1,582 research outputs found
Riskfree Rate Dynamics: Information, Trading and State Space Modeling
Lucas, A. [Promotor]Koopman, S.J. [Promotor]Menkveld, A.J. [Copromotor
Rapportage leerlijn verbrede NME gezonde en duurzame voeding
Vanuit de Proeftuin Amsterdam zijn diverse projecten gestart om duurzaam en gezond eten onder de aandacht te brengen van kinderen uit het basisonderwijs. Er zijn mogelijkheden voor het ontwikkelen van een verbrede leerlijn Natuur en Milieueducatie (NME) voor gezonde en duurzame voeding. Gekeken wordt in dit rapport naar aansluiting bij zaken die docenten belangrijk vinden en naar aansluiting bij bestaande initiatieven, zoals boerderijeducatie, schooltuinen, SchoolGruiten en smaaklessen. Tot slot wordt een uitgewerkte leerlijn weergegeven met als hoofdthema's: Wat eet je en waarom? Wat doet eten met jou? Hoe functioneert de boerderij? Weet jij wat je koopt
Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein
The crises of this century have stressed how intertwined macroeconomics and finance
are in practice. This intertwinement was absent in most economic models. This led to
calls for economists to step out of their specialized silos. Since then, the literature of
macro-finance, which studies the relationship between asset prices and economic
fluctuations, has been developed. In this inaugural address, I argue for a prominent role
of econometrics to study the macro-finance interaction. Key elements such as mixed
frequencies and the selection of factors can be incorporated using recent econometric
advances. I discuss some of the results, such as estimation of continuous-time
equilibrium models for macroeconomic and financial series, as well as characteristics of
trading on financial markets after macroeconomic news releases. Finally, I discuss the
outstanding challenges, which include developing a yield curve model based on
macroeconomic foundations, modeling how financial markets anticipate news releases,
and developing a macro-finance model for European bond markets taking into account
the large heterogeneity across the continent
Welk spoor kiest u? : waarderingskader voor het bevorderen van ondernemerschap
Dit verslag geeft een overzicht van ondernemerschapactiviteiten en projecten die in het onderwijs, onderzoek en bedrijfsleven plaatsgevonden hebben. Om deze activiteiten te kunnen beoordelen op ondernemerschap is een waarderingskader ontwikkeld. Dit kader maakt inzichtelijk in hoeverre ondernemerschap bevorderd wordt. En met behulp van het waarderingskader zijn good practices geïdentificeerd. Het verslag geeft tevens adviezen om ondernemerschap met hulp van het kader verder te ontwikkele
Forecasting the U.S. term structure of interest rates using a macroeconomic smooth dynamic factor model
Forecasting the U.S. term structure of interest rates using a macroeconomic smooth dynamic factor model
We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model. We include these factors into a dynamic factor model for the yield curve, in which we model the salient structure of the yield curve by imposing smoothness restrictions on the yield factor loadings via cubic spline functions. We carry out a likelihood-based analysis in which we jointly consider a factor model for the yield curve, a factor model for the macroeconomic series, and their dynamic interactions with the latent dynamic factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we use a monthly time series panel of unsmoothed Fama-Bliss zero yields for treasuries of different maturities between 1970 and 2009, which we combine with a macro panel of 110 series over the same sample period. We show that the relation between the macroeconomic factors and yield curve data has an intuitive interpretation, and that there is interdependence between the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion is that macroeconomic variables can lead to more accurate yield curve forecasts
Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a suitable set of such restrictions. We present these developments in the context of term structure models, but they are also applicable in other settings. We perform an empirical study using a data set of unsmoothed Fama-Bliss zero yields for US treasuries of different maturities. The general dynamic factor model with and without smooth loadings is considered in this study together with models that are associated with Nelson-Siegel and arbitrage-free frameworks. These existing models can be regarded as special cases of the dynamic factor model with restrictions on the model parameters. For all model candidates, we consider both stationary and nonstationary autoregressive processes (with different numbers of lags) for the latent factors. Finally, we perform statistical hypothesis tests to verify whether the restrictions imposed by the models are supported by the data. Our main conclusion is that smoothness restrictions can be imposed on the loadings of dynamic factor models for the term structure of US interest rates but that the restrictions implied by a number of popular term structure models are rejected
The (ex officio) unfairness test of terms in general terms and conditions.:What does this mean for the authors of general terms and conditions?
