A test for volatility spillovers

This paper proposes a new procedure for analyzing volatility links between di®erent markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed

A geomorphological overview of glacial landforms on the Icelandic continental shelf

The availability of a bathymetric database that covers about 80% of the Icelandic shelf has made it possible to produce a geomorphological map of the glacial landforms. The digital elevation model of the bathymetry was analyzed as a series of shaded relief images. Trough edges, bulging trough mouths, moraines, eskers, melt water channels, streamlined bedrock and streamlined drift, mostly hitherto unmapped, distributed all around the island have been identified. Moraines are found on the shelf, within troughs and inside fjords. Streamlined landforms are always confined to the bottom of troughs. Troughs appear to have been cut by ice streams draining an ice sheet that likely covered the entire shelf. At the shelf break, most troughs terminate with contours that bulge in a convex-outwards fashion. This suggests that an ice stream eroded, transported and finally deposited large amounts of sediment at the trough mouth. Overall, the glacial morphology of the shelf highlights a radial pattern that indicates a main ice divide near the centre of Iceland

Red Signals: Trade Deficits and the Current Account

This paper proposes a method to asses the potential problems of sustainability of a country’s sovereign debt. We claim that the relevant variables used for this analysis are typically subject to changes which are associated with changes in macroeconomics policies. We propose a procedure for identifying periods under which the trade deficit and the current account accumulate at a nonstationary rate. Our approach is based on imposing identifying restrictions on Markov switching type models. An empirical application of the procedure to UK data is examined and discussed. We find that periods of non-stationary trade deficits typically coincide with current account crises

A geomorphological overview of glacial landforms on the Icelandic continental shelf

The availability of a bathymetric database that covers about 80% of the Icelandic shelf has made it possible to produce a geomorphological map of the glacial landforms. The digital elevation model of the bathymetry was analyzed as a series of shaded relief images. Trough edges, bulging trough mouths, moraines, eskers, melt water channels, streamlined bedrock and streamlined drift, mostly hitherto unmapped, distributed all around the island have been identified. Moraines are found on the shelf, within troughs and inside fjords. Streamlined landforms are always confined to the bottom of troughs. Troughs appear to have been cut by ice streams draining an ice sheet that likely covered the entire shelf. At the shelf break, most troughs terminate with contours that bulge in a convex-outwards fashion. This suggests that an ice stream eroded, transported and finally deposited large amounts of sediment at the trough mouth. Overall, the glacial morphology of the shelf highlights a radial pattern that indicates a main ice divide near the centre of Iceland

Measuring Half-Lives Using A Non-Parametric Bootstrap Approach

In this paper we extend the Murray and Papell (2002) study by using a non-parametric bootstrap approach which allows for non-normality, and focusing on quarterly real exchange rate in twenty OECD countries in the post-1973 floating period. We run Augmented Dickey-Fuller (ADF) regressions, and estimate the half-lives (and confidence intervals) from the corresponding impulse response functions. Further, we use an approximately median-unbiased estimator of the autoregressive parameters, and report the implied point estimates and confidence intervals. We find that accounting for nonnormality results in even higher estimates of the degree of persistence of PPP deviations, but, as in Murray and Papell (2002), the confidence intervals are so wide that no strong conclusions are warranted on the existence of a PPP puzzle

Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing for the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected provided that instrumental variables are used to account for within-regime correlation between explanatory variables and disturbances in the Markov switching model on which the test is based

Constraints on anomalous gauge couplings from present LEP1 and future LEP2, BNL data

We analyze, in a rather general model where anomalous triple gauge couplings are present, the visible effects in R$_b$ (measured at LEP1), in W pair production (to be measured at LEP2) and in the muon anomalous magnetic moment (to be measured at BNL). From the combination of the three experiments a remarkable improvement on the pure LEP2 constraints is obtained.Comment: 10 pages and 6 figures. e-mail: [email protected]

Nonlinear Relaxation in Population Dynamics

We analyze the nonlinear relaxation of a complex ecosystem composed of many interacting species. The ecological system is described by generalized Lotka-Volterra equations with a multiplicative noise. The transient dynamics is studied in the framework of the mean field theory and with random interaction between the species. We focus on the statistical properties of the asymptotic behaviour of the time integral of the i-th population and on the distribution of the population and of the local field.Comment: 11 pages, 4 figures, in press in Int. Journal of Fractals (2001

Time Horizon and Cooperation in Continuous Time

When subjects interact in continuous time, their ability to cooperate may dramatically increase. In an experiment, we study the impact of different time horizons on cooperation in (quasi) continuous time prisoner's dilemmas. We find that cooperation levels are similar or higher when the horizon is deterministic rather than stochastic. Moreover, a deterministic duration generates different aggregate patterns and individual strategies than a stochastic one. For instance, under a deterministic horizon subjects show high initial cooperation and a strong end-of-period reversal to defection. Moreover, they do not learn to apply backward induction but to postpone defection closer to the end.

Moment equations in a Lotka-Volterra extended system with time correlated noise

A spatially extended Lotka-Volterra system of two competing species in the presence of two correlated noise sources is analyzed: (i) an external multiplicative time correlated noise, which mimics the interaction between the system and the environment; (ii) a dichotomous stochastic process, whose jump rate is a periodic function, which represents the interaction parameter between the species. The moment equations for the species densities are derived in Gaussian approximation, using a mean field approach. Within this formalism we study the effect of the external time correlated noise on the ecosystem dynamics. We find that the time behavior of the $1^{st}$ order moments are independent on the multiplicative noise source. However the behavior of the $2^{nd}$ order moments is strongly affected both by the intensity and the correlation time of the multiplicative noise. Finally we compare our results with those obtained studying the system dynamics by a coupled map lattice model.Comment: 12 pages, 7 figures, to appear in Acta Phys. Pol.