Position space Feynman quadrics and their motives

E-print/Working paper (2015)

What Drives Exchange Rates? Reassessing Currency Return Predictability

E-print/Working paper (2015)

We compute a variance decomposition for the log exchange rate based on a present-value relation. At long horizons, return predictability drives the variation in the exchange rate while predictability of ... [more ▼]

We compute a variance decomposition for the log exchange rate based on a present-value relation. At long horizons, return predictability drives the variation in the exchange rate while predictability of future interest rate differentials plays a secondary role. At shorter horizons, the dominant source is predictability of the future spot rate. There is more return predictability and less interest spread and exchange rate predictability in the case of real exchange rates compared to nominal exchange rates. An alternative decomposition based on a first-order VAR tends to overstate the importance of predictability of future interest spreads and exchange rates. [less ▲]

Dining Cryptographers are Practical

E-print/Working paper (2015)

The dining cryptographers protocol provides information-theoretically secure sender and recipient untraceability. However, the protocol is considered to be impractical because a malicious participant may ... [more ▼]

The dining cryptographers protocol provides information-theoretically secure sender and recipient untraceability. However, the protocol is considered to be impractical because a malicious participant may disrupt the communication. We propose an implementation which provides information-theoretical security for senders and recipients, and in which a disruptor with limited computational capabilities can easily be detected. [less ▲]

Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns

E-print/Working paper (2015)

This paper uncovers strong return reversals in the US value weighted stock market index around the last monthly settlement day, T-3, which guarantees liquidity for month-end cash distributions. Similar ... [more ▼]

This paper uncovers strong return reversals in the US value weighted stock market index around the last monthly settlement day, T-3, which guarantees liquidity for month-end cash distributions. Similar reversals in market returns around T-3 are documented internationally. The return reversals are stronger in countries where the mutual fund ownership is large, and in the US they have become stronger over time as the mutual fund ownership of stocks has increased. Using data that contains all trades of a subset of institutional investors, we show direct evidence that institutional trading contributes to the market reversals. Finally, we find that in the cross-section of stocks, return reversals around the turn of the month are stronger for stocks more commonly held by mutual funds and for liquid stocks. These market reversals help explain the previously documented abnormally high market returns around the turn of the month. [less ▲]

Institutional dynamics under revenue volatility and revenue-dependent lobbying power: A stochastic differential game approach

E-print/Working paper (2015)

We propose an analysis of institutional dynamics under uncertainty by the means of a stochastic differential lobbying game with two main ingredients. The rst one is uncertainty inherent in the ... [more ▼]

We propose an analysis of institutional dynamics under uncertainty by the means of a stochastic differential lobbying game with two main ingredients. The rst one is uncertainty inherent in the institutional process itself. The second one has to do with the crucial role of resource windfalls in economic and political outcomes, shaping lobbying power and adding a second source of uncertainty. First, we focus on uncertainty surrounding the institutional process only and show that its main consequence is the existence of multiple equilibria with very distinct features: symmetric equilibria which lead the economy to reach almost surely a stable pointwise institutional steady state in the long run even in the absence of the retaliation motive put forward by the deterministic lobbying literature, and asymmetric equilibria which only show up under uncertainty and do no allow for stochastic convergence to a steady state. Second, when accounting for the two sources of uncertainty together with resource revenue-dependent lobbying power, we show that revenue volatility tends to stabilize institutional dynamics compared to the deterministic counterpart. [less ▲]

The CJEU and the Spasic case: recasting mutual trust in the Area of Freedom, Security and Justice?

