Search results for "ExPEC"
showing 10 items of 585 documents
Fractional quantum Hall effect in the interacting Hofstadter model via tensor networks
2017
We show via tensor network methods that the Harper-Hofstadter Hamiltonian for hard-core bosons on a square geometry supports a topological phase realizing the $\nu=1/2$ fractional quantum Hall effect on the lattice. We address the robustness of the ground state degeneracy and of the energy gap, measure the many-body Chern number, and characterize the system using Green functions, showing that they decay algebraically at the edges of open geometries, indicating the presence of gapless edge modes. Moreover, we estimate the topological entanglement entropy by taking a combination of lattice bipartitions that reproduces the topological structure of the original proposals by Kitaev and Preskill,…
Risk Management for Sovereign Financing within a Debt Sustainability Framework
2018
The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing decisions in the presence of macroeconomic, financial, and fiscal risks. We optimize the maturity of debt instruments to trade off borrowing costs with refinancing risk. Risk is quantified with a coherent measure of tail risk of financing needs, conditional Flow-at-Risk. A constraint on the pace of reduction of debt stocks is also imposed, and we model the effect of debt stocks on the yield curve through endogenous risk and term premia. On a simulated economy, we show that t…
Effects of Behavioural Finance on Emerging Capital Markets
2014
Abstract A recent common view of finance experts is that it is becoming increasingly difficult to understand how the economy as a whole works. Although the efficient market theory might be considered an ideal model enabling the interpretation of market behavior, it has begun to lose ground, and the rationality hypothesis failed to explain the excessive volatility of the returns and trading volume recorded on both developed capital markets and emerging ones. Adding the behavioral finance perspective to the equation can help us to understand better how market agents will react. In this article, we investigate the factors that may explain the trading volume evolution on two emerging capital ma…
Effects of Behavioural Factors on Human Financial Decisions
2014
Abstract In this article, we investigate the factors that may explain the trading volume evolution on two emerging capital markets, Romania and Brazil. We analyze the impact of both investors who ground their trading behaviour on rational expectations and investors who show psychological and emotional facets of the human decision, which we call behavioural errors, as independent variables on the trading volume as dependent variable. The results indicate that trading is influenced by the investors’ irrational behaviour. Thus, the rationality hypothesis can be rejected for both capital markets.
Risk Management for Sovereign Debt Financing with Sustainability Conditions
2019
We develop a model of debt sustainability analysis with optimal financing decisions in the presence of macroeconomic, financial and fiscal uncertainty. We define a coherent measure of refinancing risk, and trade off the risks of debt stock and flow dynamics, subject to debt sustainability constraints and endogenous risk and term premia. We optimize both static and dynamic financing strategies, compare them with several simple rules and consol financing to demonstrate economically significant effects of optimal financing, and show that the stock-flow tradeoff can be critical for sustainability. We quantify the minimum refinancing risk and the maximum rate of debt reduction that a sovereign c…
Robustness of the risk–return relationship in the U.S. stock market
2008
Abstract Using GARCH-in-Mean models, we study the robustness of the risk–return relationship in monthly U.S. stock market returns (1928:1–2004:12) with respect to the specification of the conditional mean equation. The issue is important because in this commonly used framework, unnecessarily including an intercept is known to distort conclusions. The existence of the relationship is relatively robust, but its strength depends on the prior belief concerning the intercept. The latter applies in particular to the first half of the sample, where also the coefficient of the relative risk aversion is smaller and the equity premium greater than in the latter half.
Illiquidity Risk and the Long-Run Underperformance of Seasoned Equity Issues in the Spanish Market
2008
This paper presents new evidence on potential risk-based explanations for the low SEO returns in the year after the issue. Specifically, we analyse whether the issue leads to a long-term higher stock liquidity that implies that SEO stocks have lower expected return due to lower exposure to liquidity risk factor. Therefore, we investigate if Spanish SEO firms experience significant changes in long-term liquidity after the issue. Results suggest that SEO-firm liquidity increases significantly in the year after the issue. Finally, we explore the post-performance of SEO firms explicitly accounting for liquidity risk. In particular, we employ the three factor model by Fama and French (1993) exte…
Cardiovascular disease burden from ambient air pollution in Europe reassessed using novel hazard ratio functions
2019
Abstract Aims Ambient air pollution is a major health risk, leading to respiratory and cardiovascular mortality. A recent Global Exposure Mortality Model, based on an unmatched number of cohort studies in many countries, provides new hazard ratio functions, calling for re-evaluation of the disease burden. Accordingly, we estimated excess cardiovascular mortality attributed to air pollution in Europe. Methods and results The new hazard ratio functions have been combined with ambient air pollution exposure data to estimate the impacts in Europe and the 28 countries of the European Union (EU-28). The annual excess mortality rate from ambient air pollution in Europe is 790 000 [95% confidence i…
Comparing FPCA Based on Conditional Quantile Functions and FPCA Based on Conditional Mean Function
2019
In this work functional principal component analysis (FPCA) based on quantile functions is proposed as an alternative to the classical approach, based on the functional mean. Quantile regression characterizes the conditional distribution of a response variable and, in particular, some features like the tails behavior; smoothing splines have also been usefully applied to quantile regression to allow for a more flexible modelling. This framework finds application in contexts involving multiple high frequency time series, for which the functional data analysis (FDA) approach is a natural choice. Quantile regression is then extended to the estimation of functional quantiles and our proposal exp…
Measuring wage discrimination according to an expected utility approach
2012
Following on from the seminal works by Blinder (1973) and Oaxaca (1973), many methods have been proposed to measure wage discrimination against women. Some of these methods focus on the entire distribution of the discrimination experienced by each woman, underlining a common aspect of poverty and discrimination analysis: the latter two are both based on an idea of deprivation which originates from a poverty line (in the case of poverty) and from the expected wage in the absence of discrimination (in the case of wage discrimination) (Jenkins, 1994; Del Río et al., 2011). These approaches hinge on conditional-to-individual-characteristics expected wages, lacking in any focus regarding the ent…