Search results for "G15"
showing 10 items of 37 documents
Almost sure central limit theorems for random ratios and applications to lse for fractional ornstein–uhlenbeck processes
2012
We investigate an almost sure limit theorem (ASCLT) for sequences of random variables having the form of a ratio of two terms such that the numerator satisfies the ASCLT and the denominator is a positive term which converges almost surely to 1. This result leads to the ASCLT for least square estimators for Ornstein-Uhlenbeck process driven by fractional Brownian motion.
Coordinates for quasi-Fuchsian punctured torus space
1998
We consider complex Fenchel-Nielsen coordinates on the quasi-Fuchsian space of punctured tori. These coordinates arise from a generalisation of Kra's plumbing construction and are related to earthquakes on Teichmueller space. They also allow us to interpolate between two coordinate systems on Teichmueller space, namely the classical Fuchsian space with Fenchel-Nielsen coordinates and the Maskit embedding. We also show how they relate to the pleating coordinates of Keen and Series.
Globalization of Monitoring Practices: The Case of American Influences on the Dismissal Risk of European CEOs
2013
Accepted version of an article from the Journal of Economics and Business This study examines globalization of monitoring practices by focusing on how American (U.S.) influences on European firms impact the dismissal risk for these firms' CEOs. Specifically, we argue that the stronger short term orientation of the American corporate governance system increase the dismissal performance sensitivity faced by European CEOs, indirectly and directly. The former materializes via European firms cross-listing on U.S. exchanges, the latter results from European firms hiring U.S. independent board members. Both influences are expected to result in increased dismissal performance sensitivity. Based on …
The Abundant Tegument Protein pUL25 of Human Cytomegalovirus Prevents Proteasomal Degradation of pUL26 and Supports Its Suppression of ISGylation
2018
The tegument of human cytomegalovirus (HCMV) virions contains proteins that interfere with both the intrinsic and the innate immunity. One protein with a thus far unknown function is pUL25. The deletion of pUL25 in a viral mutant (Towne-ΔUL25) had no impact on the release of virions and subviral dense bodies or on virion morphogenesis. Proteomic analyses showed few alterations in the overall protein composition of extracellular particles. A surprising result, however, was the almost complete absence of pUL26 in virions and dense bodies of Towne-ΔUL25 and a reduction of the large isoform pUL26-p27 in mutant virus-infected cells. pUL26 had been shown to inhibit protein conjugation with the in…
SEA presidential address: Group connectivity and cooperation
2011
A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately symmetric to the sign on VIBEX-NEW changes and asymmetric to the IBEX-35 returns sign, which make it clearly a suitable volatility index for the Spanish stock market. We also examine the relationship between curr…
The determinants of increasing equity market comovement: economic or financial integration?
2010
This paper investigates to what extent the substantial increase in exposures of local European equity market returns to global shocks is mainly due to a convergence in cash flows (“economic integration”), to a convergence in discount rates (“financial integration”), or to both. We find that this increased exposure is nearly entirely due to increasing discount-rate betas. This finding is robust to alternative ways of calculating discount-rate and cash-flow shocks.
Determinants of interest margins in Spanish credit institutions before and after the 2008 financial crash
2017
As interest margins of credit institutions affect economic performance of countries, finding out which are the main determinants of their evolution is a research task of great interest at current times. This is the purpose of the present paper as regards to the Spanish case over the period 2004-2012. Based on the econometric contributions by Ho and Saunders (1981) and some of its extensions, the authors develop a model that includes as explanatory variables the factors usually examined in the literature and other singular variables that might be relevant. Particularly, the rate of leverage, the quality of their assets measured according to their risk, and the profit obtained from the sellin…
UME Y LA INTEGRACIÓN DE LOS MERCADOS DE CAPITALES EUROPEOS: RELEVANCIA DEL TIPO DE CAMBIO Y LA INFLACIÓN
2007
The aim of this paper is to investigate the effects of the European Monetary Union on the hypothesis of an integrated European Capital Market from January 1993 to December 2004. The extent of the period and the use of Fama and MacBeth [1973]'s methodology for estimating a large number of international asset pricing models that includes an Adler and Dumas [1983] model with and without domestic factor make possible to evaluate this hypothesis as a process towards a full integration. However, our results show that the integration is not a uniform process at all times and for all stocks and recedes in the period 2001-04 with the reappearance of a significant domestic risk premium (diversifiable…
Teichmuller Space and Related Topics : Proceedings of the workshop on Geometry, January 20, 2011, JOSAI UNIVERSITY
2012
The theory of geometric structures on a surface with nonempty boundary can be developed by using a decomposit,ion of such a surface into hexagons, in the same way as the theory of geometric structures on a surface without boundary is developed using the decomposition of such a surface into pairs of pants. The basic elements of the theory for surfaces with boundary include the study of measured foliations and of hyperbolic structures on hexagons. It turns out that there is an interesting space of measured foliations on a hexagon, which is equipped with a piecewise-Iinear structure (in fact, a natural cell-decomposition), and this space is a natural boundary for the space of hyperbolic struct…
Calibrating Expert Assessments Using Hierarchical Gaussian Process Models
2020
Expert assessments are routinely used to inform management and other decision making. However, often these assessments contain considerable biases and uncertainties for which reason they should be calibrated if possible. Moreover, coherently combining multiple expert assessments into one estimate poses a long-standing problem in statistics since modeling expert knowledge is often difficult. Here, we present a hierarchical Bayesian model for expert calibration in a task of estimating a continuous univariate parameter. The model allows experts' biases to vary as a function of the true value of the parameter and according to the expert's background. We follow the fully Bayesian approach (the s…