27 resultados para FUT-SAT


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This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

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BACKGROUND & AIMS: We studied the role of protease-activated receptor 2 (PAR(2)) and its activating enzymes, trypsins and tryptase, in Clostridium difficile toxin A (TxA)-induced enteritis. METHODS: We injected TxA into ileal loops in PAR(2) or dipeptidyl peptidase I (DPPI) knockout mice or in wild-type mice pretreated with tryptase inhibitors (FUT-175 or MPI-0442352) or soybean trypsin inhibitor. We examined the effect of TxA on expression and activity of PAR(2) and trypsin IV messenger RNA in the ileum and cultured colonocytes. We injected activating peptide (AP), trypsins, tryptase, and p23 in wild-type mice, some pretreated with the neurokinin 1 receptor antagonist SR140333. RESULTS: TxA increased fluid secretion, myeloperoxidase activity in fluid and tissue, and histologic damage. PAR(2) deletion decreased TxA-induced ileitis, reduced luminal fluid secretion by 20%, decreased tissue and fluid myeloperoxidase by 50%, and diminished epithelial damage, edema, and neutrophil infiltration. DPPI deletion reduced secretion by 20% and fluid myeloperoxidase by 55%. In wild-type mice, FUT-175 or MPI-0442352 inhibited secretion by 24%-28% and tissue and fluid myeloperoxidase by 31%-71%. Soybean trypsin inhibitor reduced secretion to background levels and tissue myeloperoxidase by up to 50%. TxA increased expression of PAR(2) and trypsin IV in enterocytes and colonocytes and caused a 2-fold increase in Ca(2+) responses to PAR(2) AP. AP, tryptase, and trypsin isozymes (trypsin I/II, trypsin IV, p23) caused ileitis. SR140333 prevented AP-induced ileitis. CONCLUSIONS: PAR(2) and its activators are proinflammatory in TxA-induced enteritis. TxA stimulates existing PAR(2) and up-regulates PAR(2) and activating proteases, and PAR(2) causes inflammation by neurogenic mechanisms.

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This article serves as a state-of the-science review of the blossoming field of generative third language (L3) acquisition as well as an introduction to this special issue on the same topic. We present and argue for the relevance of adult L3/Ln acquisition for many perennial questions that have sat at the core of linguistic approaches to adult language acquisition since the Principles and Parameters framework was first adopted into second language acquisition (SLA; e.g. Flynn, 1985, 1987; Liceras, 1985; White, 1985a, 1985b; Schwartz, 1986). Furthermore, we highlight the unique, specific questions that have emerged from studying L3/Ln from a generative perspective thus far while suggesting refinements to these questions and additional ones that should emerge in future inquiry.

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This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and three-month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving-average model leads to lower portfolio variances than any of the GARCH-based, implied or time-invariant approaches.

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Time series of global and regional mean Surface Air Temperature (SAT) anomalies are a common metric used to estimate recent climate change. Various techniques can be used to create these time series from meteorological station data. The degree of difference arising from using five different techniques, based on existing temperature anomaly dataset techniques, to estimate Arctic SAT anomalies over land and sea ice were investigated using reanalysis data as a testbed. Techniques which interpolated anomalies were found to result in smaller errors than non-interpolating techniques relative to the reanalysis reference. Kriging techniques provided the smallest errors in estimates of Arctic anomalies and Simple Kriging was often the best kriging method in this study, especially over sea ice. A linear interpolation technique had, on average, Root Mean Square Errors (RMSEs) up to 0.55 K larger than the two kriging techniques tested. Non-interpolating techniques provided the least representative anomaly estimates. Nonetheless, they serve as useful checks for confirming whether estimates from interpolating techniques are reasonable. The interaction of meteorological station coverage with estimation techniques between 1850 and 2011 was simulated using an ensemble dataset comprising repeated individual years (1979-2011). All techniques were found to have larger RMSEs for earlier station coverages. This supports calls for increased data sharing and data rescue, especially in sparsely observed regions such as the Arctic.

