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

Visualizing type II error in normality tests

This is an Accepted Manuscript of an article published by Taylor & Francis in “Visualizing type II error in normality tests” on 19th January 2017, available online: http://www.tandfonline.com/doi/full/10.1080/00031305.2016.1278035A Skewed Exponential Power Distribution, with parameters defining kurtosis and skewness, is introduced as a way to visualize Type II error in normality tests. By varying these parameters a mosaic of distributions is built, ranging from double exponential to uniform or from positive to negative exponential; the normal distribution is a particular case located in the center of the mosaic. Using a sequential color scheme, a different color is assigned to each distribution in the mosaic depending on the probability of committing a Type II error. This graph gives a visual representation of the power of the performed test. This way of representing results facilitates the comparison of the power of various tests and the influence of sample size. A script to perform this graphical representation, programmed in the R statistical software, is available online as supplementary material.Peer ReviewedPostprint (author's final draft

Evaluating the variation of dissolved metals on a highway roadside using a generalized additive mixed model (GAMM)

Assessing metal concentrations in roadside soils requires a better understanding of the extent to which they are affected by different environmental factors such as soil texture, depth, pH, runoff concentration, and precipitation. Monthly data of dissolved Cd, Ni, Cr, Pb, Cu, and Zn concentrations in three different roadside soils (sandy loam, gravel (0–32 mm) and a mixture of sandy loam and gravel) were measured during a 2-year lysimeter field study at different depths. The data was used to assess the variation of trace elements and how they were affected by environmental factors. For data interpretation, generalized additive mixed models (GAMMs) were used to explore the complex behavior of metals in heterogeneous soils by detecting linear and nonlinear trends of metal concentrations in the soil solution. As a result, the modeling approach showed that Cd, Ni, Cr, Pb, Cu, and Zn concentrations are functions of different environmental variables, which have either linear or nonlinear behavior. All investigated metals showed that pH could explain their variation. With exception of precipitation, Ni and Cr variations can nearly be explained by the same environmental factors used in this study (time, pH, infiltration volume, roadside soil type, runoff concentrations, and depth). During the study period, we found that Zn variation can be explained by its nonlinear relationship with all the significant studied environmental factors. As the depth increases from the surface to 30 cm of depth, the metal concentration of Cd, Ni, Cr, Pb, and Zn increases. Surprisingly, the roadside soil consisting of gravel has the lowest organic carbon and showed the lowest median concentration of Cd, Ni, Pb, Cu, and Zn at 30 cm. Moreover, the model showed that the surface runoff volume has no effect on the metal variation in the soil solutionPostprint (published version

A visual tool for the analysis of usage trends of small and medium bicycle sharing systems

© 2022 Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/The last two decades have exhibited a profound transformation of traditional urban mobility patterns partly due to the exponential growth in both number and popularity of public bicycle sharing systems (BSS). Analysis and visualization of the data generated by BSSs have become of special interest to municipalities to evaluate the effect of their mobility programs and offer integrated urban mobility solutions. In this paper, we present a visualization system that aims to assist city officials from small and medium cities in their decision-making process with an intuitive representation of BSS’ data. It has been developed, tested, and evaluated together with officials and domain experts from the city of Logroño (Spain). Our tool presents usage information with different time granularities (yearly, monthly, weekly, or seasonally), shows traffic flows between stations, and provides an in-depth breakdown of users’ data such as their registered address, traveled distance, or gender-based patterns.Partially supported by project TIN2017-88515-C2-1-R (GEN3DLIVE), from the Spanish Ministerio de Economía y Competitividad, by 839 FEDER (EU) funds. The authors would like to thank Logroño City Hall for providing the access to the data. To Francisco Ridruejo and Jaime Caballero for their invaluable contributions and feedback. To Jordi Masó, from Transports Metropolitans de Girona for providing insights on how they manage the Girocleta system.Peer ReviewedPostprint (published version

Analyzing temporal trends of urban evaporation using generalized additive models

This study aimed to gain new insights into urban hydrological balance (in particular, the evaporation from paved surfaces). Hourly evaporation data were obtained simultaneously from two high-resolution weighable lysimeters. These lysimeters are covered in two pavement sealing types commonly used for sidewalks in Berlin, namely cobble-stones and concrete slabs. A paired experiment in field conditions is designed to determine the mechanism by which these two types of soil sealing affect the evaporation rate under the same climatic conditions. A generalized additive model (GAM) is applied to explain how the climatic conditions interact with soil sealing and to evaluate the variation of evaporation rate according to pavement type. Moreover, taking the advantage of the fact that the experimental design is paired, the study fits a new GAM where the response variable is the difference between the evaporation rate from the two lysimeters and its explanatory variables are the climatic conditions. As a result, under the same climatic conditions, cobble-stones are more prone to increasing the evaporation rate than concrete slabs when the precipitation accumulated over 10 h, solar radiation, and wind speed increases. On the other hand, concrete slabs are more inclined to increase the evaporation rate than cobblestones when the relative humidity increases. GAM represents a robust modeling approach for comparing different sealing types in order to understand how they alter the hydrological balanceFunding: The German Research Foundation DFG (GRK 2032) and the Open Access Publication Fund of TU Berlin.Peer ReviewedPostprint (published version

Transfer function and time series outlier analysis: modelling Soil salinity in loamy sand soil by including the influences of irrigation management and soil temperature

In variable interval irrigation, simply including soil salinity data in the soil salinity model is not valid for making predictions, because changes in irrigation frequency must also be taken into account. This study on variable interval irrigation used capacitance soil sensors simultaneously to obtain hourly measurements of bulk electrical conductivity (sb), soil temperature (t) and soil water content (¿). Observations of sb were converted so that the electrical conductivity of the pore water (sp) could be estimated as an indicator of soil salinity. Values of ¿, t and sp were used to test a mathematical model for studying how sp cross-correlates with t and ¿ to predict soil salinity at a given depth. These predictions were based on measurements of sp, t, and ¿ at a shallow depth. As a result, prediction at shallow depth was successful after integrating intervention analysis and outlier detection into the seasonal autoregressive integrated moving average (ARIMA) model. We then used the (multiple-input/one-output) transfer function models to logically predict soil salinity at the depths of interest. The model could also correctly determine the effect of the irrigation event on soil salinityPeer ReviewedPostprint (author's final draft

Changes in flood damage with global warming on the eastern coast of Spain

Flooding is one of the main natural hazards in the world and causes huge economic and human impacts. Assessing the flood damage in the Mediterranean region is of great importance, especially because of its large vulnerability to climate change. Most past floods affecting the region were caused by intense precipitation events; thus the analysis of the links between precipitation and flood damage is crucial. The main objective of this paper is to estimate changes in the probability of damaging flood events with global warming of 1.5, 2 and 3¿°C above pre-industrial levels and taking into account different socioeconomic scenarios in two western Mediterranean regions, namely Catalonia and the Valencian Community. To do this, we analyse the relationship between heavy precipitation and flood-damage estimates from insurance datasets in those two regions. We consider an ensemble of seven regional climate model (RCM) simulations spanning the period 1976–2100 to evaluate precipitation changes and to drive a logistic model that links precipitation and flood-damage estimates, thus deriving statistics under present and future climates. Furthermore, we incorporate population projections based on five different socioeconomic scenarios. The results show a general increase in the probability of a damaging event for most of the cases and in both regions of study, with larger increments when higher warming is considered. Moreover, this increase is higher when both climate and population change are included. When population is considered, all the periods and models show a clearly higher increase in the probability of damaging events, which is statistically significant for most of the cases. Our findings highlight the need for limiting global warming as much as possible as well as the importance of including variables that consider change in both climate and socioeconomic conditions in the analysis of flood damage.Peer ReviewedPostprint (published version

Herbivores, saprovores and natural enemies respond differently to within-field plant characteristics of wheat fields

Understanding ecosystem functioning in a farmland context by considering the variety of ecological strategies employed by arthropods is a core challenge in ecology and conservation science. We adopted a functional approach in an assessment of the relationship between three functional plant groups (grasses, broad-leaves and legumes) and the arthropod community in winter wheat fields in a Mediterranean dryland context. We sampled the arthropod community as thoroughly as possible with a combination of suction catching and flight-interception trapping. All specimens were identified to the appropriate taxonomic level (family, genus or species) and classified according to their form of feeding: chewing-herbivores, sucking-herbivores, flower-consumers, omnivores, saprovores, parasitoids or predators. We found, a richer plant community favoured a greater diversity of herbivores and, in turn, a richness of herbivores and saprovores enhanced the communities of their natural enemies, which supports the classical trophic structure hypothesis. Grass cover had a positive effect on sucking-herbivores, saprovores and their natural enemies and is probably due to grasses' ability provide, either directly or indirectly, alternative resources or simply by offering better environmental conditions. By including legumes in agroecosystems we can improve the conservation of beneficial arthropods like predators or parasitoids, and enhance the provision of ecosystem services such as natural pest control

Herbivores, saprovores and natural enemies respond differently to within-field plant characteristics of wheat fields

Understanding ecosystem functioning in a farmland context by considering the variety of ecological strategies employed by arthropods is a core challenge in ecology and conservation science. We adopted a functional approach in an assessment of the relationship between three functional plant groups (grasses, broad-leaves and legumes) and the arthropod community in winter wheat fields in a Mediterranean dryland context. We sampled the arthropod community as thoroughly as possible with a combination of suction catching and flight-interception trapping. All specimens were identified to the appropriate taxonomic level (family, genus or species) and classified according to their form of feeding: chewing-herbivores, sucking-herbivores, flower-consumers, omnivores, saprovores, parasitoids or predators. We found, a richer plant community favoured a greater diversity of herbivores and, in turn, a richness of herbivores and saprovores enhanced the communities of their natural enemies, which supports the classical trophic structure hypothesis. Grass cover had a positive effect on sucking-herbivores, saprovores and their natural enemies and is probably due to grasses’ ability to provide, either directly or indirectly, alternative resources or simply by offering better environmental conditions. By including legumes in agroecosystems we can improve the conservation of beneficial arthropods like predators or parasitoids, and enhance the provision of ecosystem services such as natural pest controlPeer ReviewedPostprint (author's final draft

Informe Final: Projecte 2020PID-UB/017

Projecte: 2020PID-UB/017En aquest projecte s’ha explorat i utilitzat les eines del paquet d’R exams per tal de generar activitats personalitzades per als alumnes de l’assignatura de Disseny d’Experiments del grau interuniversitari UB-UPC d’Estadística. El paquet exams permet crear qüestionaris que incorporen preguntes de tipus test, numèriques o una barreja d’ambdues. Mitjançant codi R es poden generar aleatòriament diferents conjunts de dades i possibles respostes de tal manera i així els qüestionaris siguin únics per a cada alumne. Una altra avantatge que ofereix el paquet exams és que en integrar-se al Moodle un cop finalitzat el qüestionari la nota queda integrada automàticament a la base de dades de qualificacions. A més, l’alumne veu immediatament la nota i quins errors ha comès i les solucions de cada resposta. Tot i que els professors no teníem experiència prèvia amb el paquet exams, no ha sigut difícil confeccionar les preguntes ni tampoc integrar-les a la plataforma del campus virtual a través del Moodle. Al contrari, aquest procés ha resultat senzill i no hem trobat cap dificultat tècnica. L’alumnat ha respost de forma positiva, i han trobat gratificant el fet de saber la nota i els errors que havien comés en acabar el qüestionari. Per aquest motiu, creiem que l’ús del paquet exams com a part de la docència de l’assignatura és molt positiva i planegem continuar usant-lo tot explorant noves funcionalitats que ofereixi aquesta eina. Per últim, pensem que la utilització d’exams es podria estendre també a altres assignatures de anàlisis de dades i d’altres graus, com de fet s’està realitzant a l’assignatura de Disseny d’Experiments i Anàlisis de Dades (DEAD) del grau de Biomedicin