10,768 research outputs found
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A test for volatility spillovers
This paper proposes a new procedure for analyzing volatility links between di®erent
markets based on a bivariate Markov switching model. An empirical application of this
procedure to three emerging markets is examined and discussed
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Red Signals: Trade Deficits and the Current Account
This paper proposes a method to asses the potential problems of sustainability of a country’s
sovereign debt. We claim that the relevant variables used for this analysis are typically subject to
changes which are associated with changes in macroeconomics policies. We propose a procedure
for identifying periods under which the trade deficit and the current account accumulate at a nonstationary
rate. Our approach is based on imposing identifying restrictions on Markov switching
type models. An empirical application of the procedure to UK data is examined and discussed.
We find that periods of non-stationary trade deficits typically coincide with current account crises
Coordinate representation for non Hermitian position and momentum operators
In this paper we undertake an analysis of the eigenstates of two non
self-adjoint operators and similar, in a suitable sense, to
the self-adjoint position and momentum operators and
usually adopted in ordinary quantum mechanics. In particular we discuss
conditions for these eigenstates to be {\em biorthogonal distributions}, and we
discuss few of their properties. We illustrate our results with two examples,
one in which the similarity map between the self-adjoint and the non
self-adjoint is bounded, with bounded inverse, and the other in which this is
not true. We also briefly propose an alternative strategy to deal with
and , based on the so-called {\em quasi *-algebras}.Comment: Accepted in Proceedings of the Royal Society
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables
This paper develops a model for the forward and spot exchange rate which allows for the
presence of a Markov switching risk premium in the forward market and considers the issue
of testing for the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data,
it is shown that the UFER hypothesis cannot be rejected provided that instrumental variables
are used to account for within-regime correlation between explanatory variables and
disturbances in the Markov switching model on which the test is based
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Exchange rate uncertainty and international portfolio flows
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean model is estimated using bilateral data for the US vis-à-vis Australia, the UK, Japan, Canada, the euro area, and Sweden over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst it is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk aversion, this suggests that exchange rate uncertainty induces a home bias and causes investors to reduce their financing activities to maximise returns and minimise exposure to uncertainty. Furthermore, since exchange rate volatility and the variability of flows are interlinked, exchange rate or credit controls on these flows can be used to pursue economic and financial stability
Constraints on anomalous gauge couplings from present LEP1 and future LEP2, BNL data
We analyze, in a rather general model where anomalous triple gauge couplings
are present, the visible effects in R (measured at LEP1), in W pair
production (to be measured at LEP2) and in the muon anomalous magnetic moment
(to be measured at BNL). From the combination of the three experiments a
remarkable improvement on the pure LEP2 constraints is obtained.Comment: 10 pages and 6 figures. e-mail: [email protected]
Photometric measurements of simulated lunar surfaces Quarterly progress report no. 2, 1 Oct. - 31 Dec. 1965
Spectral and suspended particle photometry and geometry of backscattering surfaces in study on photometric measurements of simulated lunar surface
Photometric measurements of simulated lunar surfaces Quarterly progress report, Jul. 1 - Sep. 30, 1965
Modified photometric analyzer and enlarged beam splitter for studying simulated lunar surfaces and opposition effect on moo
Contemporaneous-threshold smooth transition GARCH models
This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH)model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization tosecond conditional moments of the contemporaneous smooth transition threshold autoregressive
model of Dueker et al. (2007) in which the regime weights depend on the ex ante probability that a contemporaneous latent regime-specific variable exceeds a threshold value. A key feature of the C-STGARCH model is that its transition function depends on all the parameters of the model as well as on the data. The structural properties of the model are investigated, in addition to the finite-sample properties of the maximum likelihood estimator of its parameters. An application to U.S. stock returns illustrates the practical usefulness of the C-STGARCH model
Nonlinear Relaxation in Population Dynamics
We analyze the nonlinear relaxation of a complex ecosystem composed of many
interacting species. The ecological system is described by generalized
Lotka-Volterra equations with a multiplicative noise. The transient dynamics is
studied in the framework of the mean field theory and with random interaction
between the species. We focus on the statistical properties of the asymptotic
behaviour of the time integral of the i-th population and on the distribution
of the population and of the local field.Comment: 11 pages, 4 figures, in press in Int. Journal of Fractals (2001
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