E-print/Working paper (2015)

Hedonic adaptation to a treatment. Evidence from a medical intervention

E-print/Working paper (2015)

We investigate adaptation of subjective well-being using a randomized controlled trial. We find that providing medical equipment to a random sample of Ugandan adults with lower limb disabilities has a ... [more ▼]

We investigate adaptation of subjective well-being using a randomized controlled trial. We find that providing medical equipment to a random sample of Ugandan adults with lower limb disabilities has a positive effect on their physical health, using both objective and self-reported measures. Treated patients experience a significant improvement in life satisfaction initially, but the effect is not prolonged. After one year, life satisfaction returns to the pre-treatment level, supporting the hypothesis of adaptation. This evidence of adaptation is supported by observations of changes in aspirations and expectations and is robust to alternative estimation methods including instrumental variable estimation and ITT analysis. [less ▲]

Draft Grand-Ducal Regulation on Protection of Minors in Audiovisual Media Services

E-print/Working paper (2015)

New Grand-Ducal Regulation on fees for audio and audiovisual media service providers

E-print/Working paper (2015)

Volatility Concepts and Risk Management Tools

E-print/Working paper (2015)

Is Venture Capital really a Local Business? Evidence from U.S. Cross-Border Investment

E-print/Working paper (2015)

Toward a pecking order theory of strategic resource deployment

E-print/Working paper (2015)

Bewegungssoziologische Analyse der Begrifflichkeiten der deutschen Trans*-Bewegung

E-print/Working paper (2015)

On symbolic computations with Chern classes: remarks on the library chern.lib for Singular

E-print/Working paper (2015)

We provide an informal overview of the algorithms used for computing with Chern classes in the library chern.lib for the computer algebra system Singular.

Les petites villes en Lotharingie. Un bilan subjectif de 25 ans de recherches

E-print/Working paper (2015)

Function spaces and classifying spaces of algebras over a prop

E-print/Working paper (2015)

The goal of this paper is to prove that the classifying spaces of categories of algebras governed by a prop can be determined by using function spaces on the category of props. We first consider a ... [more ▼]

The goal of this paper is to prove that the classifying spaces of categories of algebras governed by a prop can be determined by using function spaces on the category of props. We first consider a function space of props to define the moduli space of algebra structures over this prop on an object of the base category. Then we mainly prove that this moduli space is the homotopy fiber of a forgetful map of classifying spaces, generalizing to the prop setting a theorem of Rezk. The crux of our proof lies in the construction of certain universal diagrams in categories of algebras over a prop. We introduce a general method to carry out such constructions in a functorial way. [less ▲]

L'industrie automobile dans la Grande Région SaarLorLux en 2011 - évolutions actuelles, défis et solutions possibles

E-print/Working paper (2015)

With almost 150,000 employees and more than 600 companies, the automotive industry is one of the most important sectors in the Greater Region. However, in the more recent past, globalisation ... [more ▼]

With almost 150,000 employees and more than 600 companies, the automotive industry is one of the most important sectors in the Greater Region. However, in the more recent past, globalisation, technological development and, above all, the global economic and financial crisis have had a strong influence on the sector and have posed challenges. This text attempts to review these developments and discuss possible strategies and measures to meet the challenges. [less ▲]

Regards sur la violence

E-print/Working paper (2014)

Dans le cadre de l’enquête sur la sécurité 2013, 3 025 résidants ont été interrogés sur divers délits violents éventuellement subis. Il en ressort que 17% des personnes interviewées ont été harcelées au ... [more ▼]

Dans le cadre de l’enquête sur la sécurité 2013, 3 025 résidants ont été interrogés sur divers délits violents éventuellement subis. Il en ressort que 17% des personnes interviewées ont été harcelées au cours des 5 années précédant l’enquête (harcèlement moral / menaces / brimades), 4% ont été victimes de vols avec violence, 9% ont subi des violences physiques et 4% ont été victimes de violence sexuelle. Globalement, les jeunes résidants étaient plus exposés que les moins jeunes. Les hommes ont été deux fois plus souvent victimes de vols avec violence que les femmes alors que ces dernières ont beaucoup plus fréquemment vécu des agressions sexuelles. Les victimes de violence sexuelle ont également subi plus fréquemment de la violence physique. La classe d’âges des 25 – 34 ans se dit la moins inquiète par des atteintes physiques, même si elle est la plus concernée. Les hommes les appréhendent également moins que les femmes alors qu’ils en sont presque aussi souvent victimes. Parmi les personnes ayant subi de la violence physique entre 2008 et 2012, 38% en ont été victimes à plusieurs reprises. La plupart des agressions ont eu lieu au Grand-Duché (86%) et l’agresseur a le plus souvent agi seul (70%). 33% des victimes connaissaient leurs agresseurs de nom et dans 26% de ces cas il s’agissait de l’ex-conjoint. [less ▲]

