Search results for " points"
showing 10 items of 214 documents
Rolling over stock index futures contracts
2009
Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…
Speculation and lottery-like demand in cryptocurrency markets
2021
Abstract This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns appear to be short-memory processes, we modify Bali, Cakici and Whitelaw’s (2011) and Bali, Brown, Murray, and Tang’s (2017) MAX measure and employ a weekly forecast horizon and daily log-returns from the previous week to calculate the metric for our portfolio sorts. From an econometric point of view, this study proposes statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data. Our results show that average raw and risk-adjusted return differences between cryptocurrencies in the lowest a…
Instability tests in cointegration relationships. An application to the term structure of interest rates
2002
Abstract This paper tries to review, from a practitioner's point of view, the recent strand of literature on cointegration tests allowing for structural changes or parameter instability. Thus, we apply several tests using as an example the expectations model of the term structure of interest rates. The results are consistent with the existence of cointegration between the long and the short run Spanish interest rates, with a vector (1,−1), as predicted by the theory. However, there is also evidence of structural instability, mainly at the beginning of 1994, that can be attributed to the financial changes that occurred in Spain as a result of its external commitments in the process of the Eu…
Re-examining the migration–trade link using province data: An application of the generalized propensity score
2013
Abstract The migration–trade link has been studied extensively since the mid nineties, finding a positive impact through different channels. Based on the generalized propensity score (GPS) methodology, we estimate a dose–response function, depicting a non-linear impact of immigration on exports using province data for Spain and Italy. For both countries the response of province exports to more immigrants from a given nationality is always positive, although varies with the level of immigrants. First we find neither minimum threshold nor exhaustion point in the effectiveness of the immigration networks on province exports. Second we find that the value of the potential bilateral exports reac…
The Influence of the Endogenous and Exogenous Factors on Credit Institutions’ Return on Equity
2015
Abstract The research’s purpose is to study the credit institutions’ performance, from the shareholders’ point of view, through return on equity (ROE). It aims to identify a dependency relationship between return on equity (ROE) and endogenous factors (the growth rate of credit portfolio, the growth rate provisions, the solvency ratio), on the one hand and, on the other hand between ROE and the exogenous ones (GDP and inflation rate). The research was done over an horizon of 10 years (2004-2013) on the evolution of the return on equity indicator of two credit institutions listed on Bucharest Stock Exchange (Carpathian Commercial Bank SA and Banca Transilvania SA), highlights their vulnerabi…
Above-bandgap ordinary optical properties of GaSe single crystal
2009
We report above-bandgap ordinary optical properties of ε-phase GaSe single crystal. Reference-quality pseudodielectric function 〈ε(E)〉 = 〈ε1(E)〉+i〈ε2(E)〉 and pseudorefractive index 〈N(E)〉 = 〈n(E)〉+i〈k(E)〉 spectra were measured by spectroscopic ellipsometry from 0.73 to 6.45 eV at room temperature for the light polarization perpendicular to the optic axis (math⊥math). The 〈ε〉 spectrum exhibited several interband-transition critical-point structures. Analysis of second-energy derivatives calculated numerically from the measured data yielded the critical-point energy values. Carmen.Martinez-Tomas@uv.es
Multiple solutions for quasilinear elliptic problems via critical points in open sublevels and truncation principles
2012
Abstract We study a quasilinear elliptic problem depending on a parameter λ of the form − Δ p u = λ f ( u ) in Ω , u = 0 on ∂ Ω . We present a novel variational approach that allows us to obtain multiplicity, regularity and a priori estimate of solutions by assuming certain growth and sign conditions on f prescribed only near zero. More precisely, we describe an interval of parameters λ for which the problem under consideration admits at least three nontrivial solutions: two extremal constant-sign solutions and one sign-changing solution. Our approach is based on an abstract localization principle of critical points of functionals of the form E = Φ − λ Ψ on open sublevels Φ − 1 ( ] − ∞ , …
An Introduction to Geometric Algebra and Conics
2016
This chapter introduces the conics and characterizes them from an algebraic perspective. While in depth geometrical aspects of the conics lie outside the scopes of this chapter, this chapter is an opportunity to revisit concepts studied in other chapters such as matrix and determinant and assign a new geometric characterization to them.
A Methodology to Detect the Deviations of the Project s Budget Compared to Market Prices
2015
[EN] The budget of a project reflects the cost of the investment needed to build an infrastructure, install a system or acquire new materials or supplies. A well-formulated budget in accordance with market prices, allows contractors to prepare offers according to their technical, economic and financial characteristics. On the other hand, it avoids current philosophies that aim to get the contract at any price. Philosophies subsequently used to point out problems and claims during the execution of the project (contradictory prices, delays, etc.) in order to recover some or the entire economic bid carried out during the tendering. In this paper a simple and fast methodology is developed to ch…
Nonlinear psi-quasi-contractions of Ciric-type in partial metric spaces
2012
In this paper we obtain results of fixed and common fixed points for self-mappings satisfying a nonlinear contractive condition of Ciric-type in the framework of partial metric spaces. We also prove results of fixed point for self-mappings satisfying an ordered nonlinear contractive condition in the setting of ordered partial metric spaces.