An action for the (2,0) self-dual tensor multiplet in a conformal supergravity background

We present the action for a self-dual tensor in six dimensions, coupled to a (2,0) conformal supergravity background. This action gives rise to the expected equations of motion. An alternative look upon one of the gauge symmetries clarifies its role in the supersymmetry transformation rules and the realisation of the algebra.Comment: 14 pages, accepted by Class. Quant. Gra

Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets?

Financial Integration, Multivariate GARCH Models, Euro Bond Markets, Spillover Effects, Asset Pricing, F15, G12,

Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean function. The covariates are assumed to depend (non)parametrically on past values of the covariates and of the observations. Our procedure is based on iterative fits of the covariates and nonparametric kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and the estimator is used for testing parametric specifications of the mean function. Our leading example is a semiparametric class of GARCH-in-Mean models. In this set-up our procedure provides a formal framework for testing economic theories that postulate functional relations between macroeconomic or financial variables and their conditional second moments. We illustrate the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM

New Small Firms and Dimensions of Economic Performance

Using data from US labour market areas, we quantify empirical associations between entry by small firms and a vector of economic performance measures encompassing levels, volatilities and growth rates of several income and employment variables. Distinct and robust associations are found for net and gross rates of entry. These results suggest a richer variety of effects of entry than previously documented, and point to several potential tradeoffs associated with entry by small firms