Field notes and Facebook: An open fieldwork diary in Guinea Bissau

E-print/Working paper (2014)

This is the fourth in a series of research briefs in the STAR project. STAR stands for “Sociolinguistic trajectories and repertoires: Luso-Luxo-African identifications, interactions and imaginations”, and ... [more ▼]

This is the fourth in a series of research briefs in the STAR project. STAR stands for “Sociolinguistic trajectories and repertoires: Luso-Luxo-African identifications, interactions and imaginations”, and is a three-year CORE research project funded by FNR, Luxembourg. This multi-sited project seeks to contribute to the field of sociolinguistics of globalization by investigating language and migration between the global South (Cape Verde and Guinea Bissau) and North (Luxembourg) from the perspective of both accomplished and aspiring migrants. This fourth research brief reports on the exploratory fieldwork in Guinea Bissau by Kasper Juffermans from late August to early October 2014. It does so on the basis of Facebook posts sent from the field and reflects on the uses of Facebook as a means to make the fieldwork experience more transparent. [less ▲]

Income taxation and equity: new dominance criteria and an application to Romania

E-print/Working paper (2014)

Essential Inputs and Unbounded Output: an Alternative Characterization of the Neoclassical Production Function

E-print/Working paper (2014)

The Inada (1963) conditions constitute a defining property of the neoclassical production function with capital and labor as arguments. Are these conditions justifiable on economic grounds? Yes, they are ... [more ▼]

The Inada (1963) conditions constitute a defining property of the neoclassical production function with capital and labor as arguments. Are these conditions justifiable on economic grounds? Yes, they are: we show that a production function with positive, yet diminishing marginal products and constant returns to scale satisfies the Inada conditions if i) both inputs are essential and ii) an unbounded quantity of either input leads to unbounded output. This allows for an alternative characterization of the neoclassical production function that altogether dispenses with the Inada conditions. Moreover, we establish that the marginal product of capital vanishes as capital goes to infinity if labor is an essential input. Given the intuitive appeal of the latter feature, we conclude that the neoclassical growth model is a theory of eventual stagnation. [less ▲]

Regards sur la présence de drogue

E-print/Working paper (2014)

Au cours des 12 derniers mois, 35% des résidents âgés de 16 ans et plus ont vu dans leur quartier des consommateurs de drogue, des dealers et/ou ils ont vu trainer des objets en lien avec la consommation ... [more ▼]

Au cours des 12 derniers mois, 35% des résidents âgés de 16 ans et plus ont vu dans leur quartier des consommateurs de drogue, des dealers et/ou ils ont vu trainer des objets en lien avec la consommation de drogue. Ce sont surtout des jeunes qui ont fait ce genre de constat. La présence de drogue est plus importante dans les pôles urbains que dans les communes rurales. Les consommateurs de drogue et les dealers, lorsqu’ils sont « souvent » présents dans le quartier, ont un effet anxiogène sur la population : certaines personnes sortent moins souvent la nuit et évitent de passer à des endroits ou d’emprunter des rues. Certaines personnes se sentent également plus exposées au risque de vol à la tire, de vol avec violence et de cambriolage. Par contre, lorsque ces rencontres avec des consommateurs ou des revendeurs de drogue sont plus exceptionnelles, celles-ci ne semblent pas jouer, ou très peu, sur le sentiment d’insécurité de la population. Les résultats présentés dans ce document sont tirés de l’enquête sur la sécurité de 2013. [less ▲]

Minimal diffeomorphism between hyperbolic surfaces with cone singularities

E-print/Working paper (2014)

We prove the existence of a minimal diffeomorphism isotopic to the identity between two hyperbolic cone surfaces (Σ,g1) and (Σ,g2) when the cone angles of g1 and g2 are different and smaller than π. When ... [more ▼]

We prove the existence of a minimal diffeomorphism isotopic to the identity between two hyperbolic cone surfaces (Σ,g1) and (Σ,g2) when the cone angles of g1 and g2 are different and smaller than π. When the cone angles of g1 are strictly smaller than the ones of g2, this minimal diffeomorphism is unique. [less ▲]

