Search results for "C3"
showing 10 items of 1295 documents
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
2005
Abstract This paper examines whether a monetary policy tightening (i.e., an increase in the domestic interest rate) was successful in defending the exchange rate from speculative pressures during the Asian financial crisis. We estimate a bivariate VECM for four Asian countries, and improve upon existing studies in two important ways. First, by using a long data span we are able to compare the effects of an interest rate rise on the nominal exchange rate during tranquil and turbulent periods. Second, we take into account the endogeneity of interest rates and identify the system by exploiting the heteroscedasticity properties of the relevant time series, following Rigobon [Identification thro…
How globalization is changing digital technology adoption: An international perspective
2021
Abstract This paper examines how globalization influences the adoption of digital technologies. The purpose of the paper is to explain how globalization affects new technology adoptions. We use country-level data from the globalization index (KOF), digital adoption index (DAI), global competitiveness index (GDI), and total factor productivity (TFP) on 183 countries and using advanced panel data modeling. Empirical findings show globalization can significantly affect technology adoption in all countries. The study's findings show globalization positively affects technology transfers and spillovers; here, using digital technology. Countries undergoing significant technological changes achieve…
A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
2008
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business and Economic Statistics, 20, 147–162] for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard [Harvey, A.C., Ruiz, E., Shephard, N., 1994. Multivariate Stochastic Variance Models. Review of Economic Studies, 61, 247–264]. We provide theoretical and Monte Carlo results on this method and apply it to S&P data.
Nonlinear dynamics of interest rate and inflation
2004
According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent with the theoretical models. In this paper we introduce a nonlinear bivariate mixture autoregressive model that seems to fit quarterly US data (1952 Q1 – 2000 Q2) reasonably well. It is found that the three-month treasury bill rate and inflation share a common nonlinear component that explains a large part of their persistence. The real interest rate is devoid of this component, indicating one-for-one m…
Ecological stoichiometry: a link between developmental speed and physiological stress in an omnivorous insect
2019
The elemental composition of organisms is a part of a suite of functional traits that may adaptively respond to fluctuating selection pressures. Life history theory predicts that predation risk and resource limitations impose selection pressures on organisms’ developmental time and are further associated with variability in energetic and behavioral traits. Between-individual differences in developmental speed, behaviors and physiology have been explained using the pace-of-life syndrome (POLS) hypothesis. However, how an organism’s developmental speed is linked with elemental body composition, metabolism and behavior is not well understood. We compared elemental body composition, latency to …
Beta Rebound as an Index of Temporal Integration of Somatosensory and Motor Signals
2020
Modulation of cortical beta rhythm (15-30 Hz) is present during preparation for and execution of voluntary movements as well as during somatosensory stimulation. A rebound in beta synchronization is observed after the end of voluntary movements as well as after somatosensory stimulation and is believed to describe the return to baseline of sensorimotor networks. However, the contribution of efferent and afferent signals to the beta rebound remains poorly understood. Here, we applied electrical median nerve stimulation (MNS) to the right side followed by transcranial magnetic stimulation (TMS) on the left primary motor cortex after either 15 or 25 ms. Because the afferent volley reaches the …
The Impact of Using Measurements of Electrodermal Activity in the Assessment of Problematic Behaviour in Dementia
2018
Background: A major and complex challenge when trying to support individuals with dementia is meeting the needs of those who experience changes in behaviour and mood. Aim: To explore how a sensor measuring electrodermal activity (EDA) impacts assistant nurses’ structured assessments of problematic behaviours amongst people with dementia and their choices of care interventions. Methods: Fourteen individuals with dementia wore a sensor that measured EDA. The information from the sensor was presented to assistant nurses during structured assessments of problematic behaviours. The evaluation process included scorings with the instrument NPI-NH (Neuropsychiatric Inventory-Nursing Home version), …
Absence Seizure Detection Algorithm for Portable EEG Devices
2021
Absence seizures are generalized nonmotor epileptic seizures with abrupt onset and termination. Transient impairment of consciousness and spike-slow wave discharges (SWDs) in EEG are their characteristic manifestations. This type of seizure is severe in two common pediatric syndromes: childhood (CAE) and juvenile (JAE) absence epilepsy. The appearance of low-cost, portable EEG devices has paved the way for long-term, remote monitoring of CAE and JAE patients. The potential benefits of this kind of monitoring include facilitating diagnosis, personalized drug titration, and determining the duration of pharmacotherapy. Herein, we present a novel absence detection algorithm based on the propert…