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This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. We document strong relationships between a household’s portfolio tilt and the household’s financial and demographic characteristics. Value investors have higher financial and real estate wealth, lower leverage, lower income risk, lower human capital, and are more likely to be female than the average growth investor. Households actively migrate to value stocks over the life-cycle and, at higher frequencies, dynamically offset the passive variations in the value tilt induced by market movements. We verify that these results are not driven by cohort effects, financial sophistication, biases toward popular or professionally close stocks, or unobserved heterogeneity in preferences. We relate these household-level results to some of the leading explanations of the value premium.
Hereditary angioedema (HAE) is a disease which is associated with random and often unpredictable attacks of painful swelling typically affecting the extremities, bowel mucosa, genitals, face and upper airway. Attacks are associated with significant functional impairment, decreased Health Related Quality of Life, and mortality in the case of laryngeal attacks. Caring for patients with HAE can be challenging due to the complexity of this disease. The care of patients with HAE in Canada is neither optimal nor uniform across the country. It lags behind other countries where there are more organized models for HAE management, and where additional therapeutic options are licensed and available for use. The objective of this guideline is to provide graded recommendations for the management of patients in Canada with HAE. This includes the treatment of attacks, short-term prophylaxis, long-term prophylaxis, and recommendations for self-administration, individualized therapy, quality of life, and comprehensive care. It is anticipated that by providing this guideline to caregivers, policy makers, patients and their advocates, that there will be an improved understanding of the current recommendations regarding management of HAE and the factors that need to be considered when choosing therapies and treatment plans for individual patients. The primary target users of this guideline are healthcare providers who are managing patients with HAE. Other healthcare providers who may use this guideline are emergency physicians, gastroenterologists, dentists and otolaryngologists, who will encounter patients with HAE and need to be aware of this condition. Hospital administrators, insurers and policy makers may also find this guideline helpful.
We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns through the period 2006 to 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis and how it is reflected in network statistics and systemic risk measures. Illustrating the usefulness of the framework as a monitoring tool, we provide indication for the fragmentation of the European financial system having peaked and that recovery has started.
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance estimates. The latter originate from a local method of moments (LMM) which recently has been introduced by Bibinger et al. (2014). We extend the LMM estimator to allow for autocorrelated noise and propose a method to adaptively infer the autocorrelations from the data. We prove the consistency and asymptotic normality of the proposed spot covariance estimator. Based on extensive simulations we provide empirical guidance on the optimal implementation of the estimator and apply it to high-frequency data of a cross-section of NASDAQ blue chip stocks. Employing the estimator to estimate spot covariances, correlations and betas in normal but also extreme-event periods yields novel insights into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity patterns, (ii) reveal substantial intraday variability associated with (co-)variation risk, (iii) are strongly serially correlated, and (iv) can increase strongly and nearly instantaneously if new information arrives.
Research in the field of Digital Humanities, also known as Humanities Computing, has seen a steady increase over the past years. Situated at the intersection of computing science and the humanities, present efforts focus on making resources such as texts, images, musical pieces and other semiotic artifacts digitally available, searchable and analysable. To this end, computational tools enabling textual search, visual analytics, data mining, statistics and natural language processing are harnessed to support the humanities researcher. The processing of large data sets with appropriate software opens up novel and fruitful approaches to questions in the traditional humanities. This report summarizes the Dagstuhl seminar 14301 on “Computational Humanities - bridging the gap between Computer Science and Digital Humanities”.
1998 ACM Subject Classification I.2.7 Natural Language Processing, J.5 Arts and Humanities
Money is more than memory
(2014)
Impersonal exchange is the hallmark of an advanced society. One key institution for impersonal exchange is money, which economic theory considers just a primitive arrangement for monitoring past conduct in society. If so, then a public record of past actions — or memory — supersedes the function performed by money. This intriguing theoretical postulate remains untested. In an experiment, we show that the suggested functional equality between money and memory does not translate into an empirical equivalence. Monetary systems perform a richer set of functions than just revealing past behaviors, which proves to be crucial in promoting large-scale cooperation.