Emergence of Sovereign Wealth Funds

E-print/Working paper (2014)

This paper tests the theoretically founded hypothesis that the surge of SWF establishments is determined by three main factors: 1) the existence of natural resources profits, 2) the government structure ... [more ▼]

This paper tests the theoretically founded hypothesis that the surge of SWF establishments is determined by three main factors: 1) the existence of natural resources profits, 2) the government structure and 3) the ability to invest usefully in the domestic economy. We test this hypothesis on a sample of 20 countries that established an SWF in the period 1998-2008 by comparing them to the roughly 100 countries that did not set up a fund in the same period. We find evidence for all three factors. The results suggest that SWFs tend to be established in countries that run an autocratic regime and have difficulties finding suitable opportunities for domestic investments. We do not find the net foreign asset position of a country to be similarly related to the explanatory variables, indicating that the establishment of an SWF is distinct from a national accounting result. We argue that our results indicate that it is relevant to study how an SWF interacts with the domestic economy and government policy. [less ▲]

Regards sur les répercussions émotionnelles ressenties par les victimes de délits

E-print/Working paper (2014)

Dans le cadre de l’enquête sur la sécurité, les personnes interrogées devaient indiquer si elles ont été victimes de délits (14 types de délits) lors des cinq dernières années et le cas échéant, signaler ... [more ▼]

Dans le cadre de l’enquête sur la sécurité, les personnes interrogées devaient indiquer si elles ont été victimes de délits (14 types de délits) lors des cinq dernières années et le cas échéant, signaler si le délit en question a eu sur eux des « répercussions émotionnelles plutôt fortes », des « répercussions émotionnelles plutôt légères » ou « aucune répercussion ». Les répercussions émotionnelles plutôt fortes ont le plus souvent été constatées chez les victimes d’actes de violence, et le moins souvent chez les victimes de demandes de pots-de-vin. Certes moins touchées par des délits que les plus jeunes, les personnes âgées affirment néanmoins plus souvent subir des répercussions émotionnelles plutôt fortes suite à ces délits. De même, les femmes sont un peu moins fréquemment victimes de délits mais, le cas échéant, font plus souvent état de répercussions émotionnelles plutôt fortes. Par ailleurs, les victimes d’actes criminels ayant abouti à des répercussions émotionnelles plutôt fortes se distinguent des non-victimes ainsi que des victimes qui n’ont mentionné aucune ou peu de répercussions émotionnelles, sous les aspects suivants : par rapport aux autres groupes susmentionnés, une attaque à main armée est pour eux plus probable, ils craignent davantage une agression et se sentent moins en sécurité dans leur quartier. En outre, ils apprécient moins le travail de la police et des tribunaux et se prononcent plutôt en faveur de peines de prison sans sursis. [less ▲]

The effects of a multi-pillar pension reform: The case of Peru

E-print/Working paper (2014)

In this paper we study the consequences of a hypothetical multi-pillar pension system in Peru. We use unique administrative records of workers to estimate distributions of future pensions for the actual ... [more ▼]

In this paper we study the consequences of a hypothetical multi-pillar pension system in Peru. We use unique administrative records of workers to estimate distributions of future pensions for the actual and multi-pillar system and assess the effects on pension inequality, pension liability and overall welfare for the insured population. Our results show that the large pension inequality and liability of the actual pension system can be substantially reduced with welfare preserving policies. As we consider different types of social welfare functions, our simulations illustrate, that when one considers welfare, it is important to define the implied value judgments, which are not universally agreed upon. Thus, the goal of this study is not to advice for a particular scenario of reform, but highlight the trade-offs that have to be made explicit in order to take the best possible option, which can be useful for policy-makers who intend to carry out a next generation of pension reforms in Latin America in the near future. [less ▲]

The C*-algebras of connected real two-step nilpotent Lie groups

E-print/Working paper (2014)

Using the operator valued Fourier transform, the C*-algebras of connected real two-step nilpotent Lie groups are characterized as algebras of operator fields defined over their spectra. In particular, it ... [more ▼]

