Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure. The advantages of this method are first, that, unlike classical principal component analysis, common factors can be estimated without assuming that the volatility of the factors is constant; and second, that the factor structure can be decomposed into permanent and transitory common factors. We conclude that only permanent factors are relevant for modeling the dynamics of interest rates, and that the common principal component approach appears to be more accurate than the classical principal component one to estimate the risk factor structure.Term Structure of Interest Rates, Principal Component Analy-sis, Common Principal Component Analysis

Category-based Tail Comovement

Traditional …financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of comovement, delinking it from fundamentals. In their paper they view comovement under the prism of the standard Pearson's correlation measure, implicitly excluding extreme market events, such as the latest …financial crisis. Poon, Rockinger and Tawn (2004) have shown that under such events different types of comovement or dependence may co-exist, and make a clear distinction between the four types of dependence: perfect dependent, independent, asymptotically dependent and asymptotically independent. In this paper we extend the sentiment based theory of comovement so as to cover the whole spectrum of dependence, including extreme comovement such as the one that can be observed in …financial crises. One of the key contributions of this paper is that it formally proves that assets belonging to the same category comove too much in the tail and reclassifying an asset into a new category raises its tail dependence with that category.Interest rates ; Yield curve ; ICA ; PCA

La création d'entreprises : un outil pour vaincre la précarité

Article en ligne : http://www.fnbp.fr/IMG/pdf/Villa_Poussielgues_Courrier_Cadres_Publication_fevrier_2013_2_.pdfPourquoi et comment la création de micro-entreprises permet-elle de lutter contre le chômage et la pauvreté

Category-based Tail Comovement

Traditional financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of comovement, delinking it from fundamentals. In their paper they view comovement under the prism of the standard Pearson's correlation measure, implicitly excluding extreme market events, such as the latest financial crisis. Poon, Rockinger and Tawn (2004) have shown that under such events different types of comovement or dependence may co-exist, and make a clear distinction between the four types of dependence: perfect dependent, independent, asymptotically dependent and asymptotically independent. In this paper we extend the sentiment based theory of comovement so as to cover the whole spectrum of dependence, including extreme comovement such as the one that can be observed in financial crises. One of the key contributions of this paper is that it formally proves that assets belonging to the same category comove too much in the tail and reclassifying an asset into a new category raises its tail dependence with that category

Recent advances in lending to the poor with asymmetric information

International audienceMicrofinance institutions have successfully extended unsecured small loans to poor and opaque borrowers at the bottom of the economic pyramid. This success is largely due to innovative financial contracts that impose joint liability and create dynamic incentives to mitigate the effects of asymmetric information. Given recent advances in microfinance contracts, there is a need to map the theoretical developments. This paper aims to accomplish that, by performing a critical literature survey of microlending contracts, focusing on joint liability and dynamic incentives, bringing out some of the deficiencies of contract-theoretic propositions that cannot effectively account for the social mission of microfinance

Colorless FSK Demodulation and Detection With Integrated Fabry-Perot-Type SOA/REAM

A receiver for optical frequency modulated signals, based on colorless demodulation and detection, is presented. An integrated combination of semiconductor optical amplifier (SOA) and reflective electroabsorption modulator (REAM) is designed to obtain a comb-like spectral detection function, replacing the typically required costly frequency discrimination filter. The spectral properties of the designed SOA/REAM chip are discussed and the reception of a 10-Gb/s optical frequency modulated downstream signal is demonstrated, proving the applicability as receiving optical subsystem in the customer premises equipment of fiber-to-the-home access networks with wavelength reuse for upstream transmission and no downstream crosstalk.Peer ReviewedPostprint (published version

Un support IDM pour l'architecture d'entreprise dans un contexte industriel : l'exemple du framework TEAP

National audienceL'application de l'Ingénierie Dirigée par les Modèles (IDM) est souvent réservée aux processus de génie logiciel (par exemple, spécification, génération de code, maintenance, rétro-ingénierie, évolution). Cependant, elle peut aussi être bénéfique pour des initiatives davantage orientées métier ou liées à la prise de décisions stratégiques, telles que l'Architecture d'Entreprise (AE). L'AE est le processus de traduction de la vision métier/stratégie d'une entreprise en un changement effectif, via la description de son état présent et futur (par exemple, concernant son système d'information). Même si différentes approches ont déjà proposé plusieurs sortes de méthodes et d'outillages pour l'AE dans une entreprise, il n'existe pas véritablement à l'heure actuelle de framework IDM intégré combinant fédération de données d'AE, adaptabilité du standard de représentation et support pour des points de vue multiples. Le présent article rapporte notre expérience en cours de construction du framework IDM TEAP (basé sur le standard TOGAF et l'outillage SmartEA) visant notamment à traiter ces trois défis dans un contexte industriel d'AE

Measurement of wheelchair adjustment effects on turning deceleration

No abstract availabl

Microparticle Brownian motion near an air-water interface governed by direction-dependent boundary conditions

Hypothesis Although the dynamics of colloids in the vicinity of a solid interface has been widely characterized in the past, experimental studies of Brownian diffusion close to an air-water interface are rare and limited to particle-interface gap distances larger than the particle size. At the still unexplored lower distances, the dynamics is expected to be extremely sensitive to boundary conditions at the air-water interface. There, ad hoc experiments would provide a quantitative validation of predictions. Experiments Using a specially designed dual wave interferometric setup, the 3D dynamics of 9 µm diameter particles at a few hundreds of nanometers from an air-water interface is here measured in thermal equilibrium. Findings Intriguingly, while the measured dynamics parallel to the interface approaches expected predictions for slip boundary conditions, the Brownian motion normal to the interface is very close to the predictions for no-slip boundary conditions. These puzzling results are rationalized considering current models of incompressible interfacial flow and deepened developing an ad hoc model which considers the contribution of tiny concentrations of surface active particles at the interface. We argue that such condition governs the particle dynamics in a large spectrum of systems ranging from biofilm formation to flotation process

Evaluation of a scapula spinal marker cluster to track the scapula kinematics during manual wheelchair propulsion

No abstract availabl