Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Mould and yeast identification in archival settings: preliminary results on the use of traditional methods and molecular biology options in Portuguese archives

This project was developed to fully assess the indoor air quality in archives and libraries from a fungal flora point of view. It uses classical methodologies such as traditional culture media – for the viable fungi – and modern molecular biology protocols, especially relevant to assess the non-viable fraction of the biological contaminants. Denaturing high-performance liquid chromatography (DHPLC) has emerged as an alternative to denaturing gradient gel electrophoresis (DGGE) and has already been applied to the study of a few bacterial communities. We propose the application of DHPLC to the study of fungal colonization on paper-based archive materials. This technology allows for the identification of each component of a mixture of fungi based on their genetic variation. In a highly complex mixture of microbial DNA this method can be used simply to study the population dynamics, and it also allows for sample fraction collection, which can, in many cases, be immediately sequenced, circumventing the need for cloning. Some examples of the methodological application are shown. Also applied is fragment length analysis for the study of mixed Candida samples. Both of these methods can later be applied in various fields, such as clinical and sand sample analysis. So far, the environmental analyses have been extremely useful to determine potentially pathogenic/toxinogenic fungi such as Stachybotrys sp., Aspergillus niger, Aspergillus fumigatus, and Fusarium sp. This work will hopefully lead to more accurate evaluation of environmental conditions for both human health and the preservation of documents.

Experimental signatures of fermiophobic Higgs bosons

The most general Two Higgs Doublet Model potential without explicit CP violation depends on 10 real independent parameters. Excluding spontaneous CP violation results in two 7 parameter models. Although both models give rise to 5 scalar particles and 2 mixing angles, the resulting phenomenology of the scalar sectors is different. If flavour changing neutral currents at tree level are to be avoided, one has, in both cases, four alternative ways of introducing the fermion couplings. In one of these models the mixing angle of the CP even sector can be chosen in such a way that the fermion couplings to the lightest scalar Higgs boson vanishes. At the same time it is possible to suppress the fermion couplings to the charged and pseudo-scalar Higgs bosons by appropriately choosing the mixing angle of the CP odd sector. We investigate the phenomenology of both models in the fermiophobic limit and present the different branching ratios for the decays of the scalar particles. We use the present experimental results from the LEP collider to constrain the models.

Epigenetic and transcriptional signatures of stable versus plastic differentiation of proinflammatory gd T cell subsets

Two distinct subsets of γδ T cells that produce interleukin 17 (IL-17) (CD27(-) γδ T cells) or interferon-γ (IFN-γ) (CD27(+) γδ T cells) develop in the mouse thymus, but the molecular determinants of their functional potential in the periphery remain unknown. Here we conducted a genome-wide characterization of the methylation patterns of histone H3, along with analysis of mRNA encoding transcription factors, to identify the regulatory networks of peripheral IFN-γ-producing or IL-17-producing γδ T cell subsets in vivo. We found that CD27(+) γδ T cells were committed to the expression of Ifng but not Il17, whereas CD27(-) γδ T cells displayed permissive chromatin configurations at loci encoding both cytokines and their regulatory transcription factors and differentiated into cells that produced both IL-17 and IFN-γ in a tumor microenvironment.