Using the operator valued Fourier transform, the C*-algebras of connected real two-step nilpotent Lie groups are characterized as algebras of operator fields defined over their spectra. In particular, it is shown by explicit computations, that the Fourier transform of such C*-algebras fulfills the norm controlled dual limit property. [less ▲]

Study of formality for the Heisenberg algebra

E-print/Working paper (2014)

In this paper, we compute the Chevalley-Eilenberg cohomology of the three-dimensional Heisenberg Lie algebra with values in its universal enveloping algebra. We also compute the Schouten brackets on ... [more ▼]

In this paper, we compute the Chevalley-Eilenberg cohomology of the three-dimensional Heisenberg Lie algebra with values in its universal enveloping algebra. We also compute the Schouten brackets on cochains and cohomology level in order to write the formality equations. It turns out that there is no formality, and that the perturbed L∞ structure on the cohomology has non-trivial terms in infinitely many degrees. [less ▲]

Improved Modular Multiplication for Optimal Prime Fields

E-print/Working paper (2014)

Regards sur la protection des logements privés et la vidéo-surveillance publique

E-print/Working paper (2014)

70% des résidents pensent que la vidéo-surveillance des lieux publics au Luxembourg augmente leur sécurité personnelle, 23% pensent qu’elle n’a pas d’impact et 3% sont même d’avis que la vidéosurveillance ... [more ▼]

70% des résidents pensent que la vidéo-surveillance des lieux publics au Luxembourg augmente leur sécurité personnelle, 23% pensent qu’elle n’a pas d’impact et 3% sont même d’avis que la vidéosurveillance diminue leur propre sécurité. Les personnes qui craignent d’être agressées physiquement ou qui sont inquiètes d‘être victimes d'une attaque terroriste, celles qui trouvent probable d’être victime d’un cambriolage ou d’un vol avec violence, celles qui ne se sentent pas en sécurité dans leur quartier de résidence et celles qui sont d’avis que la criminalité au Luxembourg a progressé au cours des dernières années, s’attendent plutôt à une augmentation de leur sécurité par les systèmes de surveillance sur certains lieux publics. Par contre les résidents qui effectivement ont été victimes d’un délit ou ceux qui sont confrontés à des problèmes de drogues dans leur quartier résidentiel, ont des doutes quant à l’efficacité de la vidéo-surveillance. Les jeunes sont les plus sceptiques. Par ailleurs, 27% des logements sont équipés d’un système d'alarme et 57% ont des portes de sécurité. On retrouve plus souvent ces deux mesures de sécurité dans les maisons unifamiliales que dans les maisons en rangée ou dans les appartements. En outre, la présence de systèmes d'alarme et de portes de sécurité est fortement liée au revenu du ménage. Quant à la possession d'armes à feu en tant que mesure de sécurité elle joue un rôle mineur : seulement 6% des répondants ont déclaré posséder des armes à feu et parmi eux un-tiers évoquent la prévention et la protection contre les crimes pour justifier la présence d’armes à feu chez eux. [less ▲]

Migration from West Africa, with special reference to Cape Verde and Guinea Bissau

E-print/Working paper (2014)

This is the first in a series of research briefs in the STAR project. STAR stands for “Sociolinguistic trajectories and repertoires: Luso-Luxo-African identifications, interactions and imaginations”, and ... [more ▼]

This is the first in a series of research briefs in the STAR project. STAR stands for “Sociolinguistic trajectories and repertoires: Luso-Luxo-African identifications, interactions and imaginations”, and is a 3-year CORE research project funded by FNR, Luxembourg. The multi-sited project, meant as contribution to the field of sociolinguistics of globalization, investigates language and migration between the global South (Cape Verde and Guinea Bissau) and North (Luxembourg) from the perspective of both accomplished and desired migrants. In this first research brief we review literature on flows of migration from West Africa. [less ▲]

Corruption, Tax Evasion and Social Values

E-print/Working paper (2014)

We provide empirical support and a theoretical explanation for the vicious circle of political corruption and tax evasion in which countries often fall into. We address this issue in the context of a ... [more ▼]

