Excess Return Forecast Using a Dynamic Asset Class Factor Model

E-print/Working paper (2012)

We propose a Dynamic Hierarchical Factor Model using Asset classes to predict mutual funds excess returns. We use different forecast combination schemes of bivariate model considering each asset class ... [more ▼]

We propose a Dynamic Hierarchical Factor Model using Asset classes to predict mutual funds excess returns. We use different forecast combination schemes of bivariate model considering each asset class factor in isolation. Primary analysis highlights the importance to account for asset class specific variations together with between classes or common variations. Further refinements of the a priori repartition are however in order. Forecasting performance of the model outperforms the historical mean benchmark both in terms of MSPE and utility based criteria. A forecasting exercise matching more closely real-time conditions must be undertaken to validate these initial results. [less ▲]

Excessive Pricing: The Flaws of ‘Tea Party Competition’ Policy

in Journal of European Competition Law and Practice (2011), 2(6), 519-520

Since the adoption of the Guidance Communication in 2009, the Commission has kept exploitative abuses— and in particular excessive pricing cases—in a state of artificial hibernation, and focused on ... [more ▼]

Since the adoption of the Guidance Communication in 2009, the Commission has kept exploitative abuses— and in particular excessive pricing cases—in a state of artificial hibernation, and focused on exclusionary cases as a matter of enforcement priority. The Commission’s small antitrust policy against exploitative abuses is predicated on ‘Tea Party’ competition economics: in the long term, high prices are presumed to deliver efficient outcomes, and competition enforcers risk doing more harm than good in trying to improve market outcomes [less ▲]

Exchange processes and nitrogen cycling on the shelf and continental slope of the Black Sea basin

in Global Biogeochemical Cycles (2003), 17(2),

A 3D coupled biogeochemical-hydrodynamical model has been applied to the Black Sea to simulate nitrogen cycling and to estimate the exchange of biogeochemical components at the shelf break and between the ... [more ▼]

A 3D coupled biogeochemical-hydrodynamical model has been applied to the Black Sea to simulate nitrogen cycling and to estimate the exchange of biogeochemical components at the shelf break and between the continental slope and the deep sea. It was found that biological processes on the northwestern shelf are in approximate balance. Primary production is fueled by river discharge, nitrate input from the open sea at the shelf break, and in situ remineralization. The input of nitrate from the open sea is roughly equivalent to the river nitrate discharge but is half the nitrate export from the shelf toward the open sea. Also, the Black Sea shelf acts throughout the year as a nitrate source for the open sea. The amount of shelf production not remineralized in the euphotic layer is 22.2% and is exported to lower layers (20%) or offshore (2.2%). We estimate that the export of carbon from the shelf to the interior of the basin represents 2.5% of the new production of the open sea. The upper slope adjoining the northwestern shelf is the site of downwelling events responsible for the downward transport to the intermediate layer of the continental slope of biogeochemical components exported from the shelf in the upper layer. The shelf has been found to be an efficient trap for the refractory material discharged by the Danube. [less ▲]

The exchange reaction of peptides R-D-alanyl-D-alanine with D-[14C]alanine to R-D-alanyl-D-[14C]alanine and D-alanine, catalysed by the membranes of Streptococcus faecalis ATCC 9790

in European Journal of Biochemistry (1977), 75(1), 225-229

Under alkaline conditions, the membrane-bound DD-carboxypeptidase of Streptococcus faecalis ATCC 9790 catalyses exchange reactions in which the X-L-R3-D-Ala moiety of peptides of the type X-L-R3-D-Ala-D ... [more ▼]

Under alkaline conditions, the membrane-bound DD-carboxypeptidase of Streptococcus faecalis ATCC 9790 catalyses exchange reactions in which the X-L-R3-D-Ala moiety of peptides of the type X-L-R3-D-Ala-D-Ala is transferred to simple amino compounds such as D-alanine, glycine and glycyl-glycine. The enzyme system is unable, however, to catalyse complex reactions that would simulate the natural transpeptidation reaction. [less ▲]

Excision of imidazole ring-opened N7-hydroxyethylguanine from chloroethylnitrosourea-treated DNA by Escherichia coli formamidopyrimidine-DNA glycolsylase

in IARC Scientific Publications (1991), 105

Excitability of visual V1-V2 and motor cortices to single transcranial magnetic stimuli in migraine: a reappraisal using a figure-of-eight coil.

