An exponential continuous time GARCH process

In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p,p) model

Mixed effect model for absolute log returns of ultra high frequency data

The influence of covariates on absolute log returns of ultra high frequency data is analysed. Therefore we construct a mixed effect model for the absolute log returns. The parameters are estimated in a state space approach. To analyse the correlation in these irregularly spaced data empirically, the variogram, known mainly from spatial statistics, will be used. In a small simulation study the performance of the estimators will be analysed. In the end we apply the model to IBM trade data and analyse the influence of the covariates

Quasi maximum likelihood estimation and prediction in the compound Poisson ECOGARCH(1,1) model

This paper deals with the problem of estimation and prediction in a compound Poisson ECOGARCH(1,1) model. For this we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable. Since these jumps occur at unequally spaced time points, it is clear that the estimator has to be computed for irregularly spaced data. Assuming normally distributed jumps and a recursion to estimate the volatility allows to define and compute a quasi-likelihood function, which is maximised numerically. The small sample behaviour of the estimator is analysed in a small simulation study. Based on the recursion for the volatility process a one-step ahead prediction of the volatility is defined as well as a prediction interval for the log-price process. Finally the model is fitted to tick-by-tick data of the New York Stock Exchange

A Turning Point in Gender Bias in Mortality?

More than 10 years ago, Amartya Sen estimated than some 100 million women are 'missing' as a result of excess female mortality in parts of the developing world, most notably South Asia, China, West Asia, and parts of North Africa (Sen, 1989; Sen 1990). Coale (1991) and Klasen (1994) used more precise demographic techniques and arrived at figures that varied between 60 million (Coale) and 90 million (Klasen). All three estimates confirmed the enormous toll excess female mortality was exacting on women in these parts of the world. All these estimates 'missing women' were based on demographic information of the 1980s and early 1990s. Since then, there has been considerable speculation about current trends of gender bias in mortality with some observers suggesting a falling intensity while others predicted the opposite (e.g. Klasen, 1994; Das Gupta and Mari Bath, 1997; Dreze and Sen, 1995; Mayer, 1999; Croll, 2000). Figure 1 shows recent projections by the United Nations Population Division of the sex ratio in the world and in the regions where males outnumber females. These estimates suggest that the sex ratio in the female deficit regions, after rising steadily since 1960, is estimated to peak in about 1985 and then are believed to decline quite sharply. Given the high share these regions have in the world's total population, a turning point in the global sex ratio, after a similar rise since 1960, is also estimated for 1995

A fractionally integrated ECOGARCH process

In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way that it is a continuous time extension of the discrete time FIEGARCH(p,d,q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volatility propagates to the volatility process

A Turning Point in Gender Bias in Mortality?

More than 10 years ago, Amartya Sen estimated than some 100 million women are 'missing' as a result of excess female mortality in parts of the developing world, most notably South Asia, China, West Asia, and parts of North Africa (Sen, 1989; Sen 1990). Coale (1991) and Klasen (1994) used more precise demographic techniques and arrived at figures that varied between 60 million (Coale) and 90 million (Klasen). All three estimates confirmed the enormous toll excess female mortality was exacting on women in these parts of the world. All these estimates 'missing women' were based on demographic information of the 1980s and early 1990s. Since then, there has been considerable speculation about current trends of gender bias in mortality with some observers suggesting a falling intensity while others predicted the opposite (e.g. Klasen, 1994; Das Gupta and Mari Bath, 1997; Dreze and Sen, 1995; Mayer, 1999; Croll, 2000). Figure 1 shows recent projections by the United Nations Population Division of the sex ratio in the world and in the regions where males outnumber females. These estimates suggest that the sex ratio in the female deficit regions, after rising steadily since 1960, is estimated to peak in about 1985 and then are believed to decline quite sharply. Given the high share these regions have in the world's total population, a turning point in the global sex ratio, after a similar rise since 1960, is also estimated for 1995.

Estimating the COGARCH(1,1) model - a first go

We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are ergodic, the resulting estimators are consistent. We investigate the quality of our estimators in a simulation study based on the compound Poisson driven COGARCH model. The estimated volatility with corresponding residual analysis is also presented

Water pricing options for the Middle Drâa River Basin in Morocco

This paper discusses the possible effects of various ways of charging for water in an integrated modeling framework adapted to the Drâa River Basin in southeastern Morocco. Declining surface water availability in the basin has led to an increase in groundwater use for irrigation in recent decades, even though groundwater extraction is more costly than using surface water. The trade-off between the pricing of ground and surface water is discussed based on recursive-dynamic simulations over a ten-year period. The results identify groundwater pricing as an economically and environmentally favorable option, assuming that revenues from water charges are redistributed to farmers.River basin model, Water pricing, Water management, Conjunctive water use, Morocco, Resource /Energy Economics and Policy,

Persistent females and compliant males coordinate alarm calling in Diana monkeys

This work was funded by the European Research Council under the European Union’s Seventh Framework Programme (FP7/2007-2013)/ERC grant agreement number 283871 and the Swiss National Science Foundation (project 310030_143359).Sexual dimorphisms in animal vocal behavior have been successfully explained by sexual selection theory (e.g., mammals [1–5]; birds [6, 7]; anurans [8, 9]), but this does not usually include alarm calls, which are thought to be the product of kin or individual selection (e.g., [10, 11]). Here, we present the results of playback experiments with wild Diana monkeys, a species with highly dimorphic predator-specific alarms, to investigate the communication strategies of males and females during predator encounters. First, we simulated predator presence by broadcasting vocalizations of their main predators, leopards or eagles. We found that males only produced predator-specific alarms after the females had produced theirs, in response to which the females ceased alarm calling. In a second experiment, we created congruent and incongruent situations, so that the calls of a predator were followed by playbacks of male or female alarms with a matching or mismatching referent. For congruent conditions, results were the same as in the first experiment. For incongruent conditions, however, the males always gave predator-specific alarms that referentially matched the females’ calls, regardless of the previously displayed predator. In contrast, females always gave predator-specific alarms that matched the predator type, regardless of their own male’s subsequent calls. Moreover, the females persistently continued to alarm call until their own male produced calls with the matching referent. Results show that males and females attend to the informational content of each other’s alarm calls but prioritize them differently relative to an experienced external event, a likely reflection of different underlying selection pressures.PostprintPeer reviewe