A non-parametric investigation of risk premia

This paper investigates features of credit risk using non-parametric techniques, studying determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This approach demonstrates the usefulness of non-linear approaches in contrast with standard linear approaches. The model is also useful to forecast the future course of the spread.Risk premium, affine models, non-parametric regression

Testing Linearity in Term Structures

Recent empirical studies suggests that affine models, a popular framework to analyse term structures of interest rates, are misspecified. This evidence is mainly based on time series properties of the data. This article re-examines this controversy, by investigating both cross-sectional and dynamic properties of affine models. To do so, it applies robust non-parametric techniques to two different sets of financial data, which contain information on the UK and US yield curve. The analysis shows the strong non-linearity in the relationship of yields to the US and UK short rate. The non-linear pattern is concave in the state variable, and increasing with respect to the maturity, for both countries. Linear and non-linear specifications are then compared by means of a formal statistical criterion, the Generalised Likelihood-Ratio test statistics, which confirms evidence against the linear specification.interest rates; term structure; affine models; non-linearity; non-parametric regression.

Reciprocal attention and norm of reciprocity in blogging networks

Bloggers devote significant time not only producing content for others to read, watch or listen to, but also paying attention to and engaging in interactions with other bloggers. We hope to throw light not only on the factors that gain bloggers significant readership and lively interactions with their audience, but also on the rules that govern their relations with others. We relate bloggers' activity with the size and structure of their network of fellow bloggers. A blogger's readership increases with his activity, while bloggers who read back proportionally fewer of their readers tend also to be more active. We find evidence that those bloggers who read back proportionally fewer of their readers have less readers than bloggers who reciprocate more, but tend to receive more comments per posts.Blog, Community, Interaction, Internet, LiveJournal, Media, Network, Reciprocity, Social Network, Web 2.0

A non-parametric investigation of risk premia

This paper studies determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This study shows that non-linear methods are useful to investigate features of credit risk and that they give better results than their linear counterparts, enabling testing of affine term-structure specifications. The paper also shows how the non-linear model can be used to forecast the future course of the spread.risk premium, corporate spread, default, additive models, non-parametric estimation.

A non-parametric investigation of risk premia

This paper studies determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This study shows that non-linear methods are useful to investigate features of credit risk and that they give better results than their linear counterparts, enabling testing of affine term-structure specifications. The paper also shows how the non-linear model can be used to forecast the future course of the spread

Failure analysis of satellite subsystems to define suitable de-orbit devices

Space missions in Low Earth Orbit (LEO) are severely affected by the build-up of orbital debris. A key practice, to be compliant with IADC (Inter-Agency Space Debris Coordination Committee) mitigation guidelines, is the removal of space systems that interfere with the LEO region not later than 25 years after the End of Mission. It is important to note that the current guidelines are not generally legally binding, even if different Space Agencies are now looking at the compliance for their missions. If the guidelines will change in law, it will be mandatory to have a postmission disposal strategy for all satellites, including micro and smaller classes. A potential increased number of these satellites is confirmed by different projections, in particular in the commercial sector. Micro and smaller spacecraft are, in general, not provided with propulsion capabilities to achieve a controlled re-entry, so they need different de-orbit disposal methods. When considering the utility of different debris mitigation methods, it is useful to understand which spacecraft subsystems are most likely to fail and how this may affect the operation of a de-orbit system. This also helps the consideration of which components are the most relevant or should be redundant depending on the satellite mass class. This work is based on a sample of LEO and MEO satellites launched between January 2000 and December 2014 with mass lower than 1000 kg. Failure analysis of satellite subsystems is performed by means of the Kaplan–Meier survival analysis; the parametric fits are conducted with Weibull distributions. The study is carried out by using the satellite database SpaceTrak™ which provides anomalies, failures, and trends information for spacecraft subsystems and launch vehicles. The database identifies five states for each satellite subsystem: three degraded states, one fully operational state, and one failed state (complete failure). The results obtained can guide the identification of the activation procedure for a de-orbit strategy and the level of integration it should have with the host satellite in order to be activated before a total failure. At Cranfield Space Research Centre two different solutions have already been developed as de-orbit sail payloads for microsatellites (Icarus-1 on TechDemoSat-1 and Icarus-3 on Carbonite-1 currently on-orbit, DOM for future ESA ESEO mission). This study will provide a useful input to improve and refine the current de-orbit concepts for future satellite missions

A non-parametric investigation of risk premia

This paper studies determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This study shows that non-linear methods are useful to investigate features of credit risk and that they give better results than their linear counterparts, enabling testing of affine term-structure specifications. The paper also shows how the non-linear model can be used to forecast the future course of the spread

Environmental efficiency indices: towards a new approach to green-growth accounting

This article analyses the link between environmental and productive efficiency in a group of EU member states and the US using data from the UN Framework Convention on Climate Change. Its main indicator, carbon intensity, is defined as the ratio of total greenhouse gases emissions to output. A non-parametric frontier approach enables modelling a multiple output technology in which greenhouse gas emissions are an undesirable outcome of a production process. A DEA method is used to compute environmental efficiency indices, which grade countries according to their ability to increase production while reducing pollutants, under minimal assumptions. The only assumptions are that bad outputs are costly to dispose of and that returns to scale are variable. The study shows that productive efficiency is considerably lowered when environmental degradation are taken into account. Only two (Luxembourg and Sweden) out of 16 countries are environmentally efficient. Malmquist indices, however, show that environmental performances improved over the period considered in nearly all countries. A decomposition of carbon intensity, which links emission performance to technical progress, is also presented; this highlights the positive contribution of labour productivity on the reduction in carbon intensity. Finally, no evidence of a DEA-based environmental Kuznet curve is found

OpenCitations: an Open e-Infrastructure to Foster Maximum Reuse of Citation Data

OpenCitations is an independent not-for-profit infrastructure organization for open scholarship dedicated to the publication of open bibliographic and citation data by the use of Semantic Web (Linked Data) technologies. OpenCitations collaborates with projects that are part of the Open Science ecosystem and complies with the UNESCO founding principles of Open Science, the I4OC recommendations, and the FAIR data principles that data should be Findable, Accessible, Interoperable and Reusable. Since its data satisfies all the Reuse guidelines provided by FAIR in terms of richness, provenance, usage licenses and domain-relevant community standards, OpenCitations provides an example of a successful open e-infrastructure in which the reusability of data is integral to its mission

A new unit labour cost changes decomposition Four pillars of cost competitiveness recovery

This article presents a new decomposition of unit labour costs into compensation per worker and labour productivity, which, in turn, is decomposed into efficiency gains, technical progress and capital deepening. Data for Western European countries and the US show that the evolution of labour productivity components counteracts the deterioration in countries' cost competitiveness caused by increases in nominal wages. The policy implication is that efforts aimed at reducing nominal labour costs should be accompanied by policies fostering capital deepening. Further improvements in countries' cost competitiveness can be achieved by enhancing efficiency gains and technical progress, which has been mostly negative during the period under study