We provide empirical support and a theoretical explanation for the vicious circle of political corruption and tax evasion in which countries often fall into. We address this issue in the context of a model with two distinct groups of agents: citizens and politicians. Citizens decide the fraction of their income for which they evade taxes. Politicians decide the fraction of the public budget that they peculate. We show that multiple self-fulfilling equilibria with different levels of corruption can emerge based on the existence of strategic complementarities, indicating that corruption may corrupt. Furthermore, we find that standard deterrence policies cannot eliminate multiplicity. Instead, policies that impose a strong moral cost on tax evaders and corrupt politicians can lead to a unique equilibrium. [less ▲]

Reflections upon the Interaction between Domestic and European Personal Data Protection Legislation

E-print/Working paper (2014)

This paper assesses whether the European legislative reform on the protection of personal data, in conjunction with national law, responds in a satisfactory manner to the challenges posed by technological ... [more ▼]

This paper assesses whether the European legislative reform on the protection of personal data, in conjunction with national law, responds in a satisfactory manner to the challenges posed by technological evolution and widespread use of Internet. In recent years, the question of State regulation of the processing of personal data by private companies has become urgent as allegations of unauthorized access to personal data have been hotly debated in the European press. Thus, the paper shall first analyse, the appropriateness of European and States' legislation to properly regulate the effective protection of personal data, in particular of obligations applicable to companies storing and processing personal data on European soil. Does the proposed European legislation in the context of the EU's international agreements with the US provide sufficient legal safeguards to ensure the effective protection of personal data in the post-Snowden era? Specific subparts are devoted to the European reform of companies' criminal liability in cases of cyber-attack (a) and of specific obligations imposed on providers of cloud computing services (b). In the second part, I comment on the interpretation of the European data-protection legislation, provided by the Court of Justice, regarding the obligations imposed upon 'intermediaries' that process personal data, such as the Internet service providers (a) and Internet search engines (b). The Court of Justice has interpreted the European legislation in a manner that allows courts and national authorities to impose on companies a set of safeguards to protect individuals against the infringement of copyright and privacy rights. [less ▲]

A hybrid T-Trefftz polygonal finite element for linear elasticity

E-print/Working paper (2014)

In this paper, we construct hybrid T-Trefftz polygonal finite elements. The displacement field within the polygon is repre- sented by the homogeneous solution to the governing differential equation, also ... [more ▼]

In this paper, we construct hybrid T-Trefftz polygonal finite elements. The displacement field within the polygon is repre- sented by the homogeneous solution to the governing differential equation, also called as the T-complete set. On the boundary of the polygon, a conforming displacement field is independently defined to enforce continuity of the displacements across the element boundary. An optimal number of T-complete functions are chosen based on the number of nodes of the polygon and degrees of freedom per node. The stiffness matrix is computed by the hybrid formulation with auxiliary displacement frame. Results from the numerical studies presented for a few benchmark problems in the context of linear elasticity shows that the proposed method yield highly accurate results. [less ▲]

Successful Ageing and Poverty: The case of Peru

E-print/Working paper (2014)

This study investigated the determinants of Successful Ageing (SA) in a sample of 4,151 Peruvians aged between 65 and 80 and living in poverty. The data correspond to the ESBAM survey, which is the ... [more ▼]

This study investigated the determinants of Successful Ageing (SA) in a sample of 4,151 Peruvians aged between 65 and 80 and living in poverty. The data correspond to the ESBAM survey, which is the baseline to evaluate the non-contributory public pension program Pension 65. A key contribution of this study is to combine the conceptual appealing of Successful Ageing to measure well-being in old-age with the multidimensional poverty counting approach developed in the economic literature. This setting allows for moving beyond the dichotomy of the SA literature (success or usual ageing) and take advantage of the full distribution of success along the set of dimensions of well-being. Nine indicators of SA have been used to assess the dimensions of physical health, functioning, cognition, emotional health, and life satisfaction. The variables associated with a higher number of satisfied indicators were being a male, younger, literate, working, low food insecurity, good nutritional status, normal blood pressure, absence of disabilities, not smoking, empowerment, good self-esteem, absence of mental disability, and less frequent contact with a social network. From a policy perspective, the results of this study report a remarkably stable effect of three variables affecting SA that can be relatively easy to measure, monitor and affect by public intervention. These variables are food security, nutrition quality, and self-esteem. [less ▲]