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This paper explores the nature and chronology of La Tène and early Roman unenclosed agglomerations in central-eastern France. It has been prompted by the discovery of a c. 115 ha La Tène D2b/Augustan (c. 50 bc to ad 15) site close to Bibracte in the Morvan, located around the source of the River Yonne. This complex provides a new perspective on the chronology and role of Late La Tène and early Roman unenclosed settlements, adding further complexity to the story of the development of Late La Tène oppida. It indicates that these ‘agglomerations’ followed remarkably varied chronological trajectories, raising important issues concerning the nature of landscape and social change at the end of the Iron Age. Dieser Aufsatz untersucht den Charakter und die Datierung von latènezeitlichen und frührömischen offenen Siedlungen im östlichen Zentralfrankreich. Die Anregung dazu erfolgte durch die Entdeckung einer Latène D2b-zeitlichen bis augusteischen (ca. 50 v. Chr. – 15 n. Chr.) Anlage im Morvan bei Bibracte, die ca. 115 ha Fläche bedeckt und sich um die Quellen des Flusses Yonne erstreckt. Es wird vorgeschlagen, dass dieser Siedlungskomplex eine Ergänzung, aber auch einen Kontrast zu den üblichen Interpretationsmodellen von spätlatènezeitlichen und frührömischen, offenen Großsiedlungen und ihrer zeitlichen Entwicklung darstellt, und weiter zur Komplexität der Entwicklung spätlatènezeitlicher Oppida beiträgt. Es deutet sich an, dass einige der ‘Agglomerationen’ anderen Entwicklungslinien folgen, die wichtige Fragen zur Landschaftsgenese und zum sozialen Wandel am Ende der Eisenzeit aufwerfen. Cet article a pour but d'explorer la nature ainsi que la chronologie des agglomérations ouvertes apparaissant à La Tène Final et au début de la période gallo-romaine du Centre-Est de la France. Il fut inspiré et écrit suite à la découverte dans le Morvan d'un site de 115 ha datant de La Tène D2b et de la période Augustéenne (50 av. J.C. à 15 ap. J.C.) s'étirant autour des Sources de l'Yonne. Cette agglomération apporte de nouvelles perspectives sur la chronologie et sur le rôle des habitats ouverts à la fin de l'Âge du Fer ainsi qu'au début de l'époque gallo-romaine apportant des éléments amenés à renforcer le caractère complexe de l'histoire du développement des oppida à La Tène Final. Cette synthèse tend à démontrer que ces agglomérations suivaient des trajectoires chronologiques variées, élevant un certain nombre de questions, et donc des nouvelles problématiques, concernant la nature du paysage et du changement social à la fin de l'Âge du Fer.

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This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values—estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable

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The Arctic is an important region in the study of climate change, but monitoring surface temperatures in this region is challenging, particularly in areas covered by sea ice. Here in situ, satellite and reanalysis data were utilised to investigate whether global warming over recent decades could be better estimated by changing the way the Arctic is treated in calculating global mean temperature. The degree of difference arising from using five different techniques, based on existing temperature anomaly dataset techniques, to estimate Arctic SAT anomalies over land and sea ice were investigated using reanalysis data as a testbed. Techniques which interpolated anomalies were found to result in smaller errors than non-interpolating techniques. Kriging techniques provided the smallest errors in anomaly estimates. Similar accuracies were found for anomalies estimated from in situ meteorological station SAT records using a kriging technique. Whether additional data sources, which are not currently utilised in temperature anomaly datasets, would improve estimates of Arctic surface air temperature anomalies was investigated within the reanalysis testbed and using in situ data. For the reanalysis study, the additional input anomalies were reanalysis data sampled at certain supplementary data source locations over Arctic land and sea ice areas. For the in situ data study, the additional input anomalies over sea ice were surface temperature anomalies derived from the Advanced Very High Resolution Radiometer satellite instruments. The use of additional data sources, particularly those located in the Arctic Ocean over sea ice or on islands in sparsely observed regions, can lead to substantial improvements in the accuracy of estimated anomalies. Decreases in Root Mean Square Error can be up to 0.2K for Arctic-average anomalies and more than 1K for spatially resolved anomalies. Further improvements in accuracy may be accomplished through the use of other data sources.