M/L and Color Evolution for A Deep Sample of M* Cluster Galaxies at z~1: The Formation Epoch and the Tilt of the Fundamental Plane
We have measured velocity dispersions for a sample of 36 galaxies with J <
21.2 or Mr < -20.6 mag in MS1054-03, a massive cluster of galaxies at z = 0.83.
Our data are of uniformly high quality down to our selection limit, our 16-hour
exposures typically yielding errors of only \delta(dispersion)~10% for L* and
fainter galaxies. By combining our measurements with data from the literature,
we have 53 cluster galaxies with measured dispersions, and HST/ACS-derived
sizes, colors and surface brightnesses. This sample is complete for the typical
L* galaxy at z~1, unlike most previous z~1 cluster samples which are complete
only for the massive cluster members (>1e11 M_sun). We find no evidence for a
change in the tilt of the fundamental plane (FP). Nor do we find evidence for
evolution in the slope of the color-dispersion relation and M/L_B-dispersion
relations; measuring evolution at a fixed dispersion should minimize the impact
of size evolution found in other work. The M/L_B at fixed dispersion evolves by
\Delta log10 M/L_B=-0.50 +/- 0.03 between z=0.83 and z=0.02 or d(log10
M/L_B)=-0.60 +/- 0.04 dz, and we find \Delta (U-V)_z=-0.24 +/- 0.02 mag at
fixed dispersion in the rest-frame, matching the expected evolution in M/L_B
within 2.25 standard deviations. The implied formation redshift from both the
color and M/L_B evolution is z*=2.0 +/- 0.2 +/- 0.3 (sys), during the epoch in
which the cosmic star-formation activity peaked, with the systematic
uncertainty showing the dependence of z* on the assumptions we make about the
stellar populations. The lack of evolution in either the tilt of the FP or in
the M/L- and color-dispersion relations imply that the formation epoch depends
weakly on mass, ranging from z*=2.3 +1.3 -0.3 at 300 km/s to z*=1.7 +0.3 -0.2
at 160 km/s and implies that the IMF similarly varies slowly with galaxy mass.Comment: revised; typos corrected, references updated, and other cosmetic
changes to meet ApJ format ApJ accepted, 22 pages in emulate ApJ format, 8
color figures, 1 b/w figur
Spatially Resolved Stellar Kinematics of Field Early-Type Galaxies at z=1: Evolution of the Rotation Rate
We use the spatial information of our previously published VLT/FORS2
absorption line spectroscopy to measure mean stellar velocity and velocity
dispersion profiles of 25 field early-type galaxies at a median redshift z=0.97
(full range 0.6<z<1.2). This provides the first detailed study of early-type
galaxy rotation at these redshifts. From surface brightness profiles from HST
imaging we calculate two-integral oblate axisymmetric Jeans equation models for
the observed kinematics. Fits to the data yield for each galaxy the degree of
rotational support and the mass-to-light ratio M/L_Jeans. S0 and Sa galaxies
are generally rotationally supported, whereas elliptical galaxies rotate less
rapidly or not at all. Down to M(B)=-19.5 (corrected for luminosity evolution),
we find no evidence for evolution in the fraction of rotating early-type (E+S0)
galaxies between z=1 (63+/-11%) and the present (61+/-5%). We interpret this as
evidence for little or no change in the field S0 fraction with redshift. We
compare M/L_Jeans with M/L_vir inferred from the virial theorem and globally
averaged quantities and assuming homologous evolution. There is good agreement
for non-rotating (mostly E) galaxies. However, for rotationally supported
galaxies (mostly S0) M/L_Jeans is on average ~40% higher than M/L_vir. We
discuss possible explanations and the implications for the evolution of M/L
between z=1 and the present and its dependence on mass.Comment: To appear in ApJ 683 (9 pages, 7 figures). Minor changes included to
match published versio
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