Irreducible decomposition for local representations of quantum Teichmüller space

E-print/Working paper (2014)

We give an irreducible decomposition of the so-called local representations \cite{math/0407086} of the quantum Teichmüller space $\mathcal{T}_q(\Sigma)$ where $\Sigma$ is a punctured surface of genus $g>0 ... [more ▼]

We give an irreducible decomposition of the so-called local representations \cite{math/0407086} of the quantum Teichmüller space $\mathcal{T}_q(\Sigma)$ where $\Sigma$ is a punctured surface of genus $g>0$ and $q$ is a $N$-th root of unity with $N$ odd. [less ▲]

The Welfare State and Anti-Poverty Policy in Rich Countries

E-print/Working paper (2014)

This paper is prepared as a chapter for the Handbook of Income Distribution, Volume 2 (edited by A. B. Atkinson and F. Bourguignon, Elsevier-North Holland, forthcoming). Like the other chapters in the ... [more ▼]

This paper is prepared as a chapter for the Handbook of Income Distribution, Volume 2 (edited by A. B. Atkinson and F. Bourguignon, Elsevier-North Holland, forthcoming). Like the other chapters in the volume (and its predecessor), the aim is to provide a comprehensive review of a particular area of research. The aim of this chapter is to highlight some key aspects of recent economic research on the welfare state and anti-poverty policy in rich countries, and explore their implications. We begin with the conceptualisation and measurement of poverty, before sketching out some core features and approaches to the welfare state and anti-poverty policies. We then focus on the central plank of the modern welfare state’s efforts to address poverty, namely social protection, discussing in turn the inactive working-age population, child income support, in-work poverty, and retirement and old-age pensions. After that we discuss social spending on other than cash transfers: the labour market, education, training and activation, and finally intergenerational transmission, childhood and neighbourhoods. We also discuss the welfare state and anti-poverty policy in the context of the economic crisis which began in 2007-8, and the implications for strategies aimed at combining economic growth and employment with making serious inroads into poverty. We conclude with highlighting directions for future research. [less ▲]

Dynamic Hedging and Extreme Asset Co-movements

E-print/Working paper (2014)

Irregular holonomic kernels and Laplace transform

E-print/Working paper (2014)

Hedge Fund Return Dynamics: long memory and regime switching

E-print/Working paper (2014)

This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based ... [more ▼]

This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2012, highlight the importance of the long memory parameter magnitude i.e shocks in shaping hedge fund return dynamics and show that the hedge fund dynamics are characterized by two levels of persistence: in the first one, associated to low-volatility regime, hedge fund returns are a stationary long memory process whereas in the second one, associated to high-volatility regime, returns exhibit higher parameter of fractional integration. More precisely, in high volatility regime i.e periods of turmoil, the process tends to be non-stationary but still exhibits a mean-reverting behavior. The findings are interesting and enable us to establish a relationship between hedge fund return states and memory phenomenon. [less ▲]

Intervals of the homomorphism order of graphs have infinite width

E-print/Working paper (2014)

The homomorphism order of graphs is known to be dense with a single exception. We strengthen this result by showing that, with this single exception, the interval between any two distinct comparable ... [more ▼]

The homomorphism order of graphs is known to be dense with a single exception. We strengthen this result by showing that, with this single exception, the interval between any two distinct comparable graphs includes an infinite antichain. Moreover, every antichain included in such an interval can be extended into an infinite one within that interval. [less ▲]

Extreme Returns in the European Financial Crisis

E-print/Working paper (2014)

We examine the transmission of extreme stock market returns among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany ... [more ▼]

