The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes

25 years of volatility research has left the macroeconomic environment playing a minor role. This paper proposes modeling equity volatilities as a combination of macroeconomic effects and time series dynamics. High frequency return volatility is specified to be the product of a slow moving deterministic component, represented by an exponential spline, and a unit GARCH. This deterministic component is the unconditional volatility, which is then estimated for nearly 50 countries over various sample periods of daily data. Unconditional volatility is then modeled as an unbalanced panel with a variety of dependence structures. It is found to vary over time and across countries with high unconditional volatility resulting from high volatility in the macroeconomic factors GDP, inflation and short term interest rate, and with high inflation and slow growth of output. Volatility is higher for emerging markets and for markets with small numbers of listed companies and market capitalization, but also for large economies. The model allows long horizon forecasts of volatility to depend on macroeconomic developments, and delivers estimates of the volatility to be anticipated in a newly opened market.. Arch, garch, global volatility, spline and volatility.

High and Low Frequency Correlations in Global Equity Markets

This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH approach of Rangel and Engle (2008). This framework is extended and modified to incorporate the effect of multiple factors and to address the issue of non-synchronicity in international markets. Our empirical analysis suggests that the slow-moving dynamics of global correlations can be described by the Factor-Spline-GARCH specifications using either weekly or daily data. The analysis shows that the low frequency component of global correlations increased in the current financial turmoil; however, this increase was not equally distributed across countries. The countries that experienced the largest increase in correlations were mainly emerging markets.Dynamic conditional correlations, high and low frequency variation, global markets, non-synchronicity.

The Factor-Spline-GARCH Model for High and Low Frequency Correlations

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns. High frequency correlations mean revert to slowly varying functions that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables, including determinants of market and idiosyncratic volatilities. Flexibility in the time varying level of mean reversion improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons.Yield curve, forecasting, economic activity

Hypothetical and Real Choice Differentially Activate Common Valuation Areas

Hypothetical reports of intended behavior are commonly used to draw conclusions about real choices. A fundamental question in decision neuroscience is whether the same type of valuation and choice computations are performed in hypothetical and real decisions. We investigated this question using functional magnetic resonance imaging while human subjects made real and hypothetical choices about purchases of consumer goods. We found that activity in common areas of the orbitofrontal cortex and the ventral striatum correlated with behavioral measures of the stimulus value of the goods in both types of decision. Furthermore, we found that activity in these regions was stronger in response to the stimulus value signals in the real choice condition. The findings suggest that the difference between real and hypothetical choice is primarily attributable to variations in the value computations of the medial orbitofrontal cortex and the ventral striatum, and not attributable to the use of different valuation systems, or to the computation of stronger stimulus value signals in the hypothetical condition

Pavlovian Processes in Consumer Choice: The Physical Presence of a Good Increases Willingness-to-Pay

This paper describes a series of laboratory experiments studying whether the form in which items are displayed at the time of decision affects the dollar value that subjects place on them. Using a Becker-DeGroot auction under three different conditions — (i) text displays, (ii) image displays, and (iii) displays of the actual items — we find that subjects' willingness-to-pay is 40-61 percent larger in the real than in the image and text displays. Furthermore, follow-up experiments suggest the presence of the real item triggers preprogrammed consummatory Pavlovian processes that promote behaviors that lead to contact with appetitive items whenever they are available

Dissociating the Role of the Orbitofrontal Cortex and the Striatum in the Computation of Goal Values and Prediction Errors

To make sound economic decisions, the brain needs to compute several different value-related signals. These include goal values that measure the predicted reward that results from the outcome generated by each of the actions under consideration, decision values that measure the net value of taking the different actions, and prediction errors that measure deviations from individuals' previous reward expectations. We used functional magnetic resonance imaging and a novel decision-making paradigm to dissociate the neural basis of these three computations. Our results show that they are supported by different neural substrates: goal values are correlated with activity in the medial orbitofrontal cortex, decision values are correlated with activity in the central orbitofrontal cortex, and prediction errors are correlated with activity in the ventral striatum

Increased tolerance to humans among disturbed wildlife.

Human disturbance drives the decline of many species, both directly and indirectly. Nonetheless, some species do particularly well around humans. One mechanism that may explain coexistence is the degree to which a species tolerates human disturbance. Here we provide a comprehensive meta-analysis of birds, mammals and lizards to investigate species tolerance of human disturbance and explore the drivers of this tolerance in birds. We find that, overall, disturbed populations of the three major taxa are more tolerant of human disturbance than less disturbed populations. The best predictors of the direction and magnitude of bird tolerance of human disturbance are the type of disturbed area (urbanized birds are more tolerant than rural or suburban populations) and body mass (large birds are more tolerant than small birds). By identifying specific features associated with tolerance, these results guide evidence-based conservation strategies to predict and manage the impacts of increasing human disturbance on birds

La población adulta mayor en el área metropolitana de Toluca, 1990-2000

En este trabajo se explora el patrón de localización espacial de la población mayor de 65 años en el área metropolitana de Toluca (México) y se calculan sus índices de segregación, aislamiento e interacción, para los años 1990 y 2000. Se identifican áreas críticas de alta concentración de población mayor, se descubre la regularidad del patrón de distribución espacial de este grupo de población (que responde a una concepción centro-periferia) y se contrastan estos dos aspectos con el comportamiento espacial de la población menor de 65 años, con el propósito de apreciar sus diferencias y aislar sus particularidades en materia de localización residencial. Las estimaciones de segregación espacial indican niveles crecientes de segregación de la población mayor de 65 años, especialmente en el centro histórico de Toluca, lo que requerirá inteligentes respuestas institucionales. Por su parte, los niveles estimados de aislamiento e interacción no son preocupantes por ahora