We examine the relationship between household wealth and self-control. Although self-control has been linked to consumption and financial behavior, its measurement remains an open issue. We employ a definition of self-control failure that follows literature in psychology, suggesting that three factors can render self-control defective: lack of planning, lack of monitoring, and lack of commitment to pre-set plans. Our measure combines those three ingredients and can be computed using a standard representative survey. We find that self-control failure is strongly associated with different household net wealth measures and with self-assessed financial distress.
Panel Sample Selection ModelsThe empirical evidence currently available in the literature regarding the effects of a country's IMF program participation on its output growth is rather inconclusive. In this paper we propose and estimate a panel data sample selection model featuring state dependence. As in this model the output growth effects of program participation can be conditional on the realization of a state variable (conditional pooling), our framework may reconcile previous empirical evidence based on models without state-dependent effects. We find that the effects of IMF program participation on output growth vary systematically with an index reflecting a country's institutional record, and that output growth effects of program participation are significantly positive only if the program participation is coupled with sufficient improvement of the institutional record.
BACKGROUND: Recent findings support the idea that interleukin (IL)-22 serum levels are related to disease severity in end-stage liver disease. Existing scoring systems--Model for End-Stage Liver Disease (MELD), Survival Outcomes Following Liver Transplantation (SOFT) and Pre-allocation-SOFT (P-SOFT)--are well-established in appraising survival rates with or without liver transplantation. We tested the hypothesis that IL-22 serum levels at transplantation date correlate with survival and potentially have value as a predictive factor for survival.
MATERIAL AND METHODS: MELD, SOFT, and P-SOFT scores were calculated to estimate post-transplantation survival. Serum levels of IL-22, IL-6, IL-10, C-reactive protein (CRP), and procalcitonin (PCT) were collected prior to transplantation in 41 patients. Outcomes were assessed at 3 months, 1 year, and 3 years after transplantation.
RESULTS: IL-22 significantly correlated with MELD, P-SOFT, and SOFT scores (Rs 0.35, 0.63, 0.56 respectively, p<0.05) and with the discrimination in post-transplantation survival. IL-6 showed a heterogeneous pattern (Rs 0.40, 0.63, 0.57, respectively, p<0.05); CRP and PCT did not correlate. We therefore added IL-22 serum values to existing scoring systems in a generalized linear model (GLM), resulting in a significantly improved outcome prediction in 58% of the cases for both the P-SOFT (p<0.01) and SOFT scores (p<0.001).
CONCLUSIONS: Further studies are needed to address the concept that IL-22 serum values at the time of transplantation provide valuable information about survival rates following orthotopic liver transplantation.
Eryphanis zolvizora (Hewitson, 1877) is a rare Andean endemic butterfly, described from Bolivia, which has been historically classified either as a unique species, or as part of a group of three allopatric species from Bolivia, Ecuador and Colombia. In this paper, the group is revised using more than 200 specimens housed in 35 European and North and South American public and private collections. For the first time, the presence of the group in Western Ecuador and Venezuela is confirmed, and important data on Peruvian populations are provided. In some populations, individual variations of genitalia are observed. Nevertheless, male genitalia allow the distinction of four geographical groups. Considering also habitus characters, eight taxa are distinguished and considered to be subspecies, of which five are new: Eryphanis zolvizora inca ssp. nov., Eryphanis zolvizora chachapoya ssp. nov., Eryphanis zolvizora casagrande ssp. nov., Eryphanis zolvizora reyi ssp. nov., and Eryphanis zolvizora isabelae ssp. nov. In the present state of knowledge, these taxa are allopatric, except for a possible geographic overlap in central Peru, where data are insufficient to prove sympatry. The “several subspecies vs. several species” dilemma is discussed, considering its impact for conservation action and policies.