4,915 research outputs found

    Efficient Estimation of Conditional Asset Pricing Models

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    A semiparametric efficient estimation procedure is developed for the parameters of multivariate GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise unrestricted. Under high level restrictions, the resulting estimator achieves the asymptotic semiparametric efficiency bound. The elliptical symmetry assumption allows us to avert the curse of dimensionality problem that would otherwise arise in estimating the unknown error distribution. This framework is suitable for the estimation and testing of conditional asset pricing models such as the conditional CAPM, and we apply our estimator in an empirical study of stock prices, with Monte Carlo simulation results also being reported. Nous développons un nouvel estimateur pour les paramètres d'un modèle de GARCH en moyenne (" GARCH-M ") avec plusieurs variables. L'estimateur a l'efficacité semiparamétrique quand les erreurs suivent une loi de probabilité qui est elliptiquement symétrique mais n'aucune autre restriction. Sous les hypothèses de haut niveau, notre estimateur obtient la limite d'efficacité semiparamétrique. L'hypothèse de la symétrie elliptique nous permet d'éviter le problème d'estimer non-paramétriquement une fonction de haut dimension, parce qu'on peut écrire la densité d'un loi elliptique comme un fonction d'une transformation unidimensionnelle de la variable aléatoire multidimensionnelle. Ce cadre est approprié pour analyser des modèles conditionnels des prix des actifs financiers, comme le CAPM conditionnel. Nous appliquons notre méthodologie à l'étude des prix des actions, et nous rendons compte des résultats d'une étude simulation "Monte-Carlo".Capital asset pricing model, elliptical symmetry, semiparametric efficiency, GARCH.

    Quantum imaging of spin states in optical lattices

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    We investigate imaging of the spatial spin distribution of atoms in optical lattices using non-resonant light scattering. We demonstrate how scattering spatially correlated light from the atoms can result in spin state images with enhanced spatial resolution. Furthermore, we show how using spatially correlated light can lead to direct measurement of the spatial correlations of the atomic spin distribution

    Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

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    We develop new tests of the capital asset pricing model (CAPM) that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric, but otherwise unrestricted. The elliptical symmetry assumption allows us to avert the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. The elliptically symmetric family includes a number of thick-tailed distributions and so is potentially relevant in financial applications. Our estimated betas are lower than the OLS estimates, and our parameter estimates are much less consistent with the CAPM restrictions than the corresponding OLS estimates. Nous développons de nouveaux tests du modèle d'évaluation des actifs financiers (" CAPM ") qui tiennent compte de, et sont valides sous, l'hypothèse que les retours des actifs découlent d'un loi de probabilité elliptiquement symétrique. Cette hypothèse est nécessaire et suffisante pour la validité du CAPM. Notre test utilise un estimateur des paramètres du modèle qui a l'efficacité semiparamétrique quand on a un modèle de régression apparemment sans relation et qui a des erreurs qui suivent une loi elliptiquement symétrique. L'hypothèse de la symétrie elliptique nous permet d'éviter le problème d'estimer non-paramétriquement une fonction de haute dimension parce qu'on peut écrire la densité d'une loi elliptique comme une fonction d'une transformation unidimensionnelle de la variable aléatoire multidimensionnelle. La famille des lois elliptiquement symétriques inclue plusieurs lois leptokurtiques, donc elle est pertinente à des applications financières. Les bêtas obtenus avec notre estimateur sont plus bas que ceux qui sont obtenus en utilisant des moindres carrés, et sont moins compatibles avec le CAPM.Adaptive estimation, capital asset pricing model, elliptical symmetry, semiparametric efficiency