in Cephalalgia : An International Journal of Headache (2003), 23(4), 264-70

We used transcranial magnetic stimulation (TMS) with a figure-of-eight coil to excite motor and visual V1-V2 cortices in patients suffering from migraine without (MO) (n = 24) or with aura (MA) (n = 13 ... [more ▼]

We used transcranial magnetic stimulation (TMS) with a figure-of-eight coil to excite motor and visual V1-V2 cortices in patients suffering from migraine without (MO) (n = 24) or with aura (MA) (n = 13) and in healthy volunteers (HV) (n = 33). Patients who had a migraine attack within 3 days before or after the recordings were excluded. All females were recorded at mid-cycle. Single TMS pulses over the occipital cortex elicited phosphenes in 64% of HV, 63% of MO and 69% of MA patients. Compared with HV, the phosphene threshold was significantly increased in MO (P = 0.001) and in MA (P = 0.007), but there was no difference between the two groups of migraineurs. The motor threshold tended to be higher in both migraine groups than in HV, but the differences were not significant. In conclusion, this study shows that two-thirds (64.86%) of patients affected by either migraine type present an increased phosphene threshold in the interictal period, which suggests that their visual cortex is hypoexcitable. [less ▲]

Excitation of the FUV Io tail on Jupiter: Characterization of the electron precipitation

in Journal of Geophysical Research. Space Physics (2002), 107(A11),

[1] Spectral observation of both polar regions of Jupiter in the far ultraviolet (FUV) obtained with the Space Telescope Imaging Spectrograph (STIS), on board the Hubble Space Telescope from July 1997 to ... [more ▼]

[1] Spectral observation of both polar regions of Jupiter in the far ultraviolet (FUV) obtained with the Space Telescope Imaging Spectrograph (STIS), on board the Hubble Space Telescope from July 1997 to January 2001 have been combined with FUV images to map the FUV color ratio along the STIS slit. Spatially resolved spectra of the aurora carried at similar to12 Angstrom resolution have been used to determine the amount of methane absorption as measured by the FUV color ratio of the Io magnetic footprint and its trailing tail. It is found that the absorption is systematically less than in the main polar aurora, indicating a higher altitude source region. The color ratio of the north tail is shown to slowly decrease downstream from the footprint. The combination of these spectral data with a two-stream model of the interaction of energetic electrons with the Jovian thermosphere indicates that the mean energy of the electrons creating the north FUV emission ranges from similar to55 keV at the Io footprint to similar to40 keV, 20 degrees downstream in the tail. In parallel, the incident electron energy flux drops by a factor similar to6 over the same angular distance. These observations are consistent with the steady state slippage picture where the subcorotating flux tube is accelerated very slowly up to corotation owing to the nonideal coupling. It is argued that small deviations from corotation can supply sufficient energy to fuel the observed auroral emissions. It is suggested that the parallel electric field accelerating electrons out of the flux tube only moderately depends on the time elapsed since the contact with Io, although the mapping between a point in the tail and Io is very uncertain in the presence of magnetic field line slippage. [less ▲]

Excitation spectrum of FE2+ in a tetrahedral potential - Dynamic Jahn-Teller effect

in Physical Review. B : Condensed Matter (1995)

Excited [70,l(+)] baryons in large N-c QCD

in Physics Letters B (2005), 631(1-2), 7-15

The masses of the positive parity [70, 0(+)] and [70, 2(+)] non-strange baryons are calculated in large N-c QCD by considering the most dominant operators in an 1/N-c expansion. The approach is based on ... [more ▼]

The masses of the positive parity [70, 0(+)] and [70, 2(+)] non-strange baryons are calculated in large N-c QCD by considering the most dominant operators in an 1/N-c expansion. The approach is based on the introduction of an excited core, obtained after the last particle (an excited quark) has been removed. Configuration mixing is neglected, for simplicity. Although being a sub-leading 1/Nc order, we find that the spin-spin interaction plays a dominant role in describing the data. The role of No operators is also pointed out. We show how the contribution of the linear term in Nc, of the spin-spin and of the spin-orbit terms vary with the excitation energy. (c) 2005 Elsevier B.V. All rights reserved. [less ▲]

Excited human chondrocytes can produce oxygen derived free radicals and hydrogen peroxide

Conference (1991, September 13)