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This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

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The atmospheric response to an idealized decline in Arctic sea ice is investigated in a novel fully coupled climate model experiment. In this experiment two ensembles of single-year model integrations are performed starting on 1 April, the approximate start of the ice melt season. By perturbing the initial conditions of sea ice thickness (SIT), declines in both sea ice concentration and SIT, which result in sea ice distributions that are similar to the recent sea ice minima of 2007 and 2012, are induced. In the ice loss regions there are strong (~3 K) local increases in sea surface temperature (SST); additionally, there are remote increases in SST in the central North Pacific and subpolar gyre in the North Atlantic. Over the central Arctic there are increases in surface air temperature (SAT) of ~8 K due to increases in ocean–atmosphere heat fluxes. There are increases in SAT over continental North America that are in good agreement with recent changes as seen by reanalysis data. It is estimated that up to two-thirds of the observed increase in SAT in this region could be related to Arctic sea ice loss. In early summer there is a significant but weak atmospheric circulation response that projects onto the summer North Atlantic Oscillation (NAO). In early summer and early autumn there is an equatorward shift of the eddy-driven jet over the North Atlantic as a result of a reduction in the meridional temperature gradients. In winter there is no projection onto a particular phase of the NAO.

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In this work we explore the synergistic use of future MSI instrument on board Sentinel-2 platform and OLCI/SLSTR instruments on board Sentinel-3 platform in order to improve LST products currently derived from the single AATSR instrument on board the ENVI- SAT satellite. For this purpose, the high spatial resolu- tion data from Setinel2/MSI will be used for a good characterization of the land surface sub-pixel heteroge- neity, in particular for a precise parameterization of surface emissivity using a land cover map and spectral mixture techniques. On the other hand, the high spectral resolution of OLCI instrument, suitable for a better characterization of the atmosphere, along with the dual- view available in the SLTSR instrument, will allow a better atmospheric correction through improved aero- sol/water vapor content retrievals and the implementa- tion of novel cloud screening procedures. Effective emissivity and atmospheric corrections will allow accu- rate LST retrievals using the SLSTR thermal bands by developing a synergistic split-window/dual-angle algo- rithm. ENVISAT MERIS and AATSR instruments and different high spatial resolution data (Landsat/TM, Proba/CHRIS, Terra/ASTER) will be used as bench- mark for the future OLCI, SLSTR and MSI instruments. Results will be validated using ground data collected in the framework of different field campaigns organized by ESA.

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Analysis of observations indicates that there was a rapid increase in summer (June-August, JJA) mean surface air temperature (SAT) since the mid-1990s over Western Europe. Accompanying this rapid warming are significant increases in summer mean daily maximum temperature, daily minimum temperature, annual hottest day temperature and warmest night temperature, and an increase in frequency of summer days and tropical nights, while the change in the diurnal temperature range (DTR) is small. This study focuses on understanding causes of the rapid summer warming and associated temperature extreme changes. A set of experiments using the atmospheric component of the state-of-the-art HadGEM3 global climate model have been carried out to quantify relative roles of changes in sea surface temperature (SST)/sea ice extent (SIE), anthropogenic greenhouse gases (GHGs), and anthropogenic aerosols (AAer). Results indicate that the model forced by changes in all forcings reproduces many of the observed changes since the mid-1990s over Western Europe. Changes in SST/SIE explain 62.2% ± 13.0% of the area averaged seasonal mean warming signal over Western Europe, with the remaining 37.8% ± 13.6% of the warming explained by the direct impact of changes in GHGs and AAer. Results further indicate that the direct impact of the reduction of AAer precursor emissions over Europe, mainly through aerosol-radiation interaction with additional contributions from aerosol-cloud interaction and coupled atmosphere-land surface feedbacks, is a key factor for increases in annual hottest day temperature and in frequency of summer days. It explains 45.5% ± 17.6% and 40.9% ± 18.4% of area averaged signals for these temperature extremes. The direct impact of the reduction of AAer precursor emissions over Europe acts to increase DTR locally, but the change in DTR is countered by the direct impact of GHGs forcing. In the next few decades, greenhouse gas concentrations will continue to rise and AAer precursor emissions over Europe and North America will continue to decline. Our results suggest that the changes in summer seasonal mean SAT and temperature extremes over Western Europe since the mid-1990s are most likely to be sustained or amplified in the near term, unless other factors intervene.