building and industrialization

We consider a Gellnerian model to study the transformation of a two-region state into a nation state. Industrialization requires the elites to finance schooling. The implementation of statewide education generates a common national identity, which enables cross-regional production, while regional education does not. We show that statewide education is chosen when cross-regional production opportunities and productivity are high, especially when the same elite holds power at both geographical levels. By contrast, a dominant regional elite might prefer regional schooling, even at the loss of large cross-regional production opportunities if it is statewide dominated. The model is consistent with evidence for five European countries in 1860–1920.This work was supported by the Spanish Ministry of Economy and Competitiveness, through the Severo Ochoa Programme for Centres of Excellence in R&D (grant number SEV-2015-0563), CICYT (grant number ECO2012- 37065), and the government of CataloniaPeer reviewe

Mycobacteria-Derived Agents for the Treatment of Urological and Renal Cancers

Mycobacteria are the unique group of bacteria that are currently used in antitumoral immunotherapy. Specifically, intravesical instillation of viable cells of Mycobacterium bovis Bacillus Calmette-Guérin (BCG), after transurethral resection of non-muscle invasive bladder cancer, is the most efficacious treatment for avoiding recurrence and progression of the disease. BCG has been used for the last 35 years for bladder cancer treatment, but other mycobacteria or mycobacteria components are currently under preclinical and clinical studies for the immunotherapeutic treatment of non-invasive bladder cancer and also of other types of tumors located at the urinary system. Those are, for instance, cell wall extracts or heat-killed forms from BCG or other mycobacteria such as Mycobacterium phlei or Mycobacterium indicus pranii (MIP) or even viable cells from non-pathogenic mycobacteria such us Mycobacterium brumae. A review of the literature in which mycobacteria components, non-viable mycobacteria, and viable mycobacteria have been used for these different cancers will be performed. In this chapter, the function of mycobacteria as antitumor agents will be then analyzed, awarding the audience a broad knowledge of one of the beneficial applications of mycobacteria, which are usually introduced as dangerous microorganisms

Programa de normalización de estudios previo y control de calidad de las intervenciones: Propiedades mecánicas 2ª parte

La autora plantea el interés de la mecánica, el equilibrio y la deformación de los materiales sólidos, para estudiar el comportamiento de los materiales. Se han realizado diversos ensayos relativos al comportamiento mecánico superficial para medir la resistencia superficial a la deformación, así como se ha desarrollado un ensayo de adherencia para medir la falta de cohesión entre una capa externa y el substrato. Este trabajo se enmarca en el Subprograma de Normalización de Estudios Previos y Control de Calidad en las Intervenciones del Instituto Andaluz del Patrimonio Histórico, y observa las propiedades mecánicas de los materiales

L'oli d'oliva millora l'eficàcia del tractament del càncer de bufeta

Espanya és un dels països amb més pacients afectats pel càncer de bufeta al món. Recentment s'ha descobert que l'oli d'oliva és de gran ajuda per millorar el tractament que reben els pacients. Investigadors de la UAB responsables de la troballa, que encara no s'ha testat en humans, expliquen com aquest elixir mediterrani fa que una teràpia basada en l'administració de bacteris actuï amb major èxit contra el tumor.España es uno de los países con más pacientes de cáncer de vejiga en el mundo. Recientemente se ha descubierto que el aceite de oliva es de gran ayuda para mejorar el tratamiento que reciben. Investigadores de la UAB responsables del hallazgo, que no se ha probado en humanos, explican cómo este elixir mediterráneo ayuda a que una terapia basada en la administración de bacterias sea más efectiva contra el tumor.Spain has one of the highest incidence rates of bladder cancer in the world. Recently, olive oil has been discovered as a very helpful tool in its treatment. Investigators of the Universitat Autònoma de Barcolona in charge of this research, that hasn't been tested in humans yet, explain now how this Mediterranean elixir helps a bacteria-based treatment obtain better results in fighting against tumors

Programa de normalización de estudios previos y control de calidad en las intervenciones: Propiedades Hídricas, I parte

Dentro de la propuesta y descripción llevada a cabo por el Subprograma de Normalización de Estudios Previos del IAPH de las técnicas de análisis y ensayo que se deben utilizar para el conocimiento de los materiales utilizados en Bienes Inmuebles, este artículo se centra en el análisis de la dinámica del agua, como uno de los agentes de degradación más importante que afectan a la durabilidad de los materiales. Es, por tanto, de gran importancia caracterizar y cuantificar el comportamiento hídrico de cualquier material que se haya o pueda ser empleado en la construcción o restauración del Patrimonio Histórico. El estudio de la porosidad (muy ligado al comportamiento hídrico) también resulta de gran interés por varias razones: en ella se produce el almacenamiento y transporte de fluidos y de alguna manera controla las propiedades mecánicas de los materiales

Direct versus iterated multiperiod Value-at-Risk forecasts

Since the late nineties, the Basel Accords require financial institutions to measure their financial risk by reporting daily predictions of Value at Risk (VaR) based on 10-day returns. However, a vast part of the related literature deals with VaR predictions based on one-period returns. Given its relevance for practitioners, in this paper, we survey the literature on available procedures to estimate VaR over an h-period. First, to convert 1 day into 10-day VaR, it is popular to use the square-root-of-time (SRoT) rule, which is only satisfied under very restrictive and unrealistic properties of returns. Alternatively, direct (based on h-period returns) and iterated (based on one-period returns) two-step procedures can be implemented to obtain 10-period VaR. We also illustrate and compare the performance of these procedures in the context of popular conditionally heteroscedastic models for returns using both simulated and real data. We show that, under realistic assumptions on the distribution of returns, multiperiod VaR predictions based on iterating an asymmetric GJR model with normal or bootstrapped errors are usually preferred. We also show that, in general, direct methods could be not only biased but also inefficient.Ministerio de Economía y Competitividad. Grant Number: PDI2019-108079GB-C21/AIE/10.13039/50110001103