    Secret Spending in the States

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    Six years after Citizens United enabled unfettered spending in our elections, the use of so-called dark money has become disturbingly common. Contrary to the Supreme Court's assumption that this unlimited spending would be transparent to voters, at the federal level powerful groups have since 2010 poured hundreds of millions of dollars into influencing elections while obscuring the sources of their funding. But it is at the state and local levels that secret spending is arguably at its most damaging. For a clear understanding of the degree to which dark money is warping American democracy, state ballot referenda and local school board contests may be a better starting point than the presidential campaign or even congressional races. As Chris Herstam, a former Republican majority whip in the Arizona House of Representatives and now lobbyist, put it, "In my 33 years in Arizona politics and government, dark money is the most corrupting influence I have seen."This report documents how far outside spending -- election spending that is not coordinated with candidates -- at the state and local levels has veered from the vision of democratic transparency the Citizens United Court imagined, drawing on an extensive database of news accounts, interviews with a range of stakeholders, campaign finance and tax records, court cases, and social science research. For the first time, it also measures changes in dark money – and a thus far unrecognized rise in what we term "gray money" – at the state level, by analyzing spender and contributor reports in six of nine states where sufficient usable data were available. This set of six geographically and demographically diverse states, comprising Alaska, Arizona, California, Colorado, Maine, and Massachusetts, represents approximately 20 percent of the nation's population.

    Conformal gravity rotation curves with a conformal Higgs halo

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    We discuss the effect of a conformally coupled Higgs field on Conformal Gravity (CG) predictions for the rotation curves of galaxies. The Mannheim-Kazanas (MK) metric is a valid vacuum solution of CG's 4-th order Poisson equation if and only if the Higgs field has a particular radial profile, S(r) = S0 a/(r + a), decreasing from S0 at r = 0 with radial scale length a. Since particle rest masses scale with S(r)/S0, their world lines do not follow time-like geodesics of the MK metric gμν, as previously assumed, but rather those of the Higgs-frame MK metric ḡμν = Ω2 gμν, with the conformal factor Ω(r) = S(r)/S0. We show that the required stretching of the MK metric exactly cancels the linear potential that has been invoked to fit galaxy rotation curves without dark matter. We also formulate, for spherical structures with a Higgs halo S(r), the CG equations that must be solved for viable astrophysical tests of CG using galaxy and cluster dynamics and lensing.Publisher PDFPeer reviewe

    Prescription Opioid Policy and Illicit Drug Use

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    Opioids have become a major public health concern in recent years with non-medical use of both prescription opioids and heroin on the rise. There have been increases in opioid related overdoses, accidental deaths, treatment admissions, and sales associated with the increased illicit use of opioids. The following capstone project uses the three paper model to explore some of the issues associated with this rising epidemic including prescription opioid policies enacted in recent years, the populations these policies impact, and potential effects they may have on drug use behavior, as well as additional factors that potentially influence opioid user behavior. Paper one explores prescription opioid policy and reviews the literature evaluating these policies. Paper two focuses on the non-medical prescription opioid using population and explores how the demographic and drug use characteristics of the population differ across time, specifically the past decade. Finally, paper three examines heroin use in subgroups of prescription opioid users, with the main focus on non-medical OxyContin users compared to other non-medical prescription opioid users across the past decade

    Organizational perceptions and their relationships to job attitudes effort, performance and organizational citizenship behaviors

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    This study integrates and expands two models of organizational support perceptions, job attitudes, effort, and employee behavior (i.e., Brown & Leigh, 1996; Netemeyer, Boles, McKee, & McMurrian, 1997). An integrated model was hypothesized, in which Perceived Organizational Support and Perceived Opportunity for Reward impacted job satisfaction, organizational commitment, and job involvement, which in turn influenced effort (work intensity and time commitment), which subsequently impacted Organizational Citizenship Behaviors (OCBs) and in-role performance. Employee – supervisor dyads were surveyed (n = 279), and structural equation modeling was used to test the hypothesized model and several alternative models. Results indicated that the hypothesized model fit the data well, and fit better than several a priori developed alternatives. Inspection of specific parameter estimates indicated that POS and POR impacted job satisfaction, job involvement, and affective organizational commitment. In turn, job satisfaction influenced work intensity, whereas job involvement influenced time commitment. Contrary to predictions, employee effort did not significantly impact in-role performance or OCBs. Limitations, contributions, and practical implications are discussed

    Tree branch geometry efficiency and design optimisation in Sitka spruce

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