We examine the transmission of extreme stock market returns among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany, France, the Netherlands, Finland, Belgium), and the major European Union -but not euro- countries (Sweden, UK, Poland, Czech Republic, Denmark). Using extreme returns on daily stock market data from January 2004 till March 2013, we nd that transmission e ects are present for the tails of the returns distributions for the Pre-crisis, the US-crisis and the Euro-crisis periods from the Euro-periphery group to the Non-Euro and the Euro-core groups. Within group e ects are stronger in the crisis periods. We nd that the transmission channel does not seem to have intensi ed during the crisis periods, but it transmitted larger shocks (in some cases, extreme bottom returns doubled during the crisis periods). Thus, as extreme returns have become much more "extreme" during the nancial crisis periods, the expected losses on extreme return days have increased signi cantly. Given the fact that stock market capitalisations in these country groups are trillions of Euros, a 1% or 2% increase in extreme bottom returns (in crisis periods) can lead to aggregate losses of tens of billions Euros in one single trading day. [less ▲]

Z_2^n-Supergeometry II: Batchelor-Gawedzki Theorem

E-print/Working paper (2014)

The Evolving Beta-Liquidity Relationship of Hedge Funds

E-print/Working paper (2014)

Using an optimal changepoint approach, we find a structural change in the relation between hedge funds’ stock market exposure and aggregate stock market liquidity that takes place in the period 2000 to ... [more ▼]

Using an optimal changepoint approach, we find a structural change in the relation between hedge funds’ stock market exposure and aggregate stock market liquidity that takes place in the period 2000 to 2002. Before the structural break, market betas have no relation to liquidity and only a few style categories of hedge funds show increased market presence when liquidity is low. After the break, the relationship is inverted, pointing towards an increased liquidity timing ability of hedge funds, as users of liquidity. We relate our findings to best execution rules and decimalization in the US stock market that were introduced in that period and impacted aggregate liquidity conditions. Furthermore, the returns to a momentum strategy display a similar structural break and momentum-loading funds constitute a sizeable proportion of hedge funds that manifest a distinct beta-liquidity evolution with a structural break in that period. [less ▲]

Ripple Effects from Industry Defaults

E-print/Working paper (2014)

Skewness Risk Premium: Theory and Empirical Evidence

E-print/Working paper (2014)

An inverse to the antisymmetrization map of Cartan and Eilenberg

E-print/Working paper (2014)

The ‘Franco-German duo’ and Europe as seen in cartoons (1945–2013)

E-print/Working paper (2014)

The ePublication ‘The “Franco-German duo” and Europe as seen in cartoons (1945–2013)’ uses French and German press illustrations to explore the joint action of successive French Presidents and German ... [more ▼]

The ePublication ‘The “Franco-German duo” and Europe as seen in cartoons (1945–2013)’ uses French and German press illustrations to explore the joint action of successive French Presidents and German Chancellors as the driving force of European integration. The rapprochement that began in the early years after the Second World War between France and Germany, two countries that had been long-standing enemies, followed a unique path. The image of a ‘Franco-German duo’ and the pair’s actions have proved an unending source of inspiration for French and German Press cartoonists. It shows how they have experienced, perceived and illustrated this Franco-German partnership, which has continued to evolve during the turbulent history of European integration. This comparative analysis reflects the convergences and divergences within this unique pairing and demonstrates the ever-changing balance of power within the partnership. The cartoons also reveal the fact that there is often a discrepancy between official photos and the reality of the Franco-German relationship. Although the Franco-German duo and its ability to act for the organisation of Europe have at times proved fragile, with periods of tension but also of continuity, the relationship between the various West German Chancellors and French Presidents has made an often decisive contribution to the pursuit and revival of European integration. Over 400 cartoons published in the French and German press reflect the key moments in Franco-German relations and emphasise how this ‘marriage of convenience’ between two leaders has influenced the European integration process, illustrating both the successes and failures of the duo. The selected cartoons provide an often cheeky, sarcastic interpretation of the Franco-German duo, that special relationship, which, despite its periods of tension and crisis, has always bounced back and has often served as a driving force for European unification. The cartoons reflect the two leaders’ attitudes to the challenges of the European integration process, painting an often humorous but at times openly critical picture of this bilateral relationship. [less ▲]

Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception

E-print/Working paper (2014)

Green Consumers, Greenwashing and the Misperception of Environmental Quality

E-print/Working paper (2014)