Testing the existence of clustering in the extreme values

This paper introduces an estimator for the extremal index as the ratio of the number of elements of two point processes defined by threshold sequences un, vn and a partition of the sequence in different blocks of the same size. The first point process is defined by the sequence of the block maxima that exceed un. This paper introduces a thinning of this point process, defined by a threshold vn with vn > un, and with the appealing property that under some mild conditions the ratio of the number of elements of both point processes is a consistent estimator of the extremal index. The method supports a hypothesis test for the extremal index, and hence for testing the existence of clustering in the extreme values. Other advantages are that it allows some freedom to choose un, and it is not very sensitive to the choice of the partition. Finally, the stylized facts found in financial returns (clustering, skewness, heavy tails) are tested via the extremal index, in this case for the DaX return

Testing the existence of clustering in the extreme values.

This paper introduces an estimator for the extremal index as the ratio of the number of elements of two point processes defined by threshold sequences un, vn and a partition of the sequence in different blocks of the same size. The first point process is defined by the sequence of the block maxima that exceed un. This paper introduces a thinning of this point process, defined by a threshold vn with vn > un, and with the appealing property that under some mild conditions the ratio of the number of elements of both point processes is a consistent estimator of the extremal index. The method supports a hypothesis test for the extremal index, and hence for testing the existence of clustering in the extreme values. Other advantages are that it allows some freedom to choose un, and it is not very sensitive to the choice of the partition. Finally, the stylized facts found in financial returns (clustering, skewness, heavy tails) are tested via the extremal index, in this case for the DaX returns

Contagion versus flight to quality in financial markets

None doubts that financial markets are related (interdependent). What is not so clear is whether there exists contagion among them or not, its intensity, and its causal direction. The aim of this paper is to define properly the term contagion (different from interdependence) and to present a formal test for its existence, the magnitude of its intensity, and for its direction. Our definition of contagion lies on tail dependence measures and it is made operational through its equivalence with some copula properties. In order to do that, we define a NEW copula, a variant of the Gumbel type, that is sufficiently flexible to describe different patterns of dependence, as well as being able to model asymmetric effects of the analyzed variables (something not allowed with the standard copula models). Finally, we estimate our copula model to test the intensity and the direction of the extreme causality between bonds and stocks markets (in particular, the flight to quality phenomenon) during crises periods. We find evidence of a substitution effect between Dow Jones Corporate Bonds Index with 2 years maturity and Dow Jones Stock Price Index when one of them is through distress periods. On the contrary, if both are going through crises periods a contagion effect is observed. The analysis of the corresponding 30 years maturity bonds with the stock market reflects independent effects of the shocks

Downside Risk Efficiency Under Market Distress

In moments of financial distress downside risk measures like lower partial moments are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to choose optimal portfolios in these periods. In order to do this we extend the definition of lower partial moments to this environment, derive the corresponding mean-risk dominance set and define the concept of stochastic dominance under distress. The paper shows the close connection between the mean-risk dominance set and the stochastic dominance frontier in these situations. The advantage of using stochastic dominance is that we can readily compare investors' preferences over investment portfolios in a meaningful way regardless their degree of risk aversion. We do this by proposing a hypothesis test. Our novel family of test statistics for testing stochastic dominance under distress makes allowance for testing orders of dominance higher than one, for general forms of dependence between portfolios and can be extended to residuals of regression models. These results are illustrated in an empirical application for data from US stocks. We show that mean- variance strategies are stochastically dominated by meanrisk efficient portfolios in episodes of financial distress.Downside risk, Lower partial moments, Market distress, Mean-risk models, Mean-variance models,Stochastic dominance

Conditional stochastic dominance tests in dynamic settings

This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests resides on the nonparametric manner of incorporating the information set into the test. The test allows for general forms of unknown serial and mutual dependence between random variables, and has an asymptotic distribution under the null hypothesis that can be easily approximated by a p-value transformation method. This method has a good finite-sample performance. These tests are applied to determine investment efficiency between US industry portfolios conditional on the performance of the market portfolio. Our analysis suggests that Utilities are the best performing sectors in normal as well as distress episodes of the market.Empirical processes, Hypothesis testing, Lower partial moments, Martingale difference sequence, P-value transformation, Stochastic dominance,

The archaeology in Cordoba in the age of Antonio Cruz Conde (1951‐1962)

Este trabajo se centra en el análisis de las labores de excavación, restauración y puesta en valor acometidas durante el mandato de Antonio Cruz Conde (1951-1962) en una serie de monumentos históricos de Córdoba; a saber: el templo romano de la calle Claudio Marcelo, el Alcázar de los Reyes Cristianos, la torre de la Calahorra, las murallas occidentales y la Plaza de la Corredera. Además de llevar a cabo la recopilación historiográfica sobre tales intervenciones, hemos intentado establecer una comparación crítica entre las mismas y las actuaciones de investigación y rehabilitación desarrolladas en los últimos años del siglo XX y a principios del XXI.This work focuses on the analysis of the works of excavation and restoration in a series of historic monuments of Cordoba by Antonio Cruz Conde during his time in office (1951-1962). He worked at the Roman temple of Claudio Marcelo Street, the Alcazar of Christian Kings, the Calahorra Tower, the West walls and the Corredera Square. This article will explore his contributions to the archaeology and heritage of Cordoba and provide a comparison with what was achieved in the last years of the 20th and first years of the 21th centuries

Conditional stochastic dominance tests in dynamic settings

This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests resides on the nonparametric manner of incorporating the information set into the test. The test allows for general forms of unknown serial and mutual dependence between random variables, and has an asymptotic distribution under the null hypothesis that can be easily approximated by a p-value transformation method. This method has a good finite-sample performance. These tests are applied to determine investment efficiency between US industry portfolios conditional on the performance of the market portfolio. Our analysis suggests that Utilities are the best performing sectors in normal as well as distress episodes of the market

Supporting teachers in collaborative student modeling: a framework and an implementation

Collaborative student modeling in adaptive learning environments allows the learners to inspect and modify their own student models. It is often considered as a collaboration between students and the system to promote learners’ reflection and to collaboratively assess the course. When adaptive learning environments are used in the classroom, teachers act as a guide through the learning process. Thus, they need to monitor students’ interactions in order to understand and evaluate their activities. Although, the knowledge gained through this monitorization can be extremely useful to student modeling, collaboration between teachers and the system to achieve this goal has not been considered in the literature. In this paper we present a framework to support teachers in this task. In order to prove the usefulness of this framework we have implemented and evaluated it in an adaptive web-based educational system called PDinamet.Postprint (author's final draft

Unconventional monetary policies and the credit market

We propose a theoretical model based on the bank lending channel to assess the ability of lending facilities and swap programs to affect the credit interest rate. The model predicts the success of both unconventional monetary measures in reducing the credit interest rate under very general conditions. The comparison between measures reveals the outperformance of lending facilities over swap programs if i) the risk premium on the interbank money market is sizeable and the yield on government bonds is low, ii) the share of bank lending obtained from the central bank is below some specific threshold, iii) the interest rate offered by the central bank on excess reserves is high, and iv) the default rate on loans is high. The quantitative assessment of the model with real data confirms the appropriate response of the Federal Reserve in recent crisis episodes but sheds some doubts on the European Central Bank intervention