A penalized two-pass regression to predict stock returns with time-varying risk premia

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no-arbitrage restrictions by regularizing appropriate groups of coefficients. The second pass delivers risk premia estimates to predict equity excess returns. Our Monte Carlo results and our empirical results on a large cross-sectional data set of US individual stocks show that penalization without grouping can yield to nearly all estimated time-varying models violating the no-arbitrage restrictions. Moreover, our results demonstrate that the proposed method reduces the prediction errors compared to a penalized approach without appropriate grouping or a time-invariant factor model

Evolution of the crustal magma plumbing system during the build-up to the 22-ka caldera-forming eruption of Santorini (Greece)

International audienceThe formation of shallow, caldera-sized reservoirs of crystal-poor silicic magma requires the generation of large volumes of silicic melt, followed by the segregation of that melt and its accumulation in the upper crust. The 21.8 ± 0.4-ka Cape Riva eruption of Santorini discharged >10 km3 of crystal-poor dacitic magma, along with <0.004 km3 year-1. Rapid ascent and accumulation of the Cape Riva dacite may have been caused by an increased flux of mantle-derived basalt into the crust, explaining the occurrence of hybrid andesites (formed by the mixing of olivine basalt and dacite in approximately equal proportions) in the Cape Riva and late Therasia products. Pressurisation of the upper crustal plumbing system by sustained, high-flux injection of dacite and basalt may have triggered the transition from prolonged, largely effusive activity to explosive eruption and caldera collapse

Equilibration Scales in Silicic to Intermediate Magmas - Implications for Experimental Studies

International audienceExperimental phase equilibrium studies are increasingly being used for the determination of intensive variables (P, T, fH2O, fO2 ) in silicic to intermediate magmas. In contrast, silicic igneous bodies are now perceived as open, periodically recharged, systems involving only limited chemical equilibration. Thus, the use of laboratory-determined crystal–liquid equilibrium data needs clarification. Here we review the field, petrological and geochemical evidence concerning states and scales of chemical equilibrium in silicic magma bodies. It is concluded that total chemical equilibrium is generally not the rule. However, a subsystem in local equilibrium (the reactive magma) can be identified. Equilibration scales in silicic magmas are rate-limited either by diffusive flux in crystals (DICL regime) or by diffusive flux in the melt (MD regime). The recognition that equilibrium in magmas is limited to a reactive subsystem requires phase equilibrium studies to be chemically scaled. Experiments, either of total or partial equilibrium type, should aim at a close reproduction of equilibrium states specific to natural systems. The laboratory reconstruction of the natural equilibrium states guarantees a precise determination of the pre-eruptive parameters and a reliable application of the experimental data to active volcanic systems

Volcanological evolution of Pantelleria Island (Strait of Sicily) peralkaline volcano: a review

Pantelleria volcano has a particularly intriguing evolutionary history intimately related to the peralkaline composition of its explosively erupted magmas. Due to the stratigraphic complexity, studies over the last two decades have explored either only the pre-Green Tuff ignimbrite volcanism or the post-Green Tuff activity. We here focus on the whole evolutionary history, detailing the achievements since the first pioneering studies, in order to illustrate how the adoption and integration of progressively more accurate methods (40Ar/39Ar, paleomagnetism, petrography, and detailed field study) have provided many important independent answers to unresolved questions. We also discuss rheomorphism, a distinct feature at Pantelleria, at various scales and possible evidence for multiple, now hidden, caldera collapses. Although the evolutionary history of Pantelleria has shown that each ignimbrite event was followed by a period of less intense explosivity (as could be the present-day case), new geochronological and geochemical data may indicate a long-term waning of volcanic activity

The Fuegian thrust-fold belt: From arc-continent collision to thrust-related deformation in the southernmost Andes

New detailed structural data from the Fuegian Andes including new ages and cross-cutting relationships with intrusive rocks, as well as an appraisal of published structural data, support that this orogen evolved as a basement-involved thrust-fold belt after initial formation in an arc-continent collision scenario. New structural data from a deformed 84 Ma intrusive indicate that structures from the collisional event in the Argentine Fuegian Andes are of Campanian age, comprising only the youngest and less intense deformation of the orogenic wedge. In the internal thrust-fold belt, these structures are cut by intrusives with new ages of 74 Ma (Ar/Ar on hornblende). The superposition of thrusts on these early structures indicates a subsequent event in which a thrust-fold belt formed since the Maastrichtian-Danian. Additional new data confirm brittle-ductile thrusting in the central belt, with thrusts joining a common upper detachment in the base of the Lower Cretaceous rocks. These thrusts formed a first-order duplex system that transferred the shortening accommodated in the foreland until the Miocene.Fil: Torres Carbonell, Pablo Juan. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Austral de Investigaciones Científicas; ArgentinaFil: Cao, Sebastián José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Austral de Investigaciones Científicas; Argentina. Universidad Nacional de Tierra del Fuego, Antártida e Islas del Atlántico Sur. Instituto de Ciencias Polares, Ambientales y Recursos Naturales; ArgentinaFil: Gonzalez Guillot, Mauricio Alberto. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Austral de Investigaciones Científicas; Argentina. Universidad Nacional de Tierra del Fuego, Antártida e Islas del Atlántico Sur. Instituto de Ciencias Polares, Ambientales y Recursos Naturales; ArgentinaFil: Mosqueira González, María Victoria. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Austral de Investigaciones Científicas; ArgentinaFil: Dimieri, Luis Vicente. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto Geológico del Sur. Universidad Nacional del Sur. Departamento de Geología. Instituto Geológico del Sur; ArgentinaFil: Duval, Florian. Université d´Orléans; Francia. Centre National de la Recherche Scientifique; FranciaFil: Scaillet, Stéphane. Centre National de la Recherche Scientifique; Franci

Pleistocene eruptive chronology of the Gölcük volcano, Isparta Angle, Turkey. Chronologie des épisodes volcaniques pléistocènes du volcan Gölcük, Angle d’Isparta, Turquie

In the Eastern Mediterranean region, the Isparta volcanic belongs to the post-collisional alkali-potassic to ultrapotassic magmatism active since the Miocene in this part of the Anatolian peninsula from Afyon to Isparta. In the so-called Isparta Angle (IA) the magmatism is contemporaneous with an extensional regime intiated during Late Miocene and active throughout the Pliocene and Quaternary. Previous K/Ar dating performed on lavas suggested that potassic-ultrapotassic magmatism occurred between 4.7 to 4 Ma. However, a more recent (Quaternary) activity of the Gölcük volcano is evidenced by the present-day morphology and field evidence although it remained undated and poorly studied so far. Field mapping and new radiometric data indicate that the main volcano-forming stages of the Gölcük volcano consist of three main eruptives cycles. (1) Cycle I, represented by more than 200m-thick pyroclastic flow deposits occasionally separated by paleosoils and corresponding to caldera-forming ignimbritic eruptions. (2) Cycle II, consisting of tephriphonolite lava dome-flows extruded throughout the caldera and currently found along the rim of the present crater. (3) Cycle III made up of tuff-ring deposits related to several phreatoplinian eruptions of a maar-type volcanic activity. This youngest cycle ends with trachytic domes protruding within the maar crater. Unspiked 40K/40Ar dating on mesostasis was performed on lavas (tephriphonolites and trachytic domes), and complemented by preliminary 40Ar/39Ar data on tephra deposits (sanidine). Our preliminary results show that the entire activity of Gölcük volcano took place during the Pleistocene and was disconnected from the older Pliocene volcanism. This volcanic activity can be considered as a new volcanic cycle, starting (Cycle I) around 200 ka with major explosive, regional-scale, events represented by at least six ignimbrites sheets. Cycle II occurred between 115 ± 3 ka to 62 ± 2 ka with probably some associated tephra deposits. Tuff-ring of Cycle III formed from 72.7 ± 4.7 ka to 24 ± 2 ka. The associated phreatoplinian eruptions have almost entirely destroyed the previously formed flow-dome. This latest activity corresponds to several volcanic crises as illustrated by the two domes protrusions separated by about 30 ka. The volcanic history of Gölcük ceased around 24 ka ± 2 ka, but the periodicity of eruptive events appears to be long and complex. Currently, the volcano is at rest, but there is no doubt that the Isparta town (more than 120 000 people) built on top of the most recent tephra falls is exposed to a major volcanic hazard in the future.En Méditerranée Orientale, la région active d’Isparta est le siège d’un magmatisme alcalin lié à la distension affectant cette partie de la Péninsule Anatolienne depuis le Miocène supérieur. Le volcanisme Pliocène est alcalin et très potassique, depuis des magmas lamprophyriques à lamproïtiques, jusqu’à des téphriphonolites et des trachytes. La construction du volcan Gölcük au sud d’Isparta marque le début d’un nouveau cycle éruptif après une longue période d’arrêt et d’érosion. L’étude morpho-structurale du volcan couplée aux datations 40K/40Ar sur lave et 39Ar/40Ar sur monograin de feldspath-K indique une histoire éruptive complexe, nettement plus jeune que l’activité antérieure (Pliocène). Ces résultats préliminaires montrent que l’activité volcanique du Gölcük est située dans le Pléistocène supérieur (Paléolithique) entre environ 200 ka et 24 ka. Trois cycles volcaniques majeurs sont reconnus : (1) Cycle I débutant vers 200 ka avec des éruptions ignimbritiques majeures avec un ensemble de coulées pyroclastiques trachytiques comblant les paléo-vallées ouvertes dans les formations sédimentaires et les formations volcaniques d’âge pliocène ; (2) Cycle II avec un épisode effusif de faible importance succède entre 115 ± 3 ka et 62 ± 2 ka à l’activité explosive initiale avec la mise en place d’un édifice central constitué de dômes-coulées téphri-phonolitiques ; (3) Cycle III entre 70 ka et 24 ka, l’activité devient phréatoplinienne et suit de près le cycle précédent. Le dynamisme éruptif phréatomagmatique est celui d’un maar formé d’un large cratère d’explosion entouré d’un anneau de tufs. La dernière crise volcanique se termine par l’extrusion de plusieurs dômes de trachyte dans le cratère et de téphras associés, de nouvelles coulées pyroclastiques se mettent vraisemblablement en place vers le nord-ouest. Les données de terrain et les âges 40Ar/39Ar disponibles indiquent que ces dernières manifestations (construction du maar) sont très récentes et sub-contemporaines du dernier niveau de retombées ponceuses sous les immeubles de la ville et des dômes de lave intra-caldeira. Cet âge récent est confirmé par un âge 14C obtenu sur des bois carbonisés. La morphologie du volcan actuel est relativement bien conservée, malgré l’érosion très active qui remodèle déjà partiellement les pentes. La reprise éventuelle de l’activité du volcan constituerait un risque majeur à l’échelle de la région et en particulier pour la ville d’Isparta établie au pied de l’édifice, notamment sur les coulées pyroclastiques et les retombées ponceuses les plus récentes

Oldest human footprints dated by Ar